Annexe 5 : Test de normalités des erreurs
à court terme
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8 6 4 2
0
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Series: Residuals
Sample 1982 2010
Observations 29
Mean 2.56E-16
Median -0.000378
Maximum 0.250436
Minimum -0.371484
Std. Dev. 0.144963
Skewness -0.453952
Kurtosis 2.935001
Jarque-Bera 1.001122
Probability 0.606190
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-0.4 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3
Annexe 6 : Breusch-Godfrey Serial Correlation LM
Test:
F-statistic 0.013548 Probability 0.986553
Obs*R-squared 0.041297 Probability 0.979563
Test Equation:
Dependent Variable: RESID Method: Least Squares
vi
Date: 12/02/15 Time: 10:20
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Variable
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Coefficient
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C
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0.302386
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D(LOG(MASMON))
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-0.001225
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D(LOG(RESERV))
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-0.001239
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D(LOG(CREDOM))
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-0.000360
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D(LOG(EXPORT))
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-0.012270
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D(LOG(TAUDINTER)
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0.003650
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)
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D(LOG(INVPRIV))
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0.001470
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LOG(PIBT(-1))
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-0.013208
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RESID(-1)
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0.036501
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RESID(-2)
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0.055306
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R-squared
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0.001424
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Adjusted R-squared
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-0.471586
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S.E. of regression
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0.175853
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Sum squared resid
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0.587561
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Log likelihood
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15.38732
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Durbin-Watson stat
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1.874748
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Std. Error t-Statistic Prob.
3.522510 0.085844 0.9325 0.032744 -0.037400 0.9706 0.055869
-0.022176 0.9825 0.043904 -0.008206 0.9935 0.155434 -0.078942 0.9379 0.062824
0.058096 0.9543
0.085495 0.017192 0.9865 0.154577 -0.085445 0.9328 0.364647
0.100099 0.9213 0.343819 0.160859 0.8739
Mean dependent var 2.55E-16
S.D. dependent var 0.144963
Akaike info criterion -0.371539
Schwarz criterion 0.099942
F-statistic 0.003011
Prob(F-statistic) 1.000000
Annexe7 : White Heteroskedasticity Test:
F-statistic 13.21350 Probability 0.000010
Obs*R-squared 26.95969 Probability 0.019487
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares
Date: 12/02/15 Time: 10:22 Sample: 1982 2010
Included observations: 29
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Variable Coefficie
nt
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Std. Error t-Statistic Prob.
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C 7.888492 12.95527 0.608902 0.5523
D(LOG(MASMON)) 0.000422 0.002211 0.191047 0.8512
(D(LOG(MASMON)))^2 - 0.000996 -0.380810 0.7091
0.000379
D(LOG(RESERV)) 0.007934 0.005576 1.422738 0.1767
(D(LOG(RESERV)))^2 0.002320 0.003067 0.756604 0.4618
D(LOG(CREDOM)) - 0.003542 -0.749451 0.4660
0.002654
(D(LOG(CREDOM)))^2 0.022426 0.002384 9.408280 0.0000
VII
D(LOG(EXPORT)) 0.001102
(D(LOG(EXPORT)))^2 -
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0.015708
D(LOG(TAUDINTER)) 0.020564
(D(LOG(TAUDINTER))) -
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^2
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0.001939
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D(LOG(INVPRIV))
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-
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0.014265
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(D(LOG(INVPRIV)))^2
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0.011319
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LOG(PIBT(-1))
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-
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0.707875
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(LOG(PIBT(-1)))^2
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0.015872
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R-squared
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0.929644
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Adjusted R-squared
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0.859289
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S.E. of regression
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0.010775
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Sum squared resid
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0.001625
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Log likelihood
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100.7967
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Durbin-Watson stat
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1.558022
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0.020883 -0.752189 0.4644
0.012307 0.089512 0.9299
0.004111 5.002502 0.0002
0.003300 -0.587639 0.5661
0.005826 -2.448737 0.0281
0.005377 2.105028 0.0538
1.139409 -0.621265 0.5444
0.025050 0.633599 0.5366
Mean dependent var 0.020290
S.D. dependent var 0.028723
Akaike info criterion -5.917017
Schwarz criterion -5.209795
F-statistic 13.21350
Prob(F-statistic) 0.000010
iv
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