ANNEXES
Annexe 1: Test de
stationnarité de LIPC
|
Null Hypothesis: D(LIPC) has a unit
root
|
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|
Exogenous: None
|
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Lag Length: 0 (Automatic based on SIC, MAXLAG=7)
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t-Statistic
|
Prob.*
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Augmented Dickey-Fuller test statistic
|
-4.333273
|
0.0001
|
|
Test critical values:
|
1% level
|
|
-2.647120
|
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|
5% level
|
|
-1.952910
|
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|
10% level
|
|
-1.610011
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*MacKinnon (1996) one-sided p-values.
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Annexe 2: Test de stationnarité de
LIPM
|
Null Hypothesis: D(LIPM) has a unit root
|
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Exogenous: Constant, Linear Trend
|
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Lag Length: 0 (Automatic - based on SIC, maxlag=7)
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t-Statistic
|
Prob.*
|
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Augmented Dickey-Fuller test statistic
|
-6.402654
|
0.0001
|
|
Test critical values:
|
1% level
|
|
-4.309824
|
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|
5% level
|
|
-3.574244
|
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|
10% level
|
|
-3.221728
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*MacKinnon (1996) one-sided p-values.
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Annexe 3: Test de stationnarité de
LPIBH
|
Null Hypothesis: D(LPIBH) has a unit
root
|
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Exogenous: None
|
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Lag Length: 0 (Automatic - based on SIC, maxlag=7)
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t-Statistic
|
Prob.*
|
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Augmented Dickey-Fuller test statistic
|
-5.153495
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.647120
|
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|
5% level
|
|
-1.952910
|
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|
10% level
|
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-1.610011
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*MacKinnon (1996) one-sided p-values.
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Annexe 4: Test de stationnarité de
LDC
|
Null Hypothesis: D(LDC) has a unit
root
|
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|
Exogenous: None
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Lag Length: 1 (Automatic - based on SIC, maxlag=7)
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t-Statistic
|
Prob.*
|
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Augmented Dickey-Fuller test statistic
|
-7.443847
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.650145
|
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|
5% level
|
|
-1.953381
|
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|
10% level
|
|
-1.609798
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*MacKinnon (1996) one-sided p-values.
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|
Annexe 5 : Test de stationnarité de
LTE
|
Null Hypothesis: D(LTE) has a unit
root
|
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|
Exogenous: None
|
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Lag Length: 0 (Automatic - based on SIC, maxlag=7)
|
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t-Statistic
|
Prob.*
|
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|
Augmented Dickey-Fuller test statistic
|
-4.732006
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.647120
|
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|
5% level
|
|
-1.952910
|
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|
10% level
|
|
-1.610011
|
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*MacKinnon (1996) one-sided p-values.
|
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Annexe 6 : Test de stationnarité de
LM1
|
Null Hypothesis: D(LM1) has a unit
root
|
|
|
Exogenous: None
|
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|
Lag Length: 0 (Automatic - based on SIC, maxlag=7)
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t-Statistic
|
Prob.*
|
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Augmented Dickey-Fuller test statistic
|
-3.673924
|
0.0007
|
|
Test critical values:
|
1% level
|
|
-2.647120
|
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|
5% level
|
|
-1.952910
|
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|
10% level
|
|
-1.610011
|
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*MacKinnon (1996) one-sided p-values.
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Annexe7: Test de cointégration des
variables
|
Date: 10/14/14 Time: 17:55
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Sample: 1980 2010
|
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Included observations: 29
|
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Series: LIPC LDC LIPM LM1 LPIBH LTE
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Lags interval: 1 to 1
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Data Trend:
|
None
|
None
|
Linear
|
Linear
|
Quadratic
|
|
Test Type
|
No Intercept
|
Intercept
|
Intercept
|
Intercept
|
Intercept
|
|
No Trend
|
No Trend
|
No Trend
|
Trend
|
Trend
|
|
Trace
|
1
|
2
|
2
|
1
|
1
|
|
Max-Eig
|
0
|
1
|
1
|
1
|
1
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*Critical values based on MacKinnon-Haug-Michelis (1999)
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Annexe 8:
Détermination du retard maximal
VAR Lag Order Selection
Criteria (Endogenous variables: LIPC LM1 LDC LPIBH LTE LIPM)
|
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Lag
|
LogL
|
LR
|
FPE
|
AIC
|
SC
|
HQ
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0
|
44.70426
|
NA
|
4.04e-08
|
-2.836018
|
-2.598125
|
-2.763292
|
|
1
|
146.8250
|
160.4755*
|
1.69e-10*
|
-8.344646
|
-6.917284*
|
-7.908287*
|
|
2
|
173.5540
|
32.45661
|
1.81e-10
|
-8.468143
|
-5.851313
|
-7.668152
|
|
3
|
202.3380
|
24.67201
|
2.41e-10
|
-8.738430*
|
-4.932131
|
-7.574806
|
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* indicates lag order selected by the criterion
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Annexe 9: Estimation du modèle
VECM
|
Vector Error Correction Estimates
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Date: 10/14/14 Time: 17:58
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Sample (adjusted): 1982 2010
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Included observations: 29 after adjustments
|
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Standard errors in ( ) & t-statistics in [ ]
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Cointegrating Eq:
|
CointEq1
|
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LIPC(-1)
|
1.000000
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LDC(-1)
|
2.239761
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(0.33710)
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[ 6.64415]
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LIPM(-1)
|
-2.457373
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(0.30175)
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[-8.14361]
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LM1(-1)
|
1.967173
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(0.28227)
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[ 6.96920]
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LPIBH(-1)
|
5.552406
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(0.67652)
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[ 8.20727]
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C
|
-104.3103
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Error Correction:
|
D(LIPC)
|
D(LDC)
|
D(LIPM)
|
D(LM1)
|
D(LPIBH)
|
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|
CointEq1
|
-0.099743
|
-0.425695
|
0.127363
|
-0.023428
|
-0.062920
|
|
(0.04251)
|
(0.13002)
|
(0.12561)
|
(0.09053)
|
(0.03145)
|
|
[-2.34632]
|
[-3.27401]
|
[ 1.01398]
|
[-0.25880]
|
[-2.00039]
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D(LIPC(-1))
|
0.189934
|
-0.054032
|
-0.105549
|
-0.206158
|
0.043652
|
|
(0.16211)
|
(0.49584)
|
(0.47900)
|
(0.34522)
|
(0.11995)
|
|
[ 1.17161]
|
[-0.10897]
|
[-0.22035]
|
[-0.59718]
|
[ 0.36392]
|
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D(LDC(-1))
|
0.026352
|
-0.258752
|
-0.318064
|
0.011180
|
-0.010475
|
|
(0.06631)
|
(0.20282)
|
(0.19593)
|
(0.14121)
|
(0.04907)
|
|
[ 0.39740]
|
[-1.27576]
|
[-1.62332]
|
[ 0.07918]
|
[-0.21349]
|
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D(LIPM(-1))
|
-0.244291
|
-0.350285
|
0.215769
|
0.027770
|
0.019302
|
|
(0.09035)
|
(0.27636)
|
(0.26697)
|
(0.19241)
|
(0.06686)
|
|
[-2.70368]
|
[-1.26749]
|
[ 0.80820]
|
[ 0.14433]
|
[ 0.28871]
|
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D(LM1(-1))
|
0.146767
|
0.274739
|
0.220336
|
0.305691
|
0.174605
|
|
(0.11443)
|
(0.35001)
|
(0.33812)
|
(0.24368)
|
(0.08467)
|
|
[ 1.28255]
|
[ 0.78495]
|
[ 0.65165]
|
[ 1.25445]
|
[ 2.06215]
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D(LPIBH(-1))
|
0.725014
|
2.028454
|
-0.001171
|
-0.083695
|
0.354408
|
|
(0.38048)
|
(1.16374)
|
(1.12421)
|
(0.81022)
|
(0.28152)
|
|
[ 1.90553]
|
[ 1.74305]
|
[-0.00104]
|
[-0.10330]
|
[ 1.25889]
|
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|
C
|
0.031273
|
0.069294
|
0.045425
|
0.037150
|
-0.017809
|
|
(0.01533)
|
(0.04689)
|
(0.04530)
|
(0.03265)
|
(0.01134)
|
|
[ 2.03980]
|
[ 1.47772]
|
[ 1.00275]
|
[ 1.13791]
|
[-1.56989]
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R-squared
|
0.355899
|
0.527175
|
0.176279
|
0.109771
|
0.356807
|
|
Adj. R-squared
|
0.180235
|
0.398223
|
-0.048372
|
-0.133019
|
0.181390
|
|
Sum sq. resids
|
0.097847
|
0.915371
|
0.854245
|
0.443707
|
0.053569
|
|
S.E. equation
|
0.066690
|
0.203980
|
0.197052
|
0.142016
|
0.049345
|
|
F-statistic
|
2.026020
|
4.088142
|
0.784680
|
0.452122
|
2.034055
|
|
Log likelihood
|
41.37967
|
8.958745
|
9.960870
|
19.45913
|
50.11497
|
|
Akaike AIC
|
-2.371011
|
-0.135086
|
-0.204198
|
-0.859251
|
-2.973446
|
|
Schwarz SC
|
-2.040974
|
0.194951
|
0.125839
|
-0.529214
|
-2.643409
|
|
Mean dependent
|
0.023701
|
0.027666
|
0.053217
|
0.049749
|
-0.011837
|
|
S.D. dependent
|
0.073658
|
0.262948
|
0.192452
|
0.133419
|
0.054539
|
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|
Determinant resid covariance (dof adj.)
|
8.52E-11
|
|
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|
Determinant resid covariance
|
2.14E-11
|
|
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|
Log likelihood
|
150.4838
|
|
|
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|
Akaike information criterion
|
-7.619573
|
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Schwarz criterion
|
-5.733647
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Annexe 10: Test de
causalité de Granger
|
VEC Granger Causality/Block Exogeneity Wald Tests
|
|
Date: 10/14/14 Time: 17:59
|
|
|
Sample: 1980 2010
|
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|
Included observations: 29
|
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Dependent variable: D(LIPC)
|
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Excluded
|
Chi-sq
|
df
|
Prob.
|
|
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|
|
D(LDC)
|
0.157924
|
1
|
0.6911
|
|
D(LIPM)
|
7.309899
|
1
|
0.0069
|
|
D(LM1)
|
1.644939
|
1
|
0.1996
|
|
D(LPIBH)
|
3.631039
|
1
|
0.0567
|
|
|
|
|
|
|
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All
|
8.097008
|
4
|
0.0881
|
|
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|
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|
Annexe 11: Test
d'autocorrelation des résidus
VEC Residual Serial Correlation LM
Tests
|
VEC Residual Serial Correlation LM Tests
|
|
Null Hypothesis: no serial correlation at lag order h
|
|
Date: 10/14/14 Time: 17:59
|
|
|
Sample: 1980 2010
|
|
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|
Included observations: 29
|
|
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|
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Lags
|
LM-Stat
|
Prob
|
|
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|
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|
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|
|
1
|
25.75748
|
0.4206
|
|
|
2
|
26.69227
|
0.3714
|
|
|
3
|
19.93913
|
0.7500
|
|
|
4
|
21.51712
|
0.6635
|
|
|
|
|
|
|
|
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|
|
Probs from chi-square with 25 df.
|
|
Annexe 12 Test hetéroscedastcité des
résidus
|
VEC Residual Heteroskedasticity
Tests: No Cross Terms (only levels and squares)
|
|
Date: 10/14/14 Time: 18:00
|
|
|
|
|
Sample: 1980 2010
|
|
|
|
|
|
Included observations: 29
|
|
|
|
|
|
|
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|
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|
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|
|
Joint test:
|
|
|
|
|
|
|
|
|
|
|
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|
|
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|
Chi-sq
|
df
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
189.9908
|
180
|
0.2904
|
|
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|
|
|
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|
Annexe 13: Réponse
Impulsionnelle
|
|
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|
Response of LIPC:
|
|
|
|
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|
Period
|
LIPC
|
LDC
|
LIPM
|
LM1
|
LPIBH
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
0.066690
|
0.000000
|
0.000000
|
0.000000
|
0.000000
|
|
2
|
0.085751
|
-0.033097
|
-0.002452
|
-0.008493
|
0.007031
|
|
3
|
0.090552
|
-0.031160
|
0.011979
|
-0.014872
|
-0.011873
|
|
4
|
0.087573
|
-0.033590
|
0.005385
|
-0.018956
|
-0.014674
|
|
5
|
0.084468
|
-0.031377
|
-0.002158
|
-0.019770
|
-0.010133
|
|
6
|
0.086588
|
-0.034804
|
-0.000574
|
-0.021935
|
-0.008886
|
|
7
|
0.087427
|
-0.034059
|
0.002306
|
-0.022416
|
-0.012047
|
|
8
|
0.086613
|
-0.033885
|
0.000669
|
-0.022351
|
-0.011867
|
|
9
|
0.086289
|
-0.033780
|
-0.000373
|
-0.022317
|
-0.010777
|
|
10
|
0.086769
|
-0.034251
|
0.000362
|
-0.022577
|
-0.010902
|
|
|
|
|
|
|
|
|
|
|
|
|
Annexe 14: Variance
décomposition
ANNEXE 16: LES
DONNÉES
|
IPC
|
DC
|
PIBH
|
TE
|
IPM
|
M1
|
|
1980
|
47,93
|
1505100
|
259,485145
|
211,28
|
151,1
|
77 933 000 000
|
|
1981
|
58,91
|
1423200
|
253,836276
|
271,73
|
129,7
|
94 069 000 000
|
|
1982
|
65,77
|
1444700
|
250,89676
|
328,61
|
118,6
|
82 976 000 000
|
|
1983
|
64,13
|
1449400
|
232,482403
|
381,07
|
82,3
|
82 688 000 000
|
|
1984
|
69,50
|
903600
|
188,117072
|
436,96
|
73,4
|
101 024 000 000
|
|
1985
|
68,86
|
1563300
|
197,119019
|
449,26
|
94
|
108 105 000 000
|
|
1986
|
66,65
|
1551400
|
203,909781
|
346,31
|
93,7
|
121 051 000 000
|
|
1987
|
62,17
|
1217100
|
198,422912
|
300,54
|
79,1
|
114 443 000 000
|
|
1988
|
61,31
|
2026700
|
206,146603
|
297,85
|
98,4
|
131 812 000 000
|
|
1989
|
59,56
|
1269100
|
202,054721
|
319,01
|
92,4
|
139 461 000 000
|
|
1990
|
59,10
|
1188500
|
193,497958
|
272,26
|
98,9
|
133 810 000 000
|
|
1991
|
54,49
|
1896400
|
192,219165
|
282,11
|
90,4
|
121 954 000 000
|
|
1992
|
52,06
|
1847700
|
173,987913
|
264,69
|
121,8
|
120 788 000 000
|
|
1993
|
51,42
|
1767500
|
170,775839
|
283,16
|
95,4
|
120 874 000 000
|
|
1994
|
69,96
|
2181700
|
171,746869
|
555,20
|
83,5
|
120 874 000 000
|
|
1995
|
77,35
|
1769100
|
170,329065
|
499,15
|
94,5
|
129 004 000 000
|
|
1996
|
81,44
|
1906500
|
170,194719
|
511,55
|
113,4
|
133 844 000 000
|
|
1997
|
83,83
|
1840300
|
168,906844
|
583,67
|
94,5
|
125 030 000 000
|
|
1998
|
87,64
|
2574900
|
180,104401
|
589,95
|
119,2
|
98 384 900 000
|
|
1999
|
85,62
|
2734800
|
172,927358
|
615,70
|
103,8
|
80 206 000 000
|
|
2000
|
88,10
|
2343800
|
164,648948
|
711,98
|
100
|
92 564 100 000
|
|
2001
|
91,63
|
2612400
|
170,331118
|
733,04
|
104,3
|
104 427 000 000
|
|
2002
|
94,04
|
2683800
|
169,474044
|
696,99
|
118,4
|
137 001 000 000
|
|
2003
|
92,52
|
2979800
|
172,386935
|
581,20
|
157,4
|
136 090 000 000
|
|
2004
|
92,77
|
2263600
|
166,66443
|
528,28
|
189,8
|
136 090 000 000
|
|
2005
|
100,00
|
3672800
|
168,173754
|
527,47
|
238,7
|
193 904 000 000
|
|
2006
|
100,04
|
3373600
|
171,76448
|
522,89
|
240,2
|
233 090 000 000
|
|
2007
|
100,09
|
3349900
|
171,4211
|
479,27
|
290,6
|
248 509 000 000
|
|
2008
|
111,41
|
3298800
|
179,83114
|
447,81
|
398,4
|
288 792 000 000
|
|
2009
|
116,21
|
4019108
|
171,475717
|
472,19
|
598,2
|
355 653 000 000
|
|
2010
|
117,14
|
3174750
|
180,083922
|
495,28
|
607
|
398 114 000 000
|
SOURCE : LA BASE DES DONNEES DE LA
BANQUE MONDIALE (2011)
|
|
