ANNEXE N°3 : Estimation du modèle
macro-économique
a) Estimation des paramètres
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Dependent Variable: PPSA
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Method: Least Squares
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Date: 04/19/10 Time: 09:49
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Sample(adjusted): 1 34
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Included observations: 19
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Excluded observations: 15 after adjusting endpoints
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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13.93417
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21.86338
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0.637329
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0.5369
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COGI
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0.139082
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0.235558
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0.590434
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0.5668
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IPAU
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-0.097316
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0.205873
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-0.472699
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0.6457
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TAAD
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-0.334194
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0.142293
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-2.348638
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0.0386
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TDEM
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1.867753
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4.457186
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0.419043
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0.6833
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TINF
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0.008545
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0.030542
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0.279771
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0.7848
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TPIB
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-8.947802
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1.862908
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-4.803138
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0.0006
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TPUR
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0.425736
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0.120626
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3.529396
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0.0047
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R-squared
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0.863645
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Mean dependent var
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22.52632
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Adjusted R-squared
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0.776874
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S.D. dependent var
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12.13520
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S.E. of regression
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5.732210
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Akaike info criterion
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6.625641
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Sum squared resid
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361.4405
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Schwarz criterion
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7.023299
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Log likelihood
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-54.94359
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F-statistic
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9.953132
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Durbin-Watson stat
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1.208259
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Prob(F-statistic)
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0.000540
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b) Test sur les résidus
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Breusch-Godfrey Serial Correlation LM Test:
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F-statistic
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0.657770
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Probability
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0.541224
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Obs*R-squared
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2.423068
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Probability
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0.297740
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Test Equation:
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Dependent Variable: RESID
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Method: Least Squares
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Date: 04/19/10 Time: 09:53
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Presample and interior missing value lagged residuals set to
zero.
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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-15.63503
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29.68618
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-0.526677
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0.6112
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COGI
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0.052671
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0.250984
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0.209858
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0.8385
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IPAU
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0.066609
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0.223553
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0.297954
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0.7725
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TAAD
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-0.006936
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0.174398
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-0.039773
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0.9691
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TDEM
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2.289689
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5.308302
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0.431341
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0.6764
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TINF
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0.006319
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0.032227
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0.196075
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0.8489
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TPIB
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0.344144
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1.970867
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0.174615
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0.8652
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TPUR
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0.110162
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0.307423
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0.358339
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0.7284
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RESID(-1)
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0.417327
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0.401292
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1.039958
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0.3255
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RESID(-2)
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0.353313
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1.370444
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0.257809
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0.8024
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R-squared
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0.127530
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Mean dependent var
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1.40E-15
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Adjusted R-squared
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-0.744940
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S.D. dependent var
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4.481075
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S.E. of regression
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5.919329
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Akaike info criterion
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6.699740
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Sum squared resid
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315.3461
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Schwarz criterion
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7.196813
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Log likelihood
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-53.64753
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F-statistic
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0.146171
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Durbin-Watson stat
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1.751274
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Prob(F-statistic)
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0.995738
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c) spécification du modèle
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Ramsey RESET Test:
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F-statistic
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0.943680
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Probability
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0.354243
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Log likelihood ratio
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1.713364
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Probability
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0.190550
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Test Equation:
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Dependent Variable: PPSA
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Method: Least Squares
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Date: 04/19/10 Time: 09:52
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Sample: 1 34
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Included observations: 19
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Excluded observations: 15
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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6.309497
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23.28245
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0.270998
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0.7919
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COGI
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-0.120607
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0.356702
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-0.338118
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0.7423
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IPAU
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-0.008733
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0.225648
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-0.038702
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0.9699
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TAAD
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-0.038217
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0.336425
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-0.113598
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0.9118
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TDEM
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3.052800
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4.632159
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0.659045
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0.5248
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TINF
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0.000256
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0.031787
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0.008057
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0.9937
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TPIB
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-2.972023
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6.428797
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-0.462298
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0.6538
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TPUR
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0.164617
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0.294750
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0.558498
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0.5888
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FITTED^2
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0.015499
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0.015955
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0.971432
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0.3542
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R-squared
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0.875403
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Mean dependent var
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22.52632
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Adjusted R-squared
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0.775726
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S.D. dependent var
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12.13520
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S.E. of regression
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5.746941
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Akaike info criterion
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6.640727
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Sum squared resid
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330.2733
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Schwarz criterion
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7.088093
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Log likelihood
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-54.08691
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F-statistic
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8.782361
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Durbin-Watson stat
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1.039861
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Prob(F-statistic)
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0.001212
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