ANNEXES
TableauA3.1: Résultat du test d'ADF sur
lcap priv en niveau
Null Hypothesis: LCAP_PRIV has a unit root
Exogenous: None
Lag Length: 2 (Automatic based on AIC, MAXLAG=10)
t-Statisti c Prob.*
Augmented Dickey-Fuller test statistic 1.443467 0.9584
Test critical values: 1% level -2.669359
5% level -1.956406
10% level -1.608495
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(LCAP_PRIV) Method: Least Squares
Date: 03/17/11 Time: 06:43
Sample (adjusted): 1988 2010
Included observations: 23 after adjustments
|
Variable
|
Coefficient
|
Std. Error t-Statisti c
|
Prob.
|
|
LCAP_PRIV(-1)
|
0.002727
|
0.001889 1.443467
|
0.1644
|
|
D(LCAP_PRIV(-1))
|
-0.084108
|
0.218418 -0.385078
|
0.7042
|
|
D(LCAP_PRIV(-2))
|
0.227316
|
0.211739 1.073566
|
0.2958
|
|
R-squared
|
0.064308
|
Mean dependent var
|
0.082296
|
|
Adjusted R-squared
|
-0.029262
|
S.D. dependent var
|
0.189020
|
|
S.E. of regression
|
0.191766
|
Akaike info criterion
|
-0.343974
|
|
Sum squared resid
|
0.735484
|
Schwarz criterion
|
-0.195866
|
|
Log likelihood
|
6.955695
|
Hannan-Quinn criter.
|
-0.306725
|
|
Durbin-Watson stat
|
2.027973
|
|
|
TableauA3.2: Résultat du test d'ADF sur
lcap priv en différence première
Null Hypothesis: D(LCAP_PRIV) has a unit root Exogenous: None
Lag Length: 10 (Automatic based on AIC, MAXLAG=10)
t-Statisti c Prob.*
Augmented Dickey-Fuller test statistic -2.314560 0.0247
Test critical values: 1% level -2.740613
5% level -1.968430
10% level -1.604392
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20
observations and may not be accurate for a sample size of 14
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(LCAP_PRIV,2) Method: Least Squares
Date: 03/17/11 Time: 06:45
Sample (adjusted): 1997 2010
Included observations: 14 after adjustments
|
Variable
|
Coefficient
|
Std. Error t-Statisti c
|
Prob.
|
|
D(LCAP_PRIV(-1))
|
-0.890806
|
0.384870 -2.314560
|
0.1036
|
|
D(LCAP_PRIV(-1),2)
|
-0.887810
|
0.371852 -2.387533
|
0.0970
|
|
D(LCAP_PRIV(-2),2)
|
-1.052776
|
0.678633 -1.551318
|
0.2186
|
|
D(LCAP_PRIV(-3),2)
|
-1.583638
|
0.829538 -1.909060
|
0.1523
|
|
D(LCAP_PRIV(-4),2)
|
-1.655312
|
0.768693 -2.153411
|
0.1203
|
|
D(LCAP_PRIV(-5),2)
|
-0.505568
|
0.490978 -1.029717
|
0.3789
|
|
D(LCAP_PRIV(-6),2)
|
-0.218265
|
0.421382 -0.517974
|
0.6403
|
|
D(LCAP_PRIV(-7),2)
|
0.193323
|
0.290907 0.664554
|
0.5539
|
|
D(LCAP_PRIV(-8),2)
|
0.117097
|
0.304579 0.384456
|
0.7263
|
|
D(LCAP_PRIV(-9),2)
|
-0.374957
|
0.321316 -1.166942
|
0.3276
|
|
D(LCAP_PRIV(-10),2)
|
-0.295778
|
0.221641 -1.334491
|
0.2743
|
|
R-squared
|
0.956307
|
Mean dependent var
|
-0.001899
|
|
Adjusted R-squared
|
0.810664
|
S.D. dependent var
|
0.241160
|
|
S.E. of regression
|
0.104935
|
Akaike info criterion
|
-1.639961
|
|
Sum squared resid
|
0.033034
|
Schwarz criterion
|
-1.137845
|
|
Log likelihood
|
22.47973
|
Hannan-Quinn criter.
|
-1.686441
|
|
Durbin-Watson stat
|
2.406135
|
|
|
ANNEXE4
TableauA4.1: Résultat du test d'ADF sur
lpib en niveau
Null Hypothesis: LPIB has a unit root
Exogenous: None
Lag Length: 4 (Automatic based on AIC, MAXLAG=10)
t-Statisti c Prob.*
Augmented Dickey-Fuller test statistic 4.108614 0.9999
Test critical values: 1% level -2.679735
5% level -1.958088
10% level -1.607830
45
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(LPIB)
Method: Least Squares
46
Date: 03/17/11 Time: 06:48
|
Sample (adjusted): 1990 2010
Included observations: 21 after adjustments
|
|
|
Variable
|
Coefficient
|
Std. Error t-Statisti c
|
Prob.
|
|
LPIB(-1)
|
0.001304
|
0.000317 4.108614
|
0.0008
|
|
D(LPIB(-1))
|
0.021866
|
0.179956 0.121510
|
0.9048
|
|
D(LPIB(-2))
|
0.239190
|
0.183635 1.302530
|
0.2112
|
|
D(LPIB(-3))
|
0.018266
|
0.151617 0.120473
|
0.9056
|
|
D(LPIB(-4))
|
-0.156175
|
0.156126 -1.000315
|
0.3320
|
|
R-squared
|
0.087980
|
Mean dependent var
|
0.041104
|
|
Adjusted R-squared
|
-0.140024
|
S.D. dependent var
|
0.011669
|
|
S.E. of regression
|
0.012459
|
Akaike info criterion
|
-5.728432
|
|
Sum squared resid
|
0.002484
|
Schwarz criterion
|
-5.479736
|
|
Log likelihood
|
65.14854
|
Hannan-Quinn criter.
|
-5.674459
|
|
Durbin-Watson stat
|
1.896744
|
|
|
TableauA4.2: Résultat du test d'ADF sur
lpib en difference première
Null Hypothesis: D(LPIB) has a unit root
Exogenous: Constant
Lag Length: 3 (Automatic based on AIC, MAXLAG=10)
t-Statisti c Prob.*
Augmented Dickey-Fuller test statistic -4.112978 0.0049
Test critical values: 1% level -3.788030
5% level -3.012363
10% level -2.646119
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(LPIB,2)
Method: Least Squares
Date: 03/17/11 Time: 06:49
Sample (adjusted): 1990 2010
Included observations: 21 after adjustments
|
Variable
|
Coefficient
|
Std. Error t-Statisti c
|
Prob.
|
|
D(LPIB(-1))
|
-0.869818
|
0.211481 -4.112978
|
0.0008
|
|
D(LPIB(-1),2)
|
-0.111614
|
0.212366 -0.525574
|
0.6064
|
|
D(LPIB(-2),2)
|
0.126143
|
0.218706 0.576772
|
0.5721
|
|
D(LPIB(-3),2)
|
0.150378
|
0.154930 0.970623
|
0.3462
|
|
C
|
0.035474
|
0.008509 4.169226
|
0.0007
|
|
R-squared
|
0.753727
|
Mean dependent var
|
0.002678
|
|
Adjusted R-squared
|
0.692158
|
S.D. dependent var
|
0.022287
|
|
S.E. of regression
|
0.012365
|
Akaike info criterion
|
-5.743576
|
|
Sum squared resid
|
0.002446
|
Schwarz criterion
|
-5.494880
|
|
Log likelihood
|
65.30755
|
Hannan-Quinn criter.
|
-5.689603
|
|
F-statisti c
|
12.24212
|
Durbin-Watson stat
|
1.924849
|
|
Prob(F-statisti c)
|
0.000095
|
|
|
ANNFXF5
TableauA5.1 : Resultat du test de ADF sur les
residus de la relation de long terme de cointegration
Null Hypothesis: RESID01 has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 10 (Automatic based on AIC, MAXLAG=10)
t-Statisti c Prob.*
Augmented Dickey-Fuller test statistic -16.11361 0.0001
Test critical values: 1% level -4.728363
5% level -3.759743
10% level -3.324976
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20
observations and may not be accurate for a sample size of 15
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(RESID01)
Method: Least Squares
Date: 03/17/11 Time: 06:55
Sample (adjusted): 1996 2010
Included observations: 15 after adjustments
47
Variable
|
Coefficient
|
Std. Error t-Statisti c
|
Prob.
|
|
RESID01(-1)
|
-2.415925
|
0.149931 -16.11361
|
0.0038
|
|
D(RESID01(-1))
|
1.244417
|
0.115176 10.80449
|
0.0085
|
|
D(RESID01(-2))
|
0.195685
|
0.059563 3.285313
|
0.0815
|
|
D(RESID01(-3))
|
0.390650
|
0.064687 6.039045
|
0.0263
|
|
D(RESID01(-4))
|
0.270158
|
0.063814 4.233496
|
0.0515
|
|
D(RESID01(-5))
|
0.145498
|
0.060363 2.410381
|
0.1375
|
|
D(RESID01(-6))
|
0.263646
|
0.052295 5.041489
|
0.0372
|
|
D(RESID01(-7))
|
0.081632
|
0.046297 1.763219
|
0.2199
|
|
D(RESID01(-8))
|
0.493924
|
0.047304 10.44140
|
0.0090
|
|
D(RESID01(-9))
|
0.216835
|
0.042983 5.044636
|
0.0371
|
|
D(RESID01(-10))
|
0.420300
|
0.040097 10.48209
|
0.0090
|
|
C
|
-0.544065
|
0.038127 -14.26981
|
0.0049
|
|
@TREND(1985)
|
0.027994
|
0.001948 14.37140
|
0.0048
|
|
R-squared
|
0.997472
|
Mean dependent var
|
0.014082
|
|
Adjusted R-squared
|
0.982306
|
S.D. dependent var
|
0.036433
|
|
S.E. of regression
|
0.004846
|
Akaike info criterion
|
-8.102762
|
|
Sum squared resid
|
4.70E-05
|
Schwarz criterion
|
-7.489118
|
|
Log likelihood
|
73.77071
|
Hannan-Quinn criter.
|
-8.109298
|
|
F-statisti c
|
65.76751
|
Durbin-Watson stat
|
3.120306
|
|
Prob(F-statisti c)
|
0.015071
|
|
|
48
Date: 03/17/11 Time: 07:01
Sample (adjusted): 1987 2010
Included observations: 24 after adjustments
Trend assumption: No deterministic trend (restricted constant)
Series: LDEP LMHAT LPIB LCAP_PRIV
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 *
|
0.742367
|
76.06177
|
54.07904
|
0.0002
|
|
At most 1 *
|
0.617312
|
43.51254
|
35.19275
|
0.0051
|
|
At most 2 *
|
0.396130
|
20.45972
|
20.26184
|
0.0470
|
|
At most 3
|
0.293966
|
8.354212
|
9.164546
|
0.0711
|
Trace test indicates 3 cointegrating eqn(s) at the 0.05 level *
denotes rejection of the hypothesis at the 0.05 level
**Ma cKinnon-Haug-Mi chelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
|
Hypothesized
|
|
Max-Eigen
|
0.05
|
|
|
No. of CE(s)
|
Eigenvalue
|
Statistic
|
Critical Value
|
Prob.**
|
|
None *
|
0.742367
|
32.54923
|
28.58808
|
0.0147
|
|
At most 1 *
|
0.617312
|
23.05282
|
22.29962
|
0.0392
|
|
At most 2
|
0.396130
|
12.10551
|
15.89210
|
0.1799
|
|
At most 3
|
0.293966
|
8.354212
|
9.164546
|
0.0711
|
Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05
level * denotes rejection of the hypothesis at the 0.05 level
**Ma cKinnon-Haug-Mi chelis (1999) p-values
| 
