ANNEXES
Annexe 1. Les données utilisées
dans les Régressions (1980-2011)
|
Années
|
IPC (1996=100)
|
M2 en million de FBU
|
PIB en million de FBU
|
TC
(du fr Bu par rapport au Dollar US)
|
TID(%)
|
TREF(%)
|
|
1980
|
21,8
|
15109,30
|
82775,3
|
90,00000
|
12,00000
|
8,500000
|
|
1981
|
24,5
|
14509,40
|
87214,5
|
90,00000
|
12,00000
|
8,500000
|
|
1982
|
25,9
|
19280,80
|
91169,40
|
90,00000
|
12,00000
|
8,500000
|
|
1983
|
28
|
17074,90
|
100657,6
|
92,95000
|
12,00000
|
8,500000
|
|
1984
|
32
|
22283,00
|
118169,7
|
119,9700
|
12,00000
|
8,500000
|
|
1985
|
33,2
|
20350,00
|
138790,8
|
120,6900
|
12,00000
|
8,500000
|
|
1986
|
33,8
|
18873,00
|
137194,6
|
124,1700
|
12,00000
|
9,000000
|
|
1987
|
36,2
|
19668,00
|
139804,0
|
123,5600
|
12,00000
|
8,000000
|
|
1988
|
40,4
|
23314,60
|
151964,5
|
140,4000
|
12,30000
|
8,000000
|
|
1989
|
43,3
|
24023,00
|
176742,8
|
158,6700
|
12,70000
|
9,500000
|
|
1990
|
46,3
|
40179,30
|
192731,5
|
171,2600
|
13,60000
|
10,00000
|
|
1991
|
50,5
|
46154,20
|
209950,7
|
181,5100
|
13,70000
|
11,00000
|
|
1992
|
52,4
|
46105,70
|
233717,3
|
208,3000
|
14,20000
|
11,00000
|
|
1993
|
57,8
|
47941,60
|
234764,9
|
242,7800
|
15,20000
|
10,00000
|
|
1994
|
66,4
|
56510,20
|
286548,0
|
252,6600
|
15,50000
|
10,00000
|
|
1995
|
79,2
|
58186,10
|
309953,0
|
249,7600
|
16,00000
|
10,00000
|
|
1996
|
100
|
37331,70
|
265414,0
|
302,7500
|
17,60000
|
10,00000
|
|
1997
|
131,2
|
43249,20
|
346099,0
|
352,3500
|
17,70000
|
12,00000
|
|
1998
|
147,6
|
70274,60
|
404382,0
|
447,7700
|
20,40000
|
12,00000
|
|
1999
|
152,2
|
66307,30
|
460266,0
|
563,5600
|
20,90000
|
12,00000
|
|
2000
|
189,6
|
106059,4
|
511039,0
|
720,6700
|
20,30000
|
14,00000
|
|
2001
|
206,8
|
115254,1
|
549980,0
|
830,3500
|
20,10000
|
14,00000
|
|
2002
|
204,3
|
121050,2
|
584605,0
|
930,7500
|
20,80000
|
15,50000
|
|
2003
|
236,6
|
169743,0
|
644680,0
|
1082,600
|
20,60000
|
14,50000
|
|
2004
|
256,5
|
193605,3
|
748486,0
|
1100,900
|
20,50000
|
14,50000
|
|
2005
|
289,8
|
289123,4
|
860902,0
|
1081,570
|
20,60000
|
14,50000
|
|
2006
|
297,7
|
442511,2
|
986601,0
|
1028,970
|
18,00000
|
11,00000
|
|
2007
|
322,7
|
330079,1
|
1012811,
|
1119,540
|
17,50000
|
10,10000
|
|
2008
|
401,7
|
443117,8
|
1314112,
|
1234,980
|
17,10000
|
10,10000
|
|
2009
|
443,9
|
530770,3
|
1637200,
|
1230,130
|
16,50000
|
10,10000
|
|
2010
|
472,7
|
638901,1
|
1843900,
|
1230,800
|
15,90000
|
8,600000
|
|
2011
|
518,1
|
674511,3
|
2356000,
|
1261,07
|
15,3
|
13,3
|
Source : BRB, Rapports annuels
(1980-2011) ; ISTEEBU, Annuaire des statistiques du Burundi (1990-2011)
IPC=Indice des Prix à la Consommation ; M2= Masse
monétaire ; PIB= Produit Intérieur Brut ; TC=Taux de
Change du franc Burundais par rapport au dollar
Américain ; TID= Taux d'Intérêt
Débiteur ; TREF=Taux de Refinancement
Annexe 2. Résultats du test de
Breush-Godgfrey pour la relation de long terme
|
Breusch-Godfrey Serial Correlation LM Test:
|
|
F-statistic
|
4,672208
|
Probability
|
0,019331
|
|
Obs*R-squared
|
8,967657
|
Probability
|
0,011290
|
|
|
|
|
|
|
Test Equation:
|
|
Dependent Variable: RESID
|
|
Method: Least Squares
|
|
Date: 09/07/13 Time: 11:25
|
|
Variable
|
Coefficient
|
Std, Error
|
t-Statistic
|
Prob,
|
|
C
|
2,837956
|
12,87142
|
0,220485
|
0,8274
|
|
M2
|
-3,15E-05
|
4,18E-05
|
-0,754744
|
0,4577
|
|
PIB
|
6,42E-06
|
8,94E-06
|
0,718193
|
0,4796
|
|
TC
|
0,005473
|
0,013852
|
0,395140
|
0,6962
|
|
TID
|
-0,967549
|
1,117509
|
-0,865808
|
0,3952
|
|
TREF
|
0,970593
|
1,357731
|
0,714864
|
0,4816
|
|
RESID(-1)
|
0,595137
|
0,201476
|
2,953889
|
0,0069
|
|
RESID(-2)
|
-0,412926
|
0,202641
|
-2,037725
|
0,0527
|
|
R-squared
|
0,280239
|
Mean dependent var
|
-3,89E-14
|
|
Adjusted R-squared
|
0,070309
|
S,D, dependent var
|
8,370312
|
|
S,E, of regression
|
8,070696
|
Akaike info criterion
|
7,226674
|
|
Sum squared resid
|
1563,267
|
Schwarz criterion
|
7,593108
|
|
Log likelihood
|
-107,6268
|
F-statistic
|
1,334916
|
|
Durbin-Watson stat
|
1,722157
|
Prob(F-statistic)
|
0,277352
|
Annexe3. Résultat du test de White pour
la relation de long terme
|
White Heteroskedasticity Test:
|
|
F-statistic
|
2,605487
|
Probability
|
0,030956
|
|
Obs*R-squared
|
17,71880
|
Probability
|
0,059896
|
|
Test Equation:
|
|
Dependent Variable: RESID^2
|
|
Method: Least Squares
|
|
Date: 09/07/13 Time: 11:28
|
|
Sample: 1980 2011
|
|
Included observations: 32
|
|
Variable
|
Coefficient
|
Std, Error
|
t-Statistic
|
Prob,
|
|
C
|
-1900,717
|
914,8952
|
-2,077525
|
0,0502
|
|
M2
|
-0,005822
|
0,002635
|
-2,209295
|
0,0384
|
|
M2^2
|
8,90E-09
|
4,08E-09
|
2,180043
|
0,0408
|
|
PIB
|
0,001937
|
0,000796
|
2,433415
|
0,0240
|
|
PIB^2
|
-6,60E-10
|
2,75E-10
|
-2,395431
|
0,0260
|
|
TC
|
-1,444639
|
1,013110
|
-1,425944
|
0,1686
|
|
TC^2
|
0,000710
|
0,000601
|
1,181696
|
0,2505
|
|
TID
|
330,6423
|
118,9271
|
2,780209
|
0,0112
|
|
TID^2
|
-9,872201
|
3,483468
|
-2,834016
|
0,0099
|
|
TREF
|
-150,6347
|
155,5312
|
-0,968518
|
0,3438
|
|
TREF^2
|
9,275537
|
6,994250
|
1,326166
|
0,1990
|
|
R-squared
|
0,553712
|
Mean dependent var
|
67,87269
|
|
Adjusted R-squared
|
0,341195
|
S,D, dependent var
|
109,0639
|
|
S,E, of regression
|
88,52368
|
Akaike info criterion
|
12,07070
|
|
Sum squared resid
|
164565,3
|
Schwarz criterion
|
12,57455
|
|
Log likelihood
|
-182,1313
|
F-statistic
|
2,605487
|
|
Durbin-Watson stat
|
2,317003
|
Prob(F-statistic)
|
0,030956
|
Annexe4. Résultats du test de
stabilité du Résidu
|
ADF Test Statistic
|
-3,666615
|
1% Critical Value*
|
-2,6395
|
|
|
5% Critical Value
|
-1,9521
|
|
|
10% Critical Value
|
-1,6214
|
|
*MacKinnon critical values for rejection of hypothesis of a unit
root,
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(P)
|
|
Method: Least Squares
|
|
Date: 09/07/13 Time: 11:52
|
|
Sample(adjusted): 1981 2011
|
|
Included observations: 31 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std, Error
|
t-Statistic
|
Prob,
|
|
P(-1)
|
-0,619350
|
0,168916
|
-3,666615
|
0,0009
|
|
R-squared
|
0,309447
|
Mean dependent var
|
0,035404
|
|
Adjusted R-squared
|
0,309447
|
S,D, dependent var
|
9,468810
|
|
S,E, of regression
|
7,868536
|
Akaike info criterion
|
6,995347
|
|
Sum squared resid
|
1857,416
|
Schwarz criterion
|
7,041605
|
|
Log likelihood
|
-107,4279
|
Durbin-Watson stat
|
1,738251
|
|
PP Test Statistic
|
-3,666615
|
1% Critical Value*
|
-2,6395
|
|
|
5% Critical Value
|
-1,9521
|
|
|
10% Critical Value
|
-1,6214
|
|
*MacKinnon critical values for rejection of hypothesis of a unit
root,
|
|
Lag truncation for Bartlett kernel: 0
|
( Newey-West suggests: 3 )
|
|
Residual variance with no correction
|
59,91664
|
|
Residual variance with correction
|
59,91664
|
|
Phillips-Perron Test Equation
|
|
Dependent Variable: D(P)
|
|
Method: Least Squares
|
|
Date: 09/07/13 Time: 11:53
|
|
Sample(adjusted): 1981 2011
|
|
Included observations: 31 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std, Error
|
t-Statistic
|
Prob,
|
|
P(-1)
|
-0,619350
|
0,168916
|
-3,666615
|
0,0009
|
|
R-squared
|
0,309447
|
Mean dependent var
|
0,035404
|
|
Adjusted R-squared
|
0,309447
|
S,D, dependent var
|
9,468810
|
|
S,E, of regression
|
7,868536
|
Akaike info criterion
|
6,995347
|
|
Sum squared resid
|
1857,416
|
Schwarz criterion
|
7,041605
|
|
Log likelihood
|
-107,4279
|
Durbin-Watson stat
|
1,738251
|
Annexe 5. Résultat du test de Breusch
pour la relation de court terme
|
Breusch-Godfrey Serial Correlation LM Test:
|
|
F-statistic
|
0,214115
|
Probability
|
0,809681
|
|
Obs*R-squared
|
0,832688
|
Probability
|
0,659454
|
|
Test Equation:
|
|
Dependent Variable: RESID
|
|
Method: Least Squares
|
|
Date: 09/07/13 Time: 15:09
|
|
Variable
|
Coefficient
|
Std, Error
|
t-Statistic
|
Prob,
|
|
C
|
-0,426958
|
2,579715
|
-0,165506
|
0,8708
|
|
D(IPC(-1))
|
0,036066
|
0,286506
|
0,125883
|
0,9015
|
|
D(M2)
|
-6,16E-06
|
6,34E-05
|
-0,097201
|
0,9239
|
|
D(M2(-1))
|
-4,56E-06
|
6,33E-05
|
-0,072020
|
0,9435
|
|
D(PIB)
|
6,09E-07
|
3,25E-05
|
0,018732
|
0,9853
|
|
D(PIB(-1))
|
-2,03E-06
|
3,80E-05
|
-0,053385
|
0,9581
|
|
D(TC)
|
-0,000174
|
0,053814
|
-0,003237
|
0,9975
|
|
D(TC(-1))
|
0,004040
|
0,061061
|
0,066169
|
0,9481
|
|
D(TID)
|
0,487840
|
2,833692
|
0,172157
|
0,8656
|
|
D(TID(-1))
|
-0,037855
|
2,336806
|
-0,016199
|
0,9873
|
|
D(TREF)
|
-0,209795
|
1,261508
|
-0,166305
|
0,8701
|
|
D(TREF(-1))
|
0,226337
|
2,773208
|
0,081615
|
0,9360
|
|
P(-1)
|
-0,194240
|
0,386953
|
-0,501974
|
0,6230
|
|
RESID(-1)
|
0,202305
|
0,542622
|
0,372830
|
0,7145
|
|
RESID(-2)
|
0,271108
|
0,446288
|
0,607474
|
0,5526
|
|
R-squared
|
0,027756
|
Mean dependent var
|
-2,15E-15
|
|
Adjusted R-squared
|
-0,879671
|
S,D, dependent var
|
5,445694
|
|
S,E, of regression
|
7,466106
|
Akaike info criterion
|
7,165477
|
|
Sum squared resid
|
836,1411
|
Schwarz criterion
|
7,866076
|
|
Log likelihood
|
-92,48216
|
F-statistic
|
0,030588
|
|
Durbin-Watson stat
|
1,829962
|
Prob(F-statistic)
|
1,000000
|
Annexe6. Résultat du test de White pour
la relation de court terme
|
White Heteroskedasticity Test:
|
|
F-statistic
|
0,928540
|
Probability
|
0,602119
|
|
Obs*R-squared
|
24,50247
|
Probability
|
0,433186
|
|
Test Equation:
|
|
Dependent Variable: RESID^2
|
|
Method: Least Squares
|
|
Date: 09/07/13 Time: 15:20
|
|
Sample: 1982 2011
|
|
Included observations: 30
|
|
Variable
|
Coefficient
|
Std, Error
|
t-Statistic
|
Prob,
|
|
C
|
47,62008
|
52,62199
|
0,904946
|
0,4070
|
|
D(IPC(-1))
|
-1,331316
|
9,704250
|
-0,137189
|
0,8962
|
|
(D(IPC(-1)))^2
|
-0,133297
|
0,152347
|
-0,874958
|
0,4216
|
|
D(M2)
|
0,001444
|
0,004736
|
0,304955
|
0,7727
|
|
(D(M2))^2
|
2,98E-08
|
3,81E-08
|
0,782341
|
0,4694
|
|
D(M2(-1))
|
0,005615
|
0,002612
|
2,149783
|
0,0843
|
|
(D(M2(-1)))^2
|
-3,23E-08
|
8,10E-08
|
-0,398271
|
0,7069
|
|
D(PIB)
|
-0,001015
|
0,002145
|
-0,473476
|
0,6558
|
|
(D(PIB))^2
|
1,38E-09
|
4,87E-09
|
0,284466
|
0,7875
|
|
D(PIB(-1))
|
-0,004448
|
0,002457
|
-1,809928
|
0,1301
|
|
(D(PIB(-1)))^2
|
1,14E-08
|
6,19E-09
|
1,836485
|
0,1257
|
|
D(TC)
|
0,474470
|
1,953449
|
0,242888
|
0,8177
|
|
(D(TC))^2
|
-0,003468
|
0,016138
|
-0,214894
|
0,8383
|
|
D(TC(-1))
|
2,726456
|
2,742539
|
0,994136
|
0,3658
|
|
(D(TC(-1)))^2
|
-0,008859
|
0,024436
|
-0,362537
|
0,7318
|
|
D(TID)
|
81,29759
|
79,53506
|
1,022160
|
0,3536
|
|
(D(TID))^2
|
-8,793238
|
54,04407
|
-0,162705
|
0,8771
|
|
D(TID(-1))
|
-214,9288
|
176,3760
|
-1,218583
|
0,2774
|
|
(D(TID(-1)))^2
|
69,33279
|
88,56694
|
0,782829
|
0,4692
|
|
D(TREF)
|
35,54472
|
35,98182
|
0,987852
|
0,3686
|
|
(D(TREF))^2
|
-4,806475
|
18,36689
|
-0,261692
|
0,8040
|
|
D(TREF(-1))
|
27,32806
|
31,06521
|
0,879700
|
0,4193
|
|
(D(TREF(-1)))^2
|
-40,15625
|
28,78879
|
-1,394857
|
0,2219
|
|
P(-1)
|
-1,807167
|
5,328450
|
-0,339154
|
0,7483
|
|
P(-1)^2
|
0,480048
|
0,343598
|
1,397122
|
0,2212
|
|
R-squared
|
0,816749
|
Mean dependent var
|
28,66706
|
|
Adjusted R-squared
|
-0,062857
|
S,D, dependent var
|
52,49380
|
|
S,E, of regression
|
54,11845
|
Akaike info criterion
|
10,69513
|
|
Sum squared resid
|
14644,03
|
Schwarz criterion
|
11,86280
|
|
Log likelihood
|
-135,4270
|
F-statistic
|
0,928540
|
|
Durbin-Watson stat
|
2,722636
|
Prob(F-statistic)
|
0,602119
|
Annexe7. Résultat du test de Ramsey pour la relation de
court terme
|
Ramsey RESET Test:
|
|
F-statistic
|
3,174679
|
Probability
|
0,070843
|
|
Log likelihood ratio
|
10,58914
|
Probability
|
0,005019
|
|
Test Equation:
|
|
Dependent Variable: D(IPC)
|
|
Method: Least Squares
|
|
Date: 09/07/13 Time: 16:16
|
|
Sample: 1982 2011
|
|
Included observations: 30
|
|
Variable
|
Coefficient
|
Std, Error
|
t-Statistic
|
Prob,
|
|
C
|
1,275645
|
2,143390
|
0,595153
|
0,5606
|
|
D(IPC(-1))
|
-0,061156
|
0,400562
|
-0,152676
|
0,8807
|
|
D(M2)
|
1,58E-05
|
6,78E-05
|
0,233170
|
0,8188
|
|
D(M2(-1))
|
0,000170
|
0,000195
|
0,874274
|
0,3958
|
|
D(PIB)
|
-2,88E-05
|
5,42E-05
|
-0,532054
|
0,6025
|
|
D(PIB(-1))
|
-7,40E-05
|
4,26E-05
|
-1,735708
|
0,1031
|
|
D(TC)
|
-0,040344
|
0,097166
|
-0,415209
|
0,6839
|
|
D(TC(-1))
|
0,034014
|
0,081680
|
0,416435
|
0,6830
|
|
D(TID)
|
4,838696
|
3,686334
|
1,312604
|
0,2090
|
|
D(TID(-1))
|
0,655045
|
2,427877
|
0,269801
|
0,7910
|
|
D(TREF)
|
-1,888757
|
2,115687
|
-0,892739
|
0,3861
|
|
D(TREF(-1))
|
-0,534054
|
2,059144
|
-0,259357
|
0,7989
|
|
P(-1)
|
0,070023
|
0,415755
|
0,168424
|
0,8685
|
|
FITTED^2
|
0,058965
|
0,023666
|
2,491519
|
0,0249
|
|
FITTED^3
|
-0,000447
|
0,000183
|
-2,442606
|
0,0274
|
|
R-squared
|
0,938197
|
Mean dependent var
|
16,45333
|
|
Adjusted R-squared
|
0,880514
|
S,D, dependent var
|
18,36124
|
|
S,E, of regression
|
6,346873
|
Akaike info criterion
|
6,840654
|
|
Sum squared resid
|
604,2419
|
Schwarz criterion
|
7,541253
|
|
Log likelihood
|
-87,60982
|
F-statistic
|
16,26478
|
|
Durbin-Watson stat
|
2,038696
|
Prob(F-statistic)
|
0,000001
|
|
|
