ANNEXES II.2 TEST DE COINTÉGRATION DE ENGEL ET
GRANGER
Tableau II.2.1 : estimation de la relation
structurelle
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Dependent Variable: LTCHOM
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Method: Least Squares
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Date: 11/30/13 Time: 15:19
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Sample: 1990 2011
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Included observations: 22
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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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3.815272
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0.050215
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75.97856
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0.0000
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LTINFL
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0.040054
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0.009477
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4.226498
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0.0004
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R-squared
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0.471784
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Mean dependent var
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4.006629
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Adjusted R-squared
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0.445373
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S.D. dependent var
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0.136786
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S.E. of regression
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0.101869
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Akaike info criterion
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-1.643743
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Sum squared resid
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0.207547
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Schwarz criterion
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-1.544557
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Log likelihood
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20.08117
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Hannan-Quinn criter.
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-1.620378
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F-statistic
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17.86328
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Durbin-Watson stat
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1.124726
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Prob(F-statistic)
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0.000414
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Tableau II.2.2 : test ADF
sur les résidus
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Null Hypothesis: RESID01 has a unit root
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Exogenous: None
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Lag Length: 1 (Fixed)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-3.351587
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0.0020
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Test critical values:
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1% level
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-2.685718
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5% level
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-1.959071
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10% level
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-1.607456
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*MacKinnon (1996) one-sided p-values.
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Augmented Dickey-Fuller Test Equation
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Dependent Variable: D(RESID01)
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Method: Least Squares
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Date: 11/30/13 Time: 15:25
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Sample (adjusted): 1992 2011
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Included observations: 20 after adjustments
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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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RESID01(-1)
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-0.737612
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0.220078
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-3.351587
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0.0036
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D(RESID01(-1))
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0.037808
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0.199734
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0.189290
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0.8520
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R-squared
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0.438568
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Mean dependent var
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0.011450
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Adjusted R-squared
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0.407378
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S.D. dependent var
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0.107447
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S.E. of regression
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0.082715
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Akaike info criterion
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-2.052197
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Sum squared resid
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0.123151
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Schwarz criterion
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-1.952624
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Log likelihood
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22.52197
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Hannan-Quinn criter.
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-2.032760
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Durbin-Watson stat
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2.118593
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ANNEXE II.3- CAUSALITÉ
Tableau II.3.1 : test de causalité au
sens de Granger
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Pairwise Granger Causality Tests
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Date: 10/29/16 Time: 09:43
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Sample: 1990 2011
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Lags: 6
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Null Hypothesis:
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Obs
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F-Statistic
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Prob.
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DLTCHOM does not Granger Cause DLTINFL
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15
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10.3978
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0.0903
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DLTINFL does not Granger Cause DLTCHOM
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0.41192
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0.8311
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