CHAPITRE 3 : ESTIMATION DE LA REGLE DE MCCALLUM POUR LA
BEAC
AVEC M1
PERIODE 1993 :1 A 2008
:4
Dependent Variable : LNM11
Method : Least Squares
Date : 10/05/10 Time : 09 :19
Sample(adjusted) : 1993 :2 2008 :4
Included observations: 63 after adjusting endpoints
LNM11=LNPIBP1-LNVT1+C(1)*(LNPIBPU-LNPIBU)
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
C(1)
|
0.121743
|
0.060020 2.028367
|
0.0468
|
|
R-squared
|
0.728846
|
Mean dependent var
|
0.029133
|
|
Adjusted R-squared
|
0.728846
|
S.D. dependent var
|
0.047238
|
|
S.E. of regression
|
0.024598
|
Akaike info criterion
|
-4.556552
|
|
Sum squared resid
|
0.037514
|
Schwarz criterion
|
-4.522534
|
|
Log likelihood
|
144.5314
|
Durbin-Watson stat
|
1.005243
|
PERIODE 1999 :1 A 2008 :4
Dependent Variable: LNM11 Method: Least Squares
Date: 10/05/10 Time: 09:25 Sample(adjusted): 1999:2 2008:4
Included observations: 39 after adjusting endpoints
LNM11=LNPIBP1-LNVT1+C(1)*(LNPIBPU-LNPIBU)
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
C(1)
|
0.189647
|
0.091792 2.066042
|
0.0457
|
|
R-squared
|
0.545202
|
Mean dependent var
|
0.033321
|
|
Adjusted R-squared
|
0.545202
|
S.D. dependent var
|
0.045761
|
|
S.E. of regression
|
0.030861
|
Akaike info criterion
|
-4.093366
|
|
Sum squared resid
|
0.036190
|
Schwarz criterion
|
-4.050711
|
|
Log likelihood
|
80.82064
|
Durbin-Watson stat
|
0.965351
|
AVEC M2
PERIODE 1993 :1 A 2008
:4
Dependent Variable: LNM21 Method: Least Squares
Date: 10/05/10 Time: 09:49 Sample(adjusted): 1993:2 2008:4
Included observations: 63 after adjusting endpoints
LNM21=LNPIBP1-LNVTM21+C(1)*(LNPIBPU-LNPIBU)
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
C(1)
|
0.121743
|
0.060020 2.028367
|
0.0468
|
|
R-squared
|
0.410124
|
Mean dependent var
|
0.026029
|
|
Adjusted R-squared
|
0.410124
|
S.D. dependent var
|
0.032027
|
|
S.E. of regression
|
0.024598
|
Akaike info criterion
|
-4.556552
|
|
Sum squared resid
|
0.037514
|
Schwarz criterion
|
-4.522534
|
|
Log likelihood
|
144.5314
|
Durbin-Watson stat
|
1.005243
|
PERIODE 1999 :1 A 2008 :4
Dependent Variable: LNM21 Method: Least Squares
Date: 10/05/10 Time: 09:50 Sample(adjusted): 1999:2 2008:4
Included observations: 39 after adjusting endpoints
LNM21=LNPIBP1-LNVTM21+C(1)*(LNPIBPU-LNPIBU)
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
C(1)
|
0.189647
|
0.091792 2.066042
|
0.0457
|
|
R-squared
|
-0.308356
|
Mean dependent var
|
0.031571
|
|
Adjusted R-squared
|
-0.308356
|
S.D. dependent var
|
0.026980
|
|
S.E. of regression
|
0.030861
|
Akaike info criterion
|
-4.093366
|
|
Sum squared resid
|
0.036190
|
Schwarz criterion
|
-4.050711
|
|
Log likelihood
|
80.82064
|
Durbin-Watson stat
|
0.965351
|
CHAPITRE 4 : ESTIMATION DE LA REGLE MONETAIRE DE LA
BEAC
PERIODE 1993 :1-2008 :4
Modèle forward looking Long terme
Dependent Variable: TIAO
Method: Least Squares
Date: 10/14/10 Time: 13:33
Sample(adjusted): 1993:2 2008:4
Included observations: 63 after adjusting endpoints
TIAO=C(1)+C(2)*OPG(-1)+C(3)*EICEMAC(-1)
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
C(1)
C(2)
C(3)
|
7.097518
0.000302
0.095194
|
0.226084 31.39322
0.035327 0.008559
0.084471 1.126946
|
0.0000
0.9932
0.2643
|
|
R-squared
|
0.020885
|
Mean dependent var
|
6.937032
|
|
Adjusted R-squared
|
-0.011752
|
S.D. dependent var
|
1.386601
|
|
S.E. of regression
|
1.394725
|
Akaike info criterion
|
3.549719
|
|
Sum squared resid
|
116.7154
|
Schwarz criterion
|
3.651773
|
|
Log likelihood
|
-108.8162
|
F-statistic
|
0.639912
|
|
Durbin-Watson stat
|
0.123738
|
Prob(F-statistic)
|
0.530900
|
Sample(adjusted): 1993:3 2008:4
Included observations: 62 after adjusting endpoints
TIAO1=C(1)*OPGU1+C(2)*EICEMACU1+C(3)*EFL(-1)
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
C(1)
C(2)
C(3)
|
0.004748 -0.075392 -0.118627
|
0.021664 0.219159
0.051167 -1.473446
0.039695 -2.988424
|
0.8273
0.1459
0.0041
|
|
R-squared
|
0.136418
|
Mean dependent var
|
-0.092742
|
|
Adjusted R-squared
|
0.107144
|
S.D. dependent var
|
0.445121
|
|
S.E. of regression
|
0.420599
|
Akaike info criterion
|
1.152905
|
|
Sum squared resid
|
10.43732
|
Schwarz criterion
|
1.255830
|
|
Log likelihood
|
-32.74004
|
F-statistic
|
4.660052
|
|
Durbin-Watson stat
|
2.317387
|
Prob(F-statistic)
|
0.013212
|
Modèle forward looking plus M1, DIFFINF et
DIFFTAUX avec tiao retardé d'une période
Long terme
Dependent Variable: TIAO
Method: Least Squares
Date: 10/14/10 Time: 18:28
Sample(adjusted): 1993:2 2008:4
Included observations: 63 after adjusting endpoints
TIAO=C(1)+C(2)*OPG(-1)+C(3)*EICEMAC(-1)+C(4)*LNM1+C(5)
*DIFFINF+C(6)*DIFFTAUX+C(7)*TIAOU
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
C(1)
|
0.159047
|
5.285374 0.030092
|
0.9761
|
C(2)
|
-0.005585
|
0.007465 -0.748146
|
0.4575
|
C(3)
|
0.291754
|
0.048573 6.006533
|
0.0000
|
C(4)
|
0.036422
|
0.323722 0.112509
|
0.9108
|
C(5)
|
-0.287583
|
0.039184 -7.339383
|
0.0000
|
C(6)
|
0.079155
|
0.059872 1.322065
|
0.1915
|
C(7)
|
|
0.964222
|
0.092510 10.42292
|
0.0000
|
|
|
R-squared
|
0.960315
|
Mean dependent var
|
6.937032
|
|
Adjusted R-squared
|
0.956063
|
S.D. dependent var
|
1.386601
|
|
S.E. of regression
|
0.290647
|
Akaike info criterion
|
0.471027
|
|
Sum squared resid
|
4.730648
|
Schwarz criterion
|
0.709153
|
|
Log likelihood
|
-7.837342
|
F-statistic
|
225.8523
|
|
Durbin-Watson stat
|
2.222102
|
Prob(F-statistic)
|
0.000000
|
Sample(adjusted): 1993:3 2008:4
Included observations: 62 after adjusting endpoints
TIAO1=C(1)*OPGU1+C(2)*EICEMACU1+C(3)*LNM11+C(4)*DIFFINF1
+C(5)*DIFFTAUX1+C(6)*TIAOU1+C(7)*ETIAOU(-1)
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
C(1)
|
0.000567
|
0.011921 0.047595
|
0.9622
|
C(2)
|
0.324810
|
0.079256 4.098226
|
0.0001
|
C(3)
|
-0.220295
|
0.605114 -0.364055
|
0.7172
|
C(4)
|
-0.217330
|
0.031278 -6.948324
|
0.0000
|
C(5)
|
0.387076
|
0.061011 6.344356
|
0.0000
|
C(6)
|
0.991327
|
0.229151 4.326094
|
0.0001
|
C(7)
|
|
-1.066204
|
0.229070 -4.654480
|
0.0000
|
|
|
R-squared
|
0.770536
|
Mean dependent var
|
-0.092742
|
|
Adjusted R-squared
|
0.745504
|
S.D. dependent var
|
0.445121
|
|
S.E. of regression
|
0.224553
|
Akaike info criterion
|
-0.043408
|
|
Sum squared resid
|
2.773314
|
Schwarz criterion
|
0.196753
|
|
Log likelihood
|
8.345642
|
F-statistic
|
30.78159
|
|
Durbin-Watson stat
|
1.601871
|
Prob(F-statistic)
|
0.000000
|
PERIODE 1999 :1-2008 :4
Modèle forward looking
Long terme
Dependent Variable: TIAO
Method: Least Squares
Date: 10/14/10 Time: 14:50
Sample(adjusted): 1999:2 2008:4
Included observations: 39 after adjusting endpoints
TIAO=C(1)+C(2)*OPG(-1)+C(3)*EICEMAC(-1)
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
C(1)
C(2)
C(3)
|
4.111738 0.013058 -0.862163
|
0.622300 6.607321
0.022083 0.591305
0.261946 -3.291378
|
0.0000
0.5580
0.0022
|
|
R-squared
|
0.237285
|
Mean dependent var
|
6.129487
|
|
Adjusted R-squared
|
0.194911
|
S.D. dependent var
|
0.758923
|
|
S.E. of regression
|
0.680957
|
Akaike info criterion
|
2.143168
|
|
Sum squared resid
|
16.69328
|
Schwarz criterion
|
2.271134
|
|
Log likelihood
|
-38.79177
|
F-statistic
|
5.599890
|
|
Durbin-Watson stat
|
0.103280
|
Prob(F-statistic)
|
0.007630
|
TEST SUR LE RESIDU EXTRAIT DE L'ESTIMATION DE
LONG TERME
ADF Test Statistic -2.381143 1% Critical Value* -4.2165
5% Critical Value -3.5312
10% Critical Value -3.1968
*MacKinnon critical values for rejection of hypothesis of a unit
root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EFL) Method: Least Squares
Date: 10/14/10 Time: 14:56 Sample(adjusted): 1999:3 2008:4
Included observations: 38 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
EFL(-1) -0.244774 0.102797 -2.381143 0.0230
D(EFL(-1)) 0.436315 0.136084 3.206215 0.0029
C 0.180426 0.128990 1.398757 0.1709
@TREND(1999:1) -0.009979 0.006101 -1.635577 0.1112
R-squared 0.273994 Mean dependent var -0.023948
Adjusted R-squared 0.209935 S.D. dependent var 0.214495
S.E. of regression 0.190655 Akaike info criterion -0.377403
Sum squared resid 1.235876 Schwarz criterion -0.205025
Log likelihood 11.17065 F-statistic 4.277188
Durbin-Watson stat 1.905044 Prob(F-statistic) 0.011508
Le résidu n'est pas stationnaire
Modèle forward looking plus M1, DIFFINF et
DIFFTAUX avec tiao retardé d'une période
Long terme
Dependent Variable: TIAO
Method: Least Squares
Date: 10/14/10 Time: 18:29
Sample(adjusted): 1999:2 2008:4
Included observations: 39 after adjusting endpoints
TIAO=C(1)+C(2)*OPG(-1)+C(3)*EICEMAC(-1)+C(4)*LNM1+C(5)
*DIFFINF+C(6)*DIFFTAUX+C(7)*TIAOU
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
C(1)
|
3.369003
|
4.254336 0.791899
|
0.4343
|
C(2)
|
0.002595
|
0.005402 0.480261
|
0.6343
|
C(3)
|
-0.035971
|
0.100639 -0.357425
|
0.7231
|
C(4)
|
-0.196198
|
0.250647 -0.782769
|
0.4395
|
C(5)
|
-0.015948
|
0.056567 -0.281941
|
0.7798
|
C(6)
|
-0.017761
|
0.037595 -0.472432
|
0.6398
|
C(7)
|
|
0.902896
|
0.096358 9.370171
|
0.0000
|
|
|
R-squared
|
0.968924
|
Mean dependent var
|
6.129487
|
|
Adjusted R-squared
|
0.963097
|
S.D. dependent var
|
0.758923
|
|
S.E. of regression
|
0.145791
|
Akaike info criterion
|
-0.852140
|
|
Sum squared resid
|
0.680159
|
Schwarz criterion
|
-0.553552
|
|
Log likelihood
|
23.61672
|
F-statistic
|
166.2866
|
|
Durbin-Watson stat
|
1.256327
|
Prob(F-statistic)
|
0.000000
|
Sample(adjusted): 1999:3 2008:4
Included observations: 38 after adjusting endpoints
TIAO1=C(1)*OPGU1+C(2)*EICEMACU1+C(3)*LNM11+C(4)*DIFFINF1
+C(5)*DIFFTAUX1+C(6)*TIAOU1+C(7)*ETIAOU(-1)
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
C(1)
|
0.006054
|
0.006903 0.877125
|
0.3872
|
C(2)
|
-0.030716
|
0.095470 -0.321740
|
0.7498
|
C(3)
|
0.296590
|
0.393101 0.754489
|
0.4562
|
C(4)
|
0.002924
|
0.030111 0.097096
|
0.9233
|
C(5)
|
-0.000811
|
0.070805 -0.011452
|
0.9909
|
C(6)
|
1.499426
|
0.434246 3.452940
|
0.0016
|
C(7)
|
|
-1.362806
|
0.441539 -3.086493
|
0.0042
|
|
|
R-squared
|
0.189256
|
Mean dependent var
|
-0.056579
|
|
Adjusted R-squared
|
0.032338
|
S.D. dependent var
|
0.119466
|
|
S.E. of regression
|
0.117518
|
Akaike info criterion
|
-1.279623
|
|
Sum squared resid
|
0.428127
|
Schwarz criterion
|
-0.977962
|
|
Log likelihood
|
31.31283
|
F-statistic
|
1.206082
|
|
Durbin-Watson stat
|
2.057604
|
Prob(F-statistic)
|
0.329469
|
| 
