Annexe 9 : Le test de Jarque-Berra, de Skewness et
Kurtosis
|
. varnorm, jbera skewness
Jarque-Bera test
Equation |
+
lnipc |
lntcen1 |
lntcen2 |
ALL |
Skewness test
|
kurtosis
|
chi2
1558.939
152.290
9332.804 1.1e+04
|
df
2
2
2
6
|
+
Prob > chi2 |
|
0.00000 |
0.00000 |
0.00000 |
0.00000 |
+
|
|
|
|
|
|
|
+
|
|
Equation
|
|
|
Skewness
|
chi2
|
df
|
Prob > chi2 |
|
|
|
+
|
|
|
|
|
|
|
lnipc
|
|
|
-.76002
|
14.922
|
1
|
0.00011 |
|
|
lntcen1
|
|
|
-.25068
|
1.623
|
1
|
0.00262 |
|
|
lntcen2
|
|
|
2.608
|
175.706
|
1
|
0.00000 |
|
|
ALL
|
|
|
|
192.252
|
3
|
0.00000 |
|
|
Kurtosis
|
test
|
|
|
|
|
+
|
|
|
|
|
|
|
+
|
|
Equation
|
|
|
Kurtosis
|
chi2
|
df
|
Prob > chi2 |
|
|
|
+
|
|
|
|
|
|
|
lnipc
|
|
|
18.462
|
1544.017
|
1
|
0.00000 |
|
|
lntcen1
|
|
|
7.83
|
150.666
|
1
|
0.00000 |
|
|
lntcen2
|
|
|
40.655
|
9157.098
|
1
|
0.00000 |
|
|
ALL
|
|
|
|
1.1e+04
|
3
|
0.00000 |
|
|
|
|
|
|
|
+
|
Annexe 10 : Le test de causalité de Granger
. vargranger
|
Granger causality Wald tests
Equation
|
Excluded |
+
|
chi2
|
df
|
Prob > chi2
|
|
lnipc
|
lntcen1 |
|
5.0435
|
1
|
0.025
|
|
lnipc
|
lntcen2 |
|
3.0353
|
1
|
0.081
|
|
lnipc
|
ALL |
|
5.0634
|
2
|
0.080
|
|
+
|
|
|
|
|
lntcen1
|
lnipc |
|
.60076
|
1
|
0.438
|
|
lntcen1
|
lntcen2 |
|
1.2484
|
1
|
0.264
|
|
lntcen1
|
ALL |
|
2.9234
|
2
|
0.232
|
|
+
|
|
|
|
|
lntcen2
|
lnipc |
|
4.8074
|
1
|
0.028
|
|
lntcen2
|
lntcen1 |
|
18.315
|
1
|
0.000
|
|
lntcen2
|
ALL |
|
18.428
|
2
|
0.000
|
BEN AYECHE Manel FSEG Sousse
Annexe 11 : L'estimation du nouveau modèle
VAR
. var lnipc lntcen2, lags(1/1) exog(lnm4 lnm lnx)
Vector autoregression
Sample: 2 - 156 No. of obs = 155
Ln likelihood = 1104.44 AIC = -14.096
FPE = 2.59e-09 HQIC = -14.0003
Det(Sigma_ml) = 2.22e-09 SBIC = -13.86038
Equation Parms RMSE R-sq chi2 P>chi2
lnipc 6 .003336 0.9968 47675.31 0.0000
lntcen2 6 .014689 0.8177 695.3136 0.0000
Coef. Std. Err. z P>|z| [95% Conf. Interval]
|
lnipc
lnipc
|
|
|
|
|
|
|
|
|
|
|
L1.
lntcen2
|
|
|
|
.8596712
|
.0431753
|
19.91
|
0.000
|
.7750492
|
.9442932
|
|
L1.
|
|
|
.0012574
|
.0090677
|
0.14
|
0.890
|
-.016515
|
.0190297
|
|
lnm4
|
|
|
.0506129
|
.0162622
|
3.11
|
0.002
|
.0187396
|
.0824863
|
|
lnm
|
|
|
.0052316
|
.0073254
|
0.71
|
0.475
|
-.0091259
|
.0195891
|
|
lnx
|
|
|
-.0033532
|
.0066765
|
-0.50
|
0.615
|
-.0164389
|
.0097324
|
|
_cons
lntcen2
lnipc
|
|
|
|
|
-.0976102
|
.0389113
|
-2.51
|
0.012
|
-.173875
|
-.0213454
|
|
L1.
lntcen2
|
|
|
|
.0605094
|
.1901175
|
0.32
|
0.750
|
-.312114
|
.4331328
|
|
L1.
|
|
|
.8719644
|
.0399285
|
21.84
|
0.000
|
.7937059
|
.9502229
|
|
lnm4
|
|
|
.0037305
|
.0716089
|
0.05
|
0.958
|
-.1366203
|
.1440813
|
|
lnm
|
|
|
.0298795
|
.0322565
|
0.93
|
0.354
|
-.0333421
|
.0931011
|
|
lnx
|
|
|
-.0452326
|
.029399
|
-1.54
|
0.124
|
-.1028537
|
.0123885
|
|
_cons
|
|
|
-.0887495
|
.1713416
|
-0.52
|
0.604
|
-.4245729
|
.2470739
|
. var lnipc lntcen2, lags(1/1) exog( lntcen1 lnm4 lnm lnx)
BEN AYECHE Manel FSEG Sousse
Vector autoregression
Sample: 2 - 156 No. of obs = 155
Ln likelihood = 1122.32 AIC = -14.3009
FPE = 2.11e-09 HQIC = -14.18925
Det(Sigma_ml) = 1.76e-09 SBIC = -14.02601
|
Equation
lnipc lntcen2
|
|
Parms
7
7
|
RMSE
.003315
.013276
|
R-sq
0.9968
0.8521
|
chi2
48615.66
892.9832
|
P>chi2
0.0000
0.0000
|
|
|
|
|
Coef.
|
Std. Err.
|
z
|
P>|z|
|
[95% Conf.
|
Interval]
|
|
lnipc
lnipc
+
|
|
|
|
|
|
|
|
|
|
|
L1.
lntcen2
|
|
|
|
.8241216
|
.047359
|
17.40
|
0.000
|
.7312996
|
.9169437
|
|
L1.
|
|
|
.0157374
|
.0122247
|
1.29
|
0.198
|
-.0082225
|
.0396973
|
|
lntcen1
|
|
|
.0397268
|
.0227575
|
1.75
|
0.081
|
-.0048771
|
.0843307
|
|
lnm4
|
|
|
.0470524
|
.0162333
|
2.90
|
0.004
|
.0152357
|
.0788692
|
|
lnm
|
|
|
.0081274
|
.0074417
|
1.09
|
0.275
|
-.006458
|
.0227128
|
|
lnx
|
|
|
-.0068811
|
.0069137
|
-1.00
|
0.320
|
-.0204318
|
.0066696
|
|
_cons
lntcen2
lnipc
|
|
|
|
|
-.0080515
|
.0641636
|
-0.13
|
0.900
|
-.1338099
|
.1177068
|
|
L1.
lntcen2
|
|
|
|
.5501175
|
.1896837
|
2.90
|
0.004
|
.1783444
|
.9218907
|
|
L1.
|
|
|
.6725374
|
.0489626
|
13.74
|
0.000
|
.5765725
|
.7685024
|
|
lntcen1
|
|
|
-.5471393
|
.0911489
|
-6.00
|
0.000
|
-.7257879
|
-.3684906
|
|
lnm4
|
|
|
.0527682
|
.0650182
|
0.81
|
0.417
|
-.074665
|
.1802015
|
|
lnm
|
|
|
-.0100036
|
.0298056
|
-0.34
|
0.737
|
-.0684214
|
.0484143
|
|
lnx
|
|
|
.0033548
|
.0276911
|
0.12
|
0.904
|
-.0509187
|
.0576283
|
|
_cons
|
|
|
-1.322201
|
.2569897
|
-5.14
|
0.000
|
-1.825891
|
-.81851
|
| 
