Annexe 1 : Résumé du test de rang de
cointégration ( summary)
Date: 12/01/09 Time: 13:57
Sample: 1989 2010
Included observations: 20 Series: LNY LNE LNI LNS Lags
interval: 1 to 1
Selected
(0.05 level*)
Number
of
Cointegrati
ng
Relations
by Model
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 1 1 1 1
Max-Eig 1 1 1 1 1
*Critical values based on MacKinnon-Haug-Michelis (1999)
Informatio n Criteria by Rank and Model
Data Trend: None None Linear Linear Quadratic
Rank or No Intercept Intercept Intercept Intercept Intercept
No. of Ces No Trend No Trend No Trend Trend Trend
Log
Likelihood
by Rank
(rows)
and
Model
(columns)
0 29.64323 29.64323 35.51818 35.51818 37.52188
1 45.98090 50.31373 52.77434 53.35082 55.09263
2 51.24214 56.94744 57.93474 60.42514 61.89447
3 53.55864 61.54668 62.34828 65.42055 66.54951
4 54.21691 63.80742 63.80742 69.09793 69.09793
Akaike
Information Criteria by Rank (rows) and Model (columns)
0 -1.364323 -1.364323 -1.551818 -1.551818 -1.352188
1 -2.198090 -2.531373* -2.477434 -2.435082 -2.309263
2 -1.924214 -2.294744 -2.193474 -2.242514 -2.189447
3 -1.355864 -1.854668 -1.834828 -1.842055 -1.854951
4 -0.621691 -1.180742 -1.180742 -1.309793 -1.309793
Schwarz Criteria by Rank (rows) and Model (columns)
0 -0.567737 -0.567737 -0.556086 -0.556086 -0.157309
1 -1.003212 -1.286707* -1.083408 -0.991271 -0.716091
2 -0.331043 -0.601999 -0.401156 -0.350623 -0.197983
3 0.635600 0.286156 0.355783 0.497916 0.534807
4 1.768066 1.408162 1.408162 1.478257 1.478257
Annexe 2 : Test de cointégration de
JOHANSEN(1988)
Date: 12/01/09 Time: 14:49
Sample (adjusted): 1991 2010
Included observations: 20 after adjustments Trend assumption: No
deterministic trend Series: LNY LNE LNS LNI
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
|
Hypothesized
|
|
Trace
|
0.05
|
|
|
No. of CE(s)
|
Eigenvalue
|
Statistic
|
Critical Value
|
Prob.**
|
|
None *
|
0.804807
|
49.14736
|
40.17493
|
0.0049
|
|
At most 1
|
0.409109
|
16.47201
|
24.27596
|
0.3463
|
|
At most 2
|
0.206776
|
5.949531
|
12.32090
|
0.4422
|
|
At most 3
|
0.063707
|
1.316538
|
4.129906
|
0.2936
|
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level *
denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis
(1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
|
Hypothesized
|
|
Max-Eigen
|
0.05
|
|
|
No. of CE(s)
|
Eigenvalue
|
Statistic
|
Critical Value
|
Prob.**
|
|
None *
|
0.804807
|
32.67535
|
24.15921
|
0.0028
|
|
At most 1
|
0.409109
|
10.52248
|
17.79730
|
0.4317
|
|
At most 2
|
0.206776
|
4.632993
|
11.22480
|
0.5305
|
|
At most 3
|
0.063707
|
1.316538
|
4.129906
|
0.2936
|
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05
level * denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by
b'*S11*b=I):
|
LNY
|
LNE
|
LNS
|
LNI
|
|
|
-0.756751
|
-0.974384
|
-1.122997
|
4.068863
|
|
|
1.362404
|
2.608039
|
-1.985947
|
-2.544138
|
|
|
0.396602
|
-0.751874
|
-0.460040
|
0.779755
|
|
|
0.127470
|
0.017530
|
1.546773
|
-3.196103
|
|
|
Unrestricted Adjustment Coefficients (alpha):
|
|
|
|
|
|
|
0.00524
|
|
D(LNY)
|
-0.059981
|
0.002444
|
-0.009733
|
6
|
|
|
|
|
0.02397
|
|
D(LNE)
|
-0.057222
|
-0.182853
|
0.097736
|
1
|
|
D(LNS) 0.011157
|
0.120405
|
0.075492
|
9
|
|
|
|
-
|
|
D(LNI) -0.081877
|
0.021231
|
0.008155
|
0.020760
|
|
1 Cointegrating Equation(s):
|
Log likelihood
|
45.98090
|
|
Normalized cointegrating coefficients (standard error in
parentheses) LNY LNE LNS LNI
1.000000 1.287589 1.483972 -5.376753
(0.24839) (0.42862) (0.69060)
Adjustment coefficients (standard error in parentheses)
D(LNY) 0.045391
(0.00824)
D(LNE) 0.043303
(0.07252)
D(LNS) -0.008443
(0.05025)
D(LNI) 0.061961
(0.01936)
2 Cointegrating Equation(s): Log likelihood 51.24214
Normalized cointegrating coefficients (standard error in
parentheses)
|
LNY
|
LNE
|
LNS
|
LNI
|
|
1.000000
|
0.000000
|
7.527728
|
-12.58691
|
|
|
(1.72208)
|
(2.81209)
|
|
0.000000
|
1.000000
|
-4.693855
|
5.599731
|
|
|
(1.11977)
|
(1.82854)
|
|
Adjustment coefficients (standard error in parentheses)
|
|
D(LNY)
|
0.048720
|
0.064818
|
|
(0.01694)
|
(0.03025)
|
|
D(LNE)
|
-0.205817
|
-0.421131
|
|
(0.12996)
|
(0.23216)
|
|
D(LNS)
|
0.155597
|
0.303150
|
|
(0.09145)
|
(0.16337)
|
|
D(LNI)
|
0.090887
|
0.135152
|
|
(0.03894)
|
(0.06956)
|
3 Cointegrating Equation(s): Log likelihood 53.55864
Normalized cointegrating coefficients (standard error in
parentheses)
|
LNY
|
LNE
|
LNS
|
LNI
|
|
1.000000
|
0.000000
|
0.000000
|
-1.813445
|
|
|
|
(0.30769)
|
|
0.000000
|
1.000000
|
0.000000
|
-1.117975
|
|
|
|
(0.19224)
|
0.000000 0.000000 1.000000 -1.431170
(0.06348)
Adjustment coefficients (standard error in parentheses)
|
D(LNY)
|
0.044860
|
0.072136
|
0.066983
|
|
(0.01700)
|
(0.03049)
|
(0.02461)
|
|
D(LNE)
|
-0.167054
|
-0.494616
|
0.382433
|
|
(0.12781)
|
(0.22920)
|
(0.18497)
|
|
D(LNS)
|
0.185538
|
0.246389
|
-0.286377
|
|
(0.08901)
|
(0.15962)
|
(0.12882)
|
|
D(LNI)
|
0.094121
|
0.129021
|
0.046032
|
|
(0.04004)
|
(0.07180)
|
(0.05794)
|
| 
