Annexe n°2 : Relation de long terme
Dependent Variable: LPIBRH Method: Least Squares
Date: 01/05/13 Time: 17:38 Sample: 1980 2010
Included observations: 31
|
Variable
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
SDX
|
-0.001161
|
0.000639 -1.817961
|
0.0811
|
|
LINV
|
0.056627
|
0.023779 2.381374
|
0.0252
|
|
LIPC
|
-0.141276
|
0.012572 -11.23702
|
0.0000
|
|
LTEC
|
-0.061892
|
0.044232 -1.399272
|
0.1740
|
|
LAPD
|
0.073723
|
0.016200 4.550747
|
0.0001
|
|
C
|
10.41687
|
0.236523 44.04164
|
0.0000
|
|
R-squared
|
0.913983
|
Mean dependent var
|
9.853532
|
|
Adjusted R-squared
|
0.896779
|
S.D. dependent var
|
0.140679
|
|
S.E. of regression
|
0.045197
|
Akaike info criterion
|
-3.183569
|
|
Sum squared resid
|
0.051070
|
Schwarz criterion
|
-2.906023
|
|
Log likelihood
|
55.34532
|
F-statistic
|
53.12796
|
|
Durbin-Watson stat
|
1.029630
|
Prob(F-statistic)
|
0.000000
|
Annexe n°3 : Test de stationnarité (PP
Test)
PP Test Statistic -4.053726 1% Critical Value* -2.6423
5% Critical Value -1.9526
10% Critical Value -1.6216
*MacKinnon critical values for rejection of hypothesis of a unit
root.
Lag truncation for Bartlett kernel: 3 ( Newey-West suggests: 3
)
Residual variance with no correction 0.001118
Residual variance with correction 0.001104
Phillips-Perron Test Equation
Dependent Variable: D(RES)
Method: Least Squares
Date: 01/09/13 Time: 15:17
Sample(adjusted): 1981 2010
Included observations: 30 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
RES(-1) -0.611411 0.150736 -4.056169 0.0003
R-squared 0.358913 Mean dependent var 0.002892
Adjusted R-squared 0.358913 S.D. dependent var 0.042480
S.E. of regression 0.034013 Akaike info criterion -3.891382
Sum squared resid 0.033550 Schwarz criterion -3.844676
Log likelihood 59.37074 Durbin-Watson stat 2.071827
iv
Annexe n°4 : Test de stationnarité de la
série résiduelle (ADF Test)
ADF Test Statistic -3.192606 1% Critical Value* -2.6453
5% Critical Value -1.9530
10% Critical Value -1.6218
*MacKinnon critical values for rejection of hypothesis of a
unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RES)
Method: Least Squares
Date: 01/09/13 Time: 15:16
Sample(adjusted): 1982 2010
Included observations: 29 after adjusting endpoints
|
Variable
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
RES(-1)
|
-0.623323
|
0.195240 -3.192606
|
0.0036
|
|
D(RES(-1))
|
-0.046837
|
0.180176 -0.259950
|
0.7969
|
|
R-squared
|
0.341479
|
Mean dependent var
|
0.001407
|
|
Adjusted R-squared
|
0.317089
|
S.D. dependent var
|
0.042433
|
|
S.E. of regression
|
0.035066
|
Akaike info criterion
|
-3.796711
|
|
Sum squared resid
|
0.033199
|
Schwarz criterion
|
-3.702415
|
|
Log likelihood
|
57.05231
|
Durbin-Watson stat
|
1.948860
|
Annexe n°5 : Modèle à Correction
d'Erreur
Dependent Variable: D(LPIBRH)
Method: Least Squares
Date: 01/09/13 Time: 15:19
Sample(adjusted): 1981 2010
Included observations: 30 after adjusting endpoints
|
Variable
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
C
|
0.024441
|
0.010092 2.421829
|
0.0237
|
|
D(SDX)
|
-0.001084
|
0.000404 -2.681274
|
0.0133
|
|
D(LINV)
|
-0.013362
|
0.019517 -0.684642
|
0.5004
|
|
D(LIPC)
|
-0.328050
|
0.087483 -3.749888
|
0.0010
|
|
D(LTEC)
|
-0.087805
|
0.030621 -2.867505
|
0.0087
|
|
D(LAPD)
|
0.042524
|
0.010589 4.015978
|
0.0005
|
|
RES(-1)
|
-0.528481
|
0.127191 -4.155026
|
0.0004
|
|
R-squared
|
0.671493
|
Mean dependent var
|
-0.005369
|
|
Adjusted R-squared
|
0.585796
|
S.D. dependent var
|
0.041740
|
|
S.E. of regression
|
0.026863
|
Akaike info criterion
|
-4.195169
|
|
Sum squared resid
|
0.016597
|
Schwarz criterion
|
-3.868223
|
|
Log likelihood
|
69.92753
|
F-statistic
|
7.835625
|
|
Durbin-Watson stat
|
1.512331
|
Prob(F-statistic)
|
0.000113
|
V
Annexe n°6 : Test de multicolinéarité de
KLEIN
|
LPIBRH
|
SDX
|
LINV
|
LIPC
|
LTEC
|
LAPD
|
LDPIB
|
|
LPIBRH
|
1.000000
|
-0.494067
|
0.369621
|
-0.867608
|
0.624562
|
0.035163
|
-0.526078
|
|
SDX
|
|
1.000000
|
-0.12308
|
0.623490
|
-0.731285
|
0.558267
|
0.811250
|
|
LINV
|
|
|
1.000000
|
-0.104352
|
0.371320
|
0.340523
|
-0.480642
|
|
LIPC
|
|
|
|
1.000000
|
-0.698857
|
0.343991
|
0.602742
|
|
LTEC
|
|
|
|
|
1.000000
|
-0.273840
|
-0.749776
|
|
LAPD
|
|
|
|
|
|
1.000000
|
0.354630
|
|
LDPIB
|
|
|
|
|
|
1.000000
|
| 
