Annexes
Tableau 1: Test d'hRmRi 3Q3it3
Redundant Fixed Effects Tests Equation: EQ01
Test cross-section fixed effects
|
Effects Test
|
Statistic
|
d.f.
|
Prob.
|
|
Cross-section F
Cross-section Chi-square
|
3.964712
35.431574
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(9,345)
9
|
0.0001
0.0000
|
Tableau 2: Modèle à effets
aléatoires
Dependent Variable: BETA
Method: Panel EGLS (Period random effects) Date: 04/26/09 Time:
23:38
Sample: 2006M01 2008M12
Cross-sections included: 10
Total panel (balanced) observations: 360
Swamy and Arora estimator of component variances
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
C
|
0.212594
|
0.001284
|
165.5102
|
0.0000
|
|
LIQUIDITE
|
-8.31E-37
|
8.16E-23
|
-1.02E-14
|
1.0000
|
|
TUNINDEX
|
3.68E-06
|
1.18E-07
|
31.26380
|
0.0000
|
INFLATION 0.002299 0.000641 3.587501 0.0004
PER 1.49E-29 6.83E-17 2.18E-13 1.0000
DIVIDENDE 4.15E-28 1.21E-15 3.42E-13 1.0000
Effects Specification
S.D. Rho
Period random 0.002010 1.0000
Id iosyncratic random 9.87E-16 0.0000
Weighted Statistics
3.54E-
R-squared 0.906186 Mean dependent var 14
|
Adjusted R-
squared 0.904861 S.D. dependent var
S.E. of regression 5.33E-16 Sum squared resid
F-statistic 683.8845 Durbin-Watson stat
Prob(F-statistic) 0.000000
|
1.73E-
15
1.01E-
28
0.09399
4
|
Unweighted Statistics
0.22786
R-squared 0.906220 Mean dependent var 9
0.09398
Sum squared resid 0.004169 Durbin-Watson stat 7
Tableau 3 : Modèle à effet
fixe
Dependent Variable: BETA
Method: Panel Least Squares
Date: 04/26/09 Time: 20:55
Sample: 2006M01 2008M12
Cross-sections included: 10
Total panel (balanced) observations: 360
Variable Coefficient Std. Error t-Statistic Prob.
C 0.201 395 0.002044 98.55099 0.0000
LIQUIDITE -1.11E-10 2.49E-10 -0.447208 0.6550
TUNINDEX 3.67E-06 5.91 E-08 62.09501 0.0000
INFLATION 0.001 977 0.000325 6.086478 0.0000
PER 0.002205 0.000390 5.652296 0.0000
DIVIDENDE 0.017674 0.004336 4.076519 0.0001
Effects Specification
Cross-section fixed (dummy variables)
R-squared 0.921566 Mean dependent var 0.227869
Adjusted R-
squared 0.918383 S.D. dependent var 0.011128
S.E. of regression 0.003179 Akaike info criterion -8.623601
Tableau 4: Test de hausman
Correlated Random Effects - Hausman Test
Equation: EQ01
Test cross-section random effects
Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob.
Cross-section random 0.000000 5 1.0000
* Cross-section test variance is invalid. Hausman statistic set
to zero. ** Warning: estimated cross-section random effects variance is
zero.
Cross-section random effects test com parisons
Variable Fixed Random Var (Diff.) Prob.
LIQUIDITE -0.000000 0.000000 0.000000 0.0397
TUNINDEX 0.000004 0.000004 0.000000 0.3850
INFLATION 0.001 977 0.002138 0.000000 0.0000
PER 0.002205 0.000607 0.000000 0.0000
DIVIDENDE 0.017674 0.012431 0.000006 0.0392
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