Annexe 6 : La détermination du nombre de
retard
|
. varsoc lnipc lntcen1 , exog(lnm4 lnm lnx)
Selection-order criteria
Sample: 5 - 156
|
Number of
|
obs
|
= 152
|
|
+
|
|
|
|
|
|
|
|
|
+
|
|
|lag
|
|
|
LL
|
LR
|
df
|
p
|
FPE
|
AIC
|
HQIC
|
SBIC |
|
|
| +
|
|
|
|
|
|
|
|
|
|
|
| 0
|
|
|
973.607
|
|
|
|
1.0e-08
|
-12.7054
|
-12.6407
|
-12.5462 |
|
|
| 1
|
|
|
1248.93
|
550.65
|
4
|
0.000
|
2.9e-10
|
-16.2754
|
-16.1784
|
-16.0367 |
|
|
| 2
|
|
|
1261.97
|
26.088
|
4
|
0.000
|
2.6e-10
|
-16.3944
|
-16.2651
|
-16.0761 |
|
|
| 3
|
|
|
1267.52
|
11.098*
|
4
|
0.025
|
2.5e-10*
|
-16.4148*
|
-16.2732*
|
-16.0869* |
|
|
| 4
|
|
|
1269.26
|
3.4736
|
4
|
0.482
|
2.6e-10
|
-16.385
|
-16.1911
|
-15.9076 |
|
|
+
|
|
|
|
|
|
|
|
|
+
|
|
Endogenous: lnipc lntcen1
Exogenous: lnm4 lnm lnx
|
_cons
|
. varsoc lnipc lntcen2 , exog(lnm4 lnm lnx)
|
Selection-order
Sample: 5 - 156
|
criteria
|
|
|
|
Number of
|
obs
|
= 152
|
|
+
|
|
|
|
|
|
|
|
|
+
|
|
|lag
|
|
|
LL
|
LR
|
df
|
p
|
FPE
|
AIC
|
HQIC
|
SBIC |
|
|
| +
|
|
|
|
|
|
|
|
|
|
|
| 0
|
|
|
877.121
|
|
|
|
3.7e-08
|
-11.4358
|
-11.3711
|
-11.2767 |
|
|
| 1
|
|
|
1080.66
|
407.07
|
4
|
0.000
|
2.7e-09
|
-14.0613
|
-13.9643
|
-13.8226 |
|
|
| 2
|
|
|
1097.81
|
34.314
|
4
|
0.000
|
2.3e-09
|
-14.2344
|
-14.1051
|
-13.9161 |
|
|
| 3
|
|
|
1105.19
|
14.746*
|
4
|
0.005
|
2.2e-09*
|
-14.2788*
|
-14.1171*
|
-13.9809* |
|
|
| 4
|
|
|
1105.79
|
1.2088
|
4
|
0.877
|
2.3e-09
|
-14.2341
|
-14.0401
|
-13.7566 |
|
|
+
|
|
|
|
|
|
|
|
|
+
|
|
Endogenous: lnipc lntcen2
Exogenous: lnm4 lnm lnx
|
_cons
|
Annexe 7 : L'estimation du modèle VAR
BEN AYECHE Manel FSEG Sousse
. var lnipc lntcen1 lntcen2, lags(1/1) exog(lnm4 lnm lnx)
Vector autoregression
Sample: 2 - 156 No. of obs = 155
Ln likelihood = 1734.197 AIC = -22.10577
FPE = 5.04e-14 HQIC = -21.93829
Det(Sigma_ml) = 3.84e-14 SBIC = -21.69344
Equation Parms RMSE R-sq chi2 P>chi2
|
lnipc lntcen1 lntcen2
lnipc
lnipc
+
|
|
|
|
|
7
7
7
Coef.
|
.003294
.004896
.013938
Std. Err.
|
0.9969
0.9950
0.8370
z
|
49231.65
30878.66
795.7887
P>|z|
|
0.0000
0.0000
0.0000
[95% Conf.
|
Interval]
|
|
L1.
lntcen1
|
|
|
|
.8126812
|
.047362
|
17.16
|
0.000
|
.7198533
|
.9055091
|
|
L1.
lntcen2
|
|
|
|
.0564366
|
.02513
|
2.25
|
0.025
|
.0071826
|
.1056906
|
|
L1.
|
|
|
.0228588
|
.0131206
|
1.74
|
0.081
|
-.0028572
|
.0485747
|
|
lnm4
|
|
|
.0439393
|
.0162775
|
2.70
|
0.007
|
.012036
|
.0758426
|
|
lnm
|
|
|
.009658
|
.0074736
|
1.29
|
0.196
|
-.00499
|
.0243061
|
|
lnx
|
|
|
-.00846
|
.0069528
|
-1.22
|
0.224
|
-.0220872
|
.0051672
|
|
_cons
lntcen1
lnipc
|
|
|
|
|
.0337409
|
.0699087
|
0.48
|
0.629
|
-.1032775
|
.1707594
|
|
L1.
lntcen1
|
|
|
|
.0545655
|
.0703993
|
0.78
|
0.438
|
-.0834146
|
.1925456
|
|
L1.
lntcen2
|
|
|
|
1.009211
|
.0373535
|
27.02
|
0.000
|
.9359994
|
1.082422
|
|
L1.
|
|
|
.0217905
|
.0195026
|
1.12
|
0.264
|
-.0164339
|
.0600149
|
|
lnm4
|
|
|
-.0297134
|
.024195
|
-1.23
|
0.219
|
-.0771347
|
.0177079
|
|
lnm
|
|
|
.0062607
|
.0111089
|
0.56
|
0.573
|
-.0155123
|
.0280336
|
|
lnx
|
|
|
-.0025177
|
.0103347
|
-0.24
|
0.808
|
-.0227733
|
.0177379
|
|
_cons
lntcen2
lnipc
|
|
|
|
|
.0944857
|
.1039128
|
0.91
|
0.363
|
-.1091796
|
.2981511
|
|
L1.
lntcen1
|
|
|
|
.4394153
|
.2004093
|
2.19
|
0.028
|
.0466203
|
.8322103
|
|
L1.
lntcen2
|
|
|
|
-.4550786
|
.1063361
|
-4.28
|
0.000
|
-.6634936
|
-.2466636
|
|
L1.
|
|
|
.6977806
|
.055519
|
12.57
|
0.000
|
.5889654
|
.8065959
|
|
lnm4
|
|
|
.0575435
|
.0688771
|
0.84
|
0.403
|
-.0774532
|
.1925401
|
|
lnm
|
|
|
-.0058132
|
.0316241
|
-0.18
|
0.854
|
-.0677954
|
.0561689
|
|
lnx
|
|
|
-.004054
|
.0294203
|
-0.14
|
0.890
|
-.0617166
|
.0536087
|
|
_cons
|
|
|
-1.147905
|
.2958139
|
-3.88
|
0.000
|
-1.727689
|
-.5681204
|
BEN AYECHE Manel FSEG Sousse
Annexe 8 : Le test d'auto-corrélation de
Lagrange-multiplier
|
. varlmar
Lagrange-multiplier test
|
|
+
|
|
|
|
|
+
|
|
|
|
lag
|
|
|
chi2
|
df
|
Prob > chi2
|
|
|
|
|
|
+
|
|
|
|
|
|
|
|
|
1
|
|
|
46.7952
|
9
|
0.00000
|
|
|
|
|
|
2
|
|
|
37.4839
|
9
|
0.00002
|
|
|
|
+
|
|
|
|
|
+
|
H0: no autocorrelation at lag order
| 
