ANNEXES
BASE DES DONNEES
|
Année
|
DPT
|
INST
|
PFN
|
PIBHB
|
TXINFL
|
CDRT
|
|
1980
|
0,672
|
1
|
7,901
|
613,644
|
36,8
|
0,0041
|
|
1981
|
0,583
|
1
|
8,807
|
612,006
|
40,9
|
0,0044
|
|
1982
|
0,700
|
1
|
10,783
|
594,009
|
35,3
|
0,0045
|
|
1983
|
0,482
|
0
|
72,372
|
587,424
|
100,8
|
0,0062
|
|
1984
|
1,012
|
0
|
6,618
|
604,202
|
33,4
|
0,0130
|
|
1985
|
0,771
|
0
|
6,897
|
590,935
|
26,5
|
0,0160
|
|
1986
|
0,928
|
0
|
8,066
|
601,881
|
32,8
|
0,0153
|
|
1987
|
1,535
|
0
|
8,784
|
600,599
|
99,5
|
0,0189
|
|
1988
|
3,142
|
0
|
10,565
|
585,571
|
121,5
|
0,0155
|
|
1989
|
1,417
|
1
|
8,519
|
559,760
|
95,8
|
0,0385
|
|
1990
|
0,788
|
1
|
12,890
|
505,049
|
233,2
|
0,1175
|
|
1991
|
0,396
|
1
|
15,214
|
445,366
|
3644,9
|
0,0197
|
|
1992
|
0,301
|
1
|
15,843
|
383,046
|
2989,6
|
0,0031
|
|
1993
|
0,770
|
1
|
30,679
|
318,545
|
4651,7
|
0,0048
|
|
1994
|
0,000
|
1
|
8,401
|
294,950
|
9796,9
|
0,0031
|
|
1995
|
0,166
|
0
|
6,741
|
287,301
|
370,3
|
3,1386
|
|
1996
|
0,236
|
1
|
7,450
|
276,232
|
693
|
1,4515
|
|
1997
|
0,093
|
0
|
4,200
|
254,085
|
13,7
|
0,6058
|
|
1998
|
1,009
|
1
|
8,460
|
243,992
|
134,8
|
9,8398
|
|
1999
|
0,000
|
0
|
7,550
|
227,881
|
483,7
|
0,0000
|
|
2000
|
0,105
|
1
|
15,177
|
206,567
|
511,2
|
0,8800
|
|
2001
|
0,166
|
0
|
4,844
|
196,502
|
135,1
|
0,7392
|
|
2002
|
0,115
|
0
|
4,857
|
196,252
|
15,8
|
0,0311
|
|
2003
|
0,109
|
0
|
5,416
|
200,775
|
4,4
|
0,0142
|
|
2004
|
0,634
|
1
|
8,095
|
207,547
|
9
|
0,0978
|
|
2005
|
0,261
|
1
|
7,780
|
213,310
|
21,5
|
0,2893
|
|
2006
|
0,524
|
0
|
9,981
|
217,535
|
18,2
|
4,5116
|
|
2007
|
0,885
|
0
|
12,280
|
223,780
|
9,9
|
5,4085
|
|
2008
|
1,509
|
0
|
15,076
|
230,119
|
27,6
|
9,1708
|
|
2009
|
1,084
|
1
|
16,366
|
229,142
|
53,4
|
6,0565
|
|
2010
|
0,809
|
0
|
16,364
|
237,572
|
9,8
|
6,8236
|
|
2011
|
1,135
|
1
|
16,029
|
245,869
|
15,4
|
8,4213
|
|
2012
|
0,622
|
1
|
16,935
|
255,208
|
2,7
|
6,2969
|
|
2013
|
0,744
|
0
|
15,630
|
268,277
|
1,03
|
7,1271
|
ANNEXES
A. STATIONNARITE
A.1. Pibhb
|
Null Hypothesis: PIBHB has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=0)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
0.656093
|
0.9993
|
|
Test critical values:
|
1% level
|
|
-4.262735
|
|
|
5% level
|
|
-3.552973
|
|
|
10% level
|
|
-3.209642
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(PIBHB)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 06/15/16 Time: 20:58
|
|
|
|
Sample (adjusted): 2 34
|
|
|
|
Included observations: 33 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
PIBHB(-1)
|
0.032181
|
0.049050
|
0.656093
|
0.5168
|
|
C
|
-45.92640
|
31.73640
|
-1.447121
|
0.1582
|
|
@TREND(1)
|
1.394878
|
0.851608
|
1.637935
|
0.1119
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.165915
|
Mean dependent var
|
-10.46566
|
|
Adjusted R-squared
|
0.110309
|
S.D. dependent var
|
22.05590
|
|
S.E. of regression
|
20.80388
|
Akaike info criterion
|
8.994665
|
|
Sum squared resid
|
12984.05
|
Schwarz criterion
|
9.130711
|
|
Log likelihood
|
-145.4120
|
Hannan-Quinn criter.
|
9.040440
|
|
F-statistic
|
2.983771
|
Durbin-Watson stat
|
0.512607
|
|
Prob(F-statistic)
|
0.065790
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(PIBHB) has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=0)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-2.185354
|
0.4812
|
|
Test critical values:
|
1% level
|
|
-4.273277
|
|
|
5% level
|
|
-3.557759
|
|
|
10% level
|
|
-3.212361
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(PIBHB,2)
|
|
|
Method: Least Squares
|
|
|
|
Date: 06/15/16 Time: 20:58
|
|
|
|
Sample (adjusted): 3 34
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(PIBHB(-1))
|
-0.261721
|
0.119761
|
-2.185354
|
0.0371
|
|
C
|
-9.741193
|
6.043473
|
-1.611854
|
0.1178
|
|
@TREND(1)
|
0.415384
|
0.280787
|
1.479360
|
0.1498
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.155336
|
Mean dependent var
|
0.459607
|
|
Adjusted R-squared
|
0.097083
|
S.D. dependent var
|
14.41126
|
|
S.E. of regression
|
13.69386
|
Akaike info criterion
|
8.160832
|
|
Sum squared resid
|
5438.130
|
Schwarz criterion
|
8.298244
|
|
Log likelihood
|
-127.5733
|
Hannan-Quinn criter.
|
8.206380
|
|
F-statistic
|
2.666584
|
Durbin-Watson stat
|
1.898732
|
|
Prob(F-statistic)
|
0.086481
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(PIBHB,2) has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=0)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-5.834472
|
0.0002
|
|
Test critical values:
|
1% level
|
|
-4.284580
|
|
|
5% level
|
|
-3.562882
|
|
|
10% level
|
|
-3.215267
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(PIBHB,3)
|
|
|
Method: Least Squares
|
|
|
|
Date: 06/15/16 Time: 20:58
|
|
|
|
Sample (adjusted): 4 34
|
|
|
|
Included observations: 31 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(PIBHB(-1),2)
|
-1.080072
|
0.185119
|
-5.834472
|
0.0000
|
|
C
|
-1.172044
|
5.974613
|
-0.196171
|
0.8459
|
|
@TREND(1)
|
0.122363
|
0.298013
|
0.410595
|
0.6845
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.549320
|
Mean dependent var
|
0.648049
|
|
Adjusted R-squared
|
0.517129
|
S.D. dependent var
|
21.20126
|
|
S.E. of regression
|
14.73253
|
Akaike info criterion
|
8.309759
|
|
Sum squared resid
|
6077.332
|
Schwarz criterion
|
8.448532
|
|
Log likelihood
|
-125.8013
|
Hannan-Quinn criter.
|
8.354996
|
|
F-statistic
|
17.06417
|
Durbin-Watson stat
|
1.927870
|
|
Prob(F-statistic)
|
0.000014
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: DPT has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=0)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-3.056490
|
0.0400
|
|
Test critical values:
|
1% level
|
|
-3.646342
|
|
|
5% level
|
|
-2.954021
|
|
|
10% level
|
|
-2.615817
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
A.2. Depot
|
Null Hypothesis: DPT has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=0)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-3.056490
|
0.0400
|
|
Test critical values:
|
1% level
|
|
-3.646342
|
|
|
5% level
|
|
-2.954021
|
|
|
10% level
|
|
-2.615817
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(DPT)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 06/15/16 Time: 21:00
|
|
|
|
Sample (adjusted): 2 34
|
|
|
|
Included observations: 33 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
DPT(-1)
|
-0.463212
|
0.151550
|
-3.056490
|
0.0046
|
|
C
|
0.324465
|
0.140031
|
2.317090
|
0.0273
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.231573
|
Mean dependent var
|
0.002206
|
|
Adjusted R-squared
|
0.206785
|
S.D. dependent var
|
0.594396
|
|
S.E. of regression
|
0.529385
|
Akaike info criterion
|
1.624490
|
|
Sum squared resid
|
8.687702
|
Schwarz criterion
|
1.715188
|
|
Log likelihood
|
-24.80409
|
Hannan-Quinn criter.
|
1.655007
|
|
F-statistic
|
9.342131
|
Durbin-Watson stat
|
2.019304
|
|
Prob(F-statistic)
|
0.004581
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A.3. Profondeur financière
|
Null Hypothesis: PFN has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=0)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-5.565672
|
0.0004
|
|
Test critical values:
|
1% level
|
|
-4.262735
|
|
|
5% level
|
|
-3.552973
|
|
|
10% level
|
|
-3.209642
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(PFN)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 06/15/16 Time: 21:01
|
|
|
|
Sample (adjusted): 2 34
|
|
|
|
Included observations: 33 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
PFN(-1)
|
-1.013296
|
0.182062
|
-5.565672
|
0.0000
|
|
C
|
15.73148
|
5.148519
|
3.055535
|
0.0047
|
|
@TREND(1)
|
-0.160320
|
0.224923
|
-0.712780
|
0.4815
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.508027
|
Mean dependent var
|
0.234211
|
|
Adjusted R-squared
|
0.475229
|
S.D. dependent var
|
16.86156
|
|
S.E. of regression
|
12.21470
|
Akaike info criterion
|
7.929665
|
|
Sum squared resid
|
4475.967
|
Schwarz criterion
|
8.065711
|
|
Log likelihood
|
-127.8395
|
Hannan-Quinn criter.
|
7.975441
|
|
F-statistic
|
15.48947
|
Durbin-Watson stat
|
2.008222
|
|
Prob(F-statistic)
|
0.000024
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A.4. Taux d'inflation
|
Null Hypothesis: TXINFL has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=0)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-3.159252
|
0.0025
|
|
Test critical values:
|
1% level
|
|
-2.634731
|
|
|
5% level
|
|
-1.951000
|
|
|
10% level
|
|
-1.610907
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(TXINFL)
|
|
|
|
Method: Least Squares
|
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Date: 06/15/16 Time: 21:51
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Sample (adjusted): 2 35
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Included observations: 34 after adjustments
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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TXINFL(-1)
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-0.464428
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0.147006
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-3.159252
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0.0034
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R-squared
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0.232216
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Mean dependent var
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-1.045294
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Adjusted R-squared
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0.232216
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S.D. dependent var
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1992.873
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S.E. of regression
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1746.220
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Akaike info criterion
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17.79727
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Sum squared resid
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1.01E+08
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Schwarz criterion
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17.84216
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Log likelihood
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-301.5535
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Hannan-Quinn criter.
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17.81257
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Durbin-Watson stat
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2.166439
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A.5. Investissement (INV)
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Null Hypothesis: D(INV) has a unit root
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Exogenous: Constant, Linear Trend
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Lag Length: 0 (Automatic - based on SIC, maxlag=0)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-4.643400
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0.0041
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Test critical values:
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1% level
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-4.273277
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5% level
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-3.557759
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10% level
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-3.212361
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B. COINTEGRATION
B.1. Détermination du lag optimal
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VAR Lag Order Selection Criteria
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Endogenous variables: DDPIBHB DINV DPT CDRT TXINFL PFN
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Exogenous variables: C
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Date: 06/17/16 Time: 19:42
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Sample: 1 35
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Included observations: 29
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Lag
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LogL
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LR
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FPE
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AIC
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SC
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0
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-650.9959
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NA
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1.92e+12
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45.31006
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45.59295*
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1
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-604.6929
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70.25289
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1.00e+12
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44.59951
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46.57973
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2
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-574.6654
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33.13379
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2.15e+12
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45.01141
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48.68896
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3
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-500.6830
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51.02237*
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4.88e+11*
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42.39193*
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47.76682
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B.2. Analyse de la causalité par le test de
granger
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Pairwise Granger Causality Tests
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Date: 06/15/16 Time: 21:05
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Sample: 1 35
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Null Hypothesis:
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Obs
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F-Statistic
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Prob.
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DPT does not Granger Cause DDPIBHB
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31
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5.08979
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0.0321
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DDPIBHB does not Granger Cause DPT
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0.02370
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0.8788
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PFN does not Granger Cause DDPIBHB
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31
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6.67955
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0.0153
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DDPIBHB does not Granger Cause PFN
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2.89365
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0.1000
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TXINFL does not Granger Cause DDPIBHB
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31
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5.48367
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0.0265
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DDPIBHB does not Granger Cause TXINFL
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5.87536
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0.0221
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INST does not Granger Cause DDPIBHB
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31
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0.19834
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0.6595
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DDPIBHB does not Granger Cause INST
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1.66137
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0.2080
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PFN does not Granger Cause DPT
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33
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0.07622
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0.7844
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DPT does not Granger Cause PFN
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0.09131
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0.7646
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TXINFL does not Granger Cause DPT
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33
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0.96629
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0.3335
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DPT does not Granger Cause TXINFL
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0.14443
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0.7066
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INST does not Granger Cause DPT
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33
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8.02142
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0.0082
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DPT does not Granger Cause INST
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0.69650
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0.4106
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TXINFL does not Granger Cause PFN
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33
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0.04314
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0.8369
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PFN does not Granger Cause TXINFL
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1.91483
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0.1766
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INST does not Granger Cause PFN
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33
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1.85640
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0.1832
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PFN does not Granger Cause INST
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0.11382
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0.7382
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INST does not Granger Cause TXINFL
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33
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1.15297
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0.2915
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TXINFL does not Granger Cause INST
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0.00015
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0.9902
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B.3. Estimation par le MCO
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Dependent Variable: DDPIBHB
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Method: Least Squares
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Date: 06/17/16 Time: 15:50
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Sample (adjusted): 3 34
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Included observations: 32 after adjustments
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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4.977284
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4.928219
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1.009956
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0.3215
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DPT
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-4.527171
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3.863368
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-1.171820
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0.2515
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PFN
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0.048687
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0.194444
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0.250389
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0.8042
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TXINFL
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0.003344
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0.001304
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2.564396
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0.0162
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INST
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-9.647416
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4.970172
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-1.941063
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0.0628
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R-squared
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0.285685
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Mean dependent var
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0.459607
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Adjusted R-squared
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0.179861
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S.D. dependent var
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14.41126
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S.E. of regression
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13.05106
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Akaike info criterion
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8.118216
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Sum squared resid
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4598.913
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Schwarz criterion
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8.347238
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Log likelihood
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-124.8915
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Hannan-Quinn criter.
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8.194131
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F-statistic
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2.699613
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Durbin-Watson stat
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2.646561
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Prob(F-statistic)
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0.051744
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C. DIAGNOSTIC DU MODEL
C.1. test de normalité des erreurs
C.2. Test d'autocorrelation des erreurs
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Breusch-Godfrey Serial Correlation LM Test:
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F-statistic
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0.698757
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Prob. F(2,19)
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0.5095
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Obs*R-squared
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2.123933
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Prob. Chi-Square(2)
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0.3458
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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2.441063
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6.297803
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0.387605
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0.7026
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DDPIBHB(-1)
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-0.246184
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0.283023
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-0.869837
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0.3952
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DPT
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-0.248253
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4.662547
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-0.053244
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0.9581
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DPT(-1)
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-1.332227
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4.314676
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-0.308766
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0.7609
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PFN
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-0.033383
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0.184562
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-0.180877
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0.8584
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PFN(-1)
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-0.003731
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0.178686
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-0.020879
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0.9836
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TXINFL
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0.000372
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0.001587
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0.234248
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0.8173
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TXINFL(-1)
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0.000350
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0.001538
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0.227377
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0.8226
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INST
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0.108599
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4.860582
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0.022343
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0.9824
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INST(-1)
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-2.869127
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6.031770
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-0.475669
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0.6397
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RESID(-1)
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0.441810
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0.382360
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1.155481
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0.2622
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RESID(-2)
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-0.154120
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0.287278
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-0.536484
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0.5979
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C.3. Test
d'hétéroscedasticité
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Heteroskedasticity Test: Breusch-Pagan-Godfrey
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F-statistic
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0.483965
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Prob. F(9,21)
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0.8691
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Obs*R-squared
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5.325288
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Prob. Chi-Square(9)
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0.8051
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Scaled explained SS
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1.742016
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Prob. Chi-Square(9)
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0.9949
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Test Equation:
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Dependent Variable: RESID^2
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Method: Least Squares
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Date: 06/15/16 Time: 21:16
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Sample: 4 34
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Included observations: 31
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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81.54419
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58.15245
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1.402249
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0.1755
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DDPIBHB(-1)
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-0.018286
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1.871881
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-0.009769
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0.9923
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DPT
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-17.00285
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45.37412
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-0.374726
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0.7116
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DPT(-1)
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7.173907
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40.18486
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0.178523
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0.8600
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PFN
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-1.262712
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1.782448
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-0.708414
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0.4865
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PFN(-1)
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-0.717613
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1.742322
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-0.411872
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0.6846
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TXINFL
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0.010921
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0.014077
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0.775828
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0.4465
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TXINFL(-1)
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-0.007789
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0.014433
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-0.539678
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0.5951
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INST
|
34.82321
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46.42291
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0.750130
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0.4615
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INST(-1)
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33.47325
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53.77542
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0.622464
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0.5403
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R-squared
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0.171783
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Mean dependent var
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83.30678
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Adjusted R-squared
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-0.183166
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S.D. dependent var
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101.1143
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S.E. of regression
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109.9855
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Akaike info criterion
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12.49427
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Sum squared resid
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254033.0
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Schwarz criterion
|
12.95685
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Log likelihood
|
-183.6612
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Hannan-Quinn criter.
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12.64506
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F-statistic
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0.483965
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Durbin-Watson stat
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2.038192
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Prob(F-statistic)
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0.869074
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C.4. Test de stabilité du
modèle
92
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