ANNEXE 2 : GRAPHIQUES
ANNEXE 3 : TESTS DE STATIONNARITE
3.1. Test de stationnarité de la variation du taux de
change
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Null Hypothesis: VTCH has a unit root
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Exogenous: Constant
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Lag Length: 8 (Automatic - based on SIC, maxlag=8)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-9.755488
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0.0000
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Test critical values:
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1% level
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-3.737853
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5% level
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-2.991878
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10% level
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-2.635542
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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(VTCH)
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Method: Least Squares
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Date: 08/02/21 Time: 14:54
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Sample (adjusted): 1997 2020
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Included observations: 24 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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VTCH(-1)
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-1.377532
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0.141206
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-9.755488
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0.0000
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D(VTCH(-1))
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0.488990
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0.110383
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4.429924
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0.0006
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D(VTCH(-2))
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-0.053407
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0.012406
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-4.305024
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0.0007
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D(VTCH(-3))
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-0.042704
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0.010110
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-4.223821
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0.0009
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D(VTCH(-4))
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-0.048336
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0.003400
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-14.21582
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0.0000
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D(VTCH(-5))
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-0.053824
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0.004756
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-11.31598
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0.0000
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D(VTCH(-6))
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-0.033008
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0.007826
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-4.217604
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0.0009
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D(VTCH(-7))
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-0.027853
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0.006754
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-4.123965
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0.0010
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D(VTCH(-8))
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-0.010032
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0.002615
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-3.836079
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0.0018
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C
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0.097494
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0.038479
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2.533666
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0.0239
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R-squared
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0.998107
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Mean dependent var
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-0.251782
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Adjusted R-squared
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0.996891
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S.D. dependent var
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2.760936
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S.E. of regression
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0.153955
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Akaike info criterion
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-0.609977
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Sum squared resid
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0.331830
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Schwarz criterion
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-0.119121
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Log likelihood
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17.31972
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Hannan-Quinn criter.
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-0.479753
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F-statistic
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820.3289
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Durbin-Watson stat
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1.819583
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Prob(F-statistic)
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0.000000
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3.2. Test de stationnarité de la variation du solde de la
balance commerciale
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Null Hypothesis: VSBC has a unit root
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Exogenous: None
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Lag Length: 0 (Automatic - based on SIC, maxlag=8)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-9.665946
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0.0000
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Test critical values:
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1% level
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-2.639210
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5% level
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-1.951687
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10% level
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-1.610579
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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(VSBC)
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Method: Least Squares
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Date: 08/02/21 Time: 14:55
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Sample (adjusted): 1989 2020
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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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VSBC(-1)
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-1.042406
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0.107843
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-9.665946
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0.0000
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R-squared
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0.748459
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Mean dependent var
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-0.526477
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Adjusted R-squared
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0.748459
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S.D. dependent var
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5.442570
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S.E. of regression
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2.729662
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Akaike info criterion
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4.876984
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Sum squared resid
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230.9826
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Schwarz criterion
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4.922788
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Log likelihood
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-77.03174
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Hannan-Quinn criter.
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4.892167
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Durbin-Watson stat
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1.995314
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3.3. Test de stationnarité du taux d'inflation
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Null Hypothesis: TINF has a unit root
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Exogenous: None
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Lag Length: 5 (Automatic - based on SIC, maxlag=8)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-2.134307
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0.0338
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Test critical values:
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1% level
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-2.653401
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5% level
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-1.953858
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10% level
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-1.609571
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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(TINF)
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Method: Least Squares
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Date: 08/02/21 Time: 15:30
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Sample (adjusted): 1994 2020
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Included observations: 27 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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TINF(-1)
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-0.514348
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0.240991
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-2.134307
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0.0448
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D(TINF(-1))
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-0.141192
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0.246527
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-0.572723
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0.5729
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D(TINF(-2))
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-0.037143
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0.230075
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-0.161437
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0.8733
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D(TINF(-3))
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0.158849
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0.222168
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0.714993
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0.4825
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D(TINF(-4))
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-0.057315
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0.214260
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-0.267501
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0.7917
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D(TINF(-5))
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-0.061202
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0.188836
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-0.324100
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0.7491
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R-squared
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0.400974
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Mean dependent var
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-1.717126
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Adjusted R-squared
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0.258349
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S.D. dependent var
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21.07055
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S.E. of regression
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18.14577
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Akaike info criterion
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8.827882
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Sum squared resid
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6914.651
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Schwarz criterion
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9.115846
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Log likelihood
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-113.1764
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Hannan-Quinn criter.
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8.913509
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Durbin-Watson stat
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1.927106
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3.4. Test de stationnarité de la variation des
réserves de change
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Null Hypothesis: VRC has a unit root
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Exogenous: None
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Lag Length: 0 (Automatic - based on SIC, maxlag=8)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-5.793023
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0.0000
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Test critical values:
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1% level
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-2.639210
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5% level
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-1.951687
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10% level
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-1.610579
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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(VRC)
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Method: Least Squares
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Date: 08/02/21 Time: 15:45
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Sample (adjusted): 1989 2020
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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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VRC(-1)
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-1.039694
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0.179473
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-5.793023
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0.0000
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R-squared
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0.519819
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Mean dependent var
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-0.005277
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Adjusted R-squared
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0.519819
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S.D. dependent var
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3.233151
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S.E. of regression
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2.240416
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Akaike info criterion
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4.481951
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Sum squared resid
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155.6033
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Schwarz criterion
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4.527755
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Log likelihood
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-70.71122
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Hannan-Quinn criter.
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4.497134
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Durbin-Watson stat
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1.999649
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3.5. Test de stationnarité du taux de croissance
économique
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Null Hypothesis: TCR has a unit root
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Exogenous: None
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Lag Length: 12 (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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-2.294622
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0.0244
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Test critical values:
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1% level
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-2.685718
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5% level
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-1.959071
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10% level
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-1.607456
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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(TCR)
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Method: Least Squares
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Date: 08/02/21 Time: 15:48
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Sample (adjusted): 2001 2020
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Included observations: 20 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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TCR(-1)
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-0.442256
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0.192736
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-2.294622
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0.0554
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D(TCR(-1))
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0.325871
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0.308628
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1.055868
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0.3261
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D(TCR(-2))
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-0.058433
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0.298844
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-0.195529
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0.8505
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D(TCR(-3))
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0.075294
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0.281501
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0.267474
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0.7968
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D(TCR(-4))
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0.248649
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0.259891
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0.956742
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0.3706
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D(TCR(-5))
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0.091493
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0.287894
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0.317803
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0.7599
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D(TCR(-6))
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0.322713
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0.303441
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1.063511
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0.3229
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D(TCR(-7))
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0.577637
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0.237818
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2.428904
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0.0455
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D(TCR(-8))
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0.347975
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0.223838
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1.554582
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0.1640
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D(TCR(-9))
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0.524154
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0.235559
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2.225151
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0.0614
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D(TCR(-10))
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0.329311
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0.285130
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1.154950
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0.2860
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D(TCR(-11))
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0.173806
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0.244397
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0.711165
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0.5000
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D(TCR(-12))
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0.430464
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0.253938
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1.695151
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0.1339
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R-squared
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0.667941
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Mean dependent var
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0.004295
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Adjusted R-squared
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0.098696
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S.D. dependent var
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0.025782
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S.E. of regression
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0.024476
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Akaike info criterion
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-4.332053
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Sum squared resid
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0.004194
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Schwarz criterion
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-3.684827
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Log likelihood
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56.32053
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Hannan-Quinn criter.
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-4.205707
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Durbin-Watson stat
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1.835663
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