1.
TEST DE STATIONNARITE SUR LES VARIABLES
Tableau n° 15 : Stationarisation en
différence première du LCR
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Null Hypothesis: D(LCRE) has a unit root
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Exogenous: None
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LagLength: 0 (Fixed)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-4.137609
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0.0001
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Test critical values:
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1% level
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-2.621185
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5% level
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-1.948886
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10% level
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-1.611932
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*MacKinnon (1996) one-sided p-values.
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Augmented Dickey-Fuller Test Equation
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Dependent Variable: D(LCRE,2)
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Method: Least Squares
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Date: 07/10/15 Time: 19:02
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Sample (adjusted): 2002Q3 2012Q4
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Included observations: 42 afteradjustments
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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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D(LCRE(-1))
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-0.570057
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0.137775
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-4.137609
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0.0002
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Null Hypothesis: D(LIPC) has a unit root
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Exogenous: None
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LagLength: 0 (Fixed)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-1.987775
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0.0459
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Test critical values:
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1% level
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-2.621185
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5% level
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-1.948886
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10% level
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-1.611932
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*MacKinnon (1996) one-sided p-values.
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Augmented Dickey-Fuller Test Equation
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Dependent Variable: D(LIPC,2)
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Method: Least Squares
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Date: 07/10/15 Time: 19:07
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Sample (adjusted): 2002Q3 2012Q4
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Included observations: 42 afteradjustments
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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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D(LIPC(-1))
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-0.174420
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0.087746
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-1.987775
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0.0535
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Tableau n° 16 :
Stationnarisation en différence première du LIPC
Source : Calculs de l'auteur
à l'aide du logiciel E-views 7
Tableau n° 17 :
Stationnarisation en différence première du LPIB
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Null Hypothesis: D(LPIB) has a unit root
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Exogenous: Constant
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LagLength: 0 (Fixed)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-3.365975
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0.0180
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Test critical values:
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1% level
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-3.596616
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5% level
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-2.933158
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10% level
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-2.604867
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*MacKinnon (1996) one-sided p-values.
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Augmented Dickey-Fuller Test Equation
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Dependent Variable: D(LPIB,2)
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Method: Least Squares
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Date: 07/10/15 Time: 19:18
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Sample (adjusted): 2002Q3 2012Q4
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Included observations: 42 afteradjustments
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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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D(LPIB(-1))
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-0.440737
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0.130939
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-3.365975
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0.0017
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C
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0.006754
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0.002173
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3.107908
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0.0035
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Source : Calculs de l'auteur
à l'aide du logiciel E-views 7
Source : Calculs de l'auteur
à l'aide du logiciel E-views 7
Source : Calculs de l'auteur
à l'aide du logiciel E-views 7
Tableau n° 18 :
Stationnarisation en différence première du LTC
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Null Hypothesis: D(LTC) has a unit root
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Exogenous: None
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Lag Length: 0 (Automatic - based on SIC, maxlag=9)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-5.521838
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0.0000
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Test critical values:
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1% level
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-2.621185
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5% level
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-1.948886
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10% level
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-1.611932
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*MacKinnon (1996) one-sided p-values.
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Augmented Dickey-Fuller Test Equation
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Dependent Variable: D(LTC,2)
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Method: Least Squares
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Date: 07/10/15 Time: 19:21
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Sample (adjusted): 2002Q3 2012Q4
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Included observations: 42 afteradjustments
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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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D(LTC(-1))
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-0.853002
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0.154478
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-5.521838
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0.0000
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Sourc
e : Calculs de l'auteur à
l'aide du logiciel E-views 7
Tableau n°19 : Test
de causalité de granger
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Pairwise Granger Causality Tests
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Date: 07/10/15 Time: 20:10
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Sample: 2002Q1 2012Q4
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Lags: 1
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NullHypothesis:
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Obs
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F-Statistic
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Prob.
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DLCRE does not Granger Cause DLPIB
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42
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0.07872
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0.7805
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DLPIB does not Granger Cause DLCRE
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4.37488
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0.0430
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DLTC does not Granger Cause DLPIB
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42
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0.49641
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0.4853
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DLPIB does not Granger Cause DLTC
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0.06966
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0.7932
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DLIPC does not Granger Cause DLPIB
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42
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3.42962
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0.0716
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DLPIB does not Granger Cause DLIPC
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0.31323
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0.5789
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DLTC does not Granger Cause DLCRE
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42
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3.32393
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0.0760
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DLCRE does not Granger Cause DLTC
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0.13255
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0.7178
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DLIPC does not Granger Cause DLCRE
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42
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3.40013
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0.0728
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DLCRE does not Granger Cause DLIPC
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0.35800
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0.5531
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DLIPC does not Granger Cause DLTC
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42
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0.32426
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0.5723
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DLTC does not Granger Cause DLIPC
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4.72940
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0.0358
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Tableau 2O : ESTIMATION
DU VAR
1.ESTIMATION DU
VAR(1)
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VectorAutoregressionEstimates
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Date: 07/10/15 Time: 20:34
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Sample (adjusted): 2002Q3 2012Q4
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Included observations: 42 afteradjustments
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Standard errors in ( ) & t-statistics in [ ]
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DLTC
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DLIPC
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DLPIB
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DLCRE
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DLTC(-1)
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0.107896
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0.207482
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0.002420
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-0.292308
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(0.20434)
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(0.09819)
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(0.01816)
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(0.30418)
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[ 0.52803]
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[ 2.11313]
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[ 0.13322]
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[-0.96096]
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DLIPC(-1)
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-0.219457
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0.512560
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-0.045276
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-0.279235
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(0.30599)
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(0.14703)
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(0.02720)
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(0.45550)
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[-0.71721]
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[ 3.48607]
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[-1.66461]
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[-0.61302]
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DLPIB(-1)
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-0.641748
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0.503108
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0.466517
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3.373542
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(1.61599)
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(0.77650)
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(0.14364)
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(2.40563)
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[-0.39712]
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[ 0.64791]
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[ 3.24772]
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[ 1.40235]
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DLCRE(-1)
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-0.038597
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-0.022361
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-0.001112
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-0.043746
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(0.10475)
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(0.05033)
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(0.00931)
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(0.15593)
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[-0.36847]
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[-0.44426]
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[-0.11947]
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[-0.28054]
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C
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0.044943
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0.011375
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0.010250
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0.081534
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(0.03286)
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(0.01579)
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(0.00292)
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(0.04891)
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[ 1.36786]
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[ 0.72046]
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[ 3.50944]
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[ 1.66699]
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R-squared
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0.018626
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0.460327
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0.369117
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0.159525
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Adj. R-squared
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-0.087469
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0.401984
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0.300914
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0.068663
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Sum sq. resids
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0.169449
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0.039125
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0.001339
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0.375508
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S.E. equation
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0.067674
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0.032518
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0.006015
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0.100742
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F-statistic
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0.175557
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7.890023
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5.411997
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1.755684
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Log likelihood
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56.17491
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86.95670
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157.8301
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39.46463
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Akaike AIC
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-2.436900
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-3.902700
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-7.277622
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-1.641173
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Schwarz SC
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-2.230035
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-3.695834
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-7.070756
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-1.434307
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Meandependent
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0.024032
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0.044809
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0.015141
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0.107987
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S.D. dependent
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0.064895
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0.042050
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0.007195
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0.104389
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Determinant resid covariance (dof adj.)
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6.89E-13
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Determinantresid covariance
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4.15E-13
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Log likelihood
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360.3405
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Akaike information criterion
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-16.20669
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Schwarz criterion
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-15.37923
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Source : Calculs de l'auteur
à l'aide du logiciel E-views 7
1. ANALYSE
DYNAMIQUE
Graphique 2 : Réponses
impulsionnelles
Source : Calculs de l'auteur
à l'aide du logiciel E-views 7
Tableau 21 :
Décomposition de la variance
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Variance Decomposition of DLTC:
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Period
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S.E.
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DLTC
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DLIPC
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DLPIB
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DLCRE
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1
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0.067674
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100.0000
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0.000000
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0.000000
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0.000000
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2
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0.068052
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98.94231
|
0.514105
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0.289580
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0.254000
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3
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0.068221
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98.61624
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0.574189
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0.555151
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0.254417
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4
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0.068261
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98.54769
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0.573745
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0.622220
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0.256347
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5
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0.068266
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98.53385
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0.576315
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0.633120
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0.256710
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6
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0.068268
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98.53041
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0.578511
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0.634376
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0.256699
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7
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0.068269
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98.52948
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0.579337
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0.634485
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0.256700
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8
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0.068270
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98.52925
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0.579556
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0.634492
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0.256706
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9
|
0.068270
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98.52919
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0.579606
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0.634493
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0.256709
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10
|
0.068270
|
98.52918
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0.579616
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0.634493
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0.256710
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Variance Decomposition of DLIPC:
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Period
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S.E.
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DLTC
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DLIPC
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DLPIB
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DLCRE
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1
|
0.032518
|
46.06213
|
53.93787
|
0.000000
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0.000000
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2
|
0.041983
|
59.25786
|
40.02934
|
0.488799
|
0.224002
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3
|
0.044055
|
61.70960
|
37.35262
|
0.586692
|
0.351087
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4
|
0.044386
|
62.12957
|
36.90057
|
0.589801
|
0.380066
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5
|
0.044426
|
62.18400
|
36.84281
|
0.588733
|
0.384461
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6
|
0.044430
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62.18945
|
36.83650
|
0.589134
|
0.384920
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7
|
0.044431
|
62.18988
|
36.83571
|
0.589455
|
0.384955
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8
|
0.044431
|
62.18992
|
36.83557
|
0.589560
|
0.384957
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9
|
0.044431
|
62.18993
|
36.83553
|
0.589584
|
0.384958
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10
|
0.044431
|
62.18993
|
36.83552
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0.589589
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0.384958
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Variance Decomposition of DLPIB:
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Period
|
S.E.
|
DLTC
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DLIPC
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DLPIB
|
DLCRE
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1
|
0.006015
|
5.233447
|
2.447857
|
92.31870
|
0.000000
|
|
2
|
0.006939
|
8.794009
|
6.684828
|
84.50087
|
0.020293
|
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3
|
0.007343
|
13.48400
|
8.818370
|
77.67656
|
0.021069
|
|
4
|
0.007522
|
16.15959
|
9.464995
|
74.33959
|
0.035823
|
|
5
|
0.007585
|
17.19136
|
9.615218
|
73.14666
|
0.046757
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6
|
0.007604
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17.50595
|
9.645541
|
72.79727
|
0.051238
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7
|
0.007609
|
17.58868
|
9.651480
|
72.70724
|
0.052596
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8
|
0.007610
|
17.60876
|
9.652739
|
72.68556
|
0.052942
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9
|
0.007610
|
17.61353
|
9.653043
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72.68041
|
0.053024
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10
|
0.007610
|
17.61467
|
9.653124
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72.67916
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0.053042
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Variance Decompositionof DLCRE:
|
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Period
|
S.E.
|
DLTC
|
DLIPC
|
DLPIB
|
DLCRE
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1
|
0.100742
|
21.79763
|
0.388271
|
0.014707
|
77.79939
|
|
2
|
0.108233
|
27.98171
|
1.210369
|
3.276086
|
67.53183
|
|
3
|
0.109303
|
28.40759
|
1.543730
|
3.816499
|
66.23218
|
|
4
|
0.109766
|
28.70628
|
1.708388
|
3.909788
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65.67555
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5
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0.109940
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28.84464
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1.766857
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3.919206
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65.46930
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6
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0.109999
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28.89676
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1.784058
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3.918980
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65.40020
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7
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0.110016
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28.91295
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1.788535
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3.918574
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65.37994
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8
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0.110021
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28.91738
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1.789632
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3.918450
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65.37453
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9
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0.110022
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28.91851
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1.789897
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3.918424
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65.37317
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10
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0.110023
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28.91879
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1.789963
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3.918419
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65.37283
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Cholesky Ordering: DLTC DLIPC DLPIB DLCRE
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1. TEST
D'HYPOTHESE
a.
Test de stabilité du var
Graphique 3 :Test de
stabilité du var
Source : Calculs de l'auteur
à l'aide du logiciel E-views 7
b. Test d'auto corrélation
d'erreurs
Tableau 22 : Test d'auto corrélation
d'erreurs
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VAR Residual Serial Correlation LM Tests
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Null Hypothesis: no serial correlation at lag order h
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Date: 07/10/15 Time: 20:39
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Sample: 2002Q1 2012Q4
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Included observations: 42
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Lags
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LM-Stat
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Prob
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1
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14.97460
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0.5265
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2
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16.57455
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0.4136
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3
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15.73225
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0.4718
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4
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45.14240
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0.5341
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5
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6.628386
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0.9798
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Probs from chi-square with 16 df.
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c. Test
d'hétéroscedasticité
Tableau 23 :Test
d'hétéroscedasticité
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VAR Residual Heteroskedasticity Tests: Includes Cross Terms
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Date: 07/10/15 Time: 20:41
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Sample: 2002Q1 2012Q4
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Included observations: 42
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Joint test:
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Chi-sq
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Df
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Prob.
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125.5734
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140
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0.8033
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Individual components:
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Dependent
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R-squared
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F(14,27)
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Prob.
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Chi-sq(14)
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Prob.
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res1*res1
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0.393438
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1.250942
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0.2983
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16.52440
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0.2824
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res2*res2
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0.319592
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0.905862
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0.5631
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13.42286
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0.4935
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res3*res3
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0.181868
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0.428715
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0.9505
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7.638452
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0.9073
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res4*res4
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0.262779
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0.687431
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0.7666
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11.03672
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0.6831
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res2*res1
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0.318392
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0.900874
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0.5677
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13.37248
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0.4974
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res3*res1
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0.476979
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1.758800
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0.1011
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20.03313
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0.1291
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res3*res2
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0.319516
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0.905546
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0.5634
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13.41967
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0.4938
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res4*res1
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0.252668
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0.652036
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0.7979
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10.61204
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0.7162
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res4*res2
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0.263308
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0.689309
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0.7649
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11.05893
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0.6814
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res4*res3
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0.358971
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1.079986
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0.4155
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15.07680
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0.3729
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Source : Calculs de l'auteur
à l'aide du logiciel E-views 7
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