Annexe 1 : Résultats du test de Jarque-Bera et
du test de Ramsey
Series: Residuals Sample 1986 2005 Observations 20
|
Mean
|
-4.57E-16
|
|
Median
|
0.007241
|
|
Maximum
|
0.228698
|
|
Minimum
|
-0.280744
|
|
Std.Dev.
|
0.122103
|
|
Skewness
|
-0.203909
|
|
Kurtosis
|
2.925987
|
|
Jarque-Bera
|
0.143161
|
|
Probability
|
0.930921
|
4
2
6
5
3
0
-0.3 -0.2 -0.1 0.0 0.1 0.2
1
Ramsey RESET Test:
F-statistic 0.934300 Probability 0.349075
Log likelihood ratio 1.208477 Probability 0.271634
Test Equation:
Dependent Variable: LPIB Method: Least Squares
Date: 07/26/08 Time: 06:37 Sample: 1986 2005
Included observations: 20
Variable Coefficient Std. Error t-Statistic Prob.
C 5.512931 1.172549 4.701663 0.0003
LM2 16.42049 14.77313 1.111511 0.2838
LCREPRIV -6.296474 5.667971 -1.110887 0.2841
LCREPUB -7.325560 6.589129 -1.111765 0.2837
FITTED^2 -0.370071 0.382862 -0.966592 0.3491
R-squared 0.905180 Mean dependent var 9.219351
Adjusted R-squared 0.879894 S.D. dependent var 0.384728
S.E. of regression 0.133333 Akaike info criterion -0.979623
Sum squared resid 0.266664 Schwarz criterion -0.730690
Log likelihood 14.79623 F-statistic 35.79848
Durbin-Watson stat 1.911141 Prob(F-statistic) 0.000000
Annexe 2 : Résultats des tests de
Dickey-Fuller
Null Hypothesis: D(LPIB) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=8)
t-Statistic
Elliott-Rothenberg-Stock DF-GLS test statistic
-4.571394
Test critical values: 1% level -2.699769
5% level -1.961409
10% level -1.606610
*MacKinnon (1996)
Warning: Test critical values calculated for 20 observations and
may not be accurate for a sample size of 18
DF-GLS Test Equation on GLS Detrended Residuals Dependent
Variable: D(GLSRESID)
Method: Least Squares
Date: 07/26/08 Time: 06:43
Sample(adjusted): 1988 2005
Included observations: 18 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
G LSRESI D(-1 ) -1.101951 0.241054 -4.571394 0.0003
R-squared 0.551414 Mean dependent var 0.001428
Adjusted R-squared 0.551414 S.D. dependent var 0.331295
S.E. of regression 0.221890 Akaike info criterion -0.119319
Sum squared resid 0.836997 Schwarz criterion -0.069854
Log likelihood 2.073869 Durbin-Watson stat 2.023519
Null Hypothesis: D(LM2) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=8)
t-Statistic
Elliott-Rothenberg-Stock DF-GLS test statistic -3.360151
Test critical values: 1% level -2.699769
5%level -1.961409
10% level -1 .606610
*MacKinnon (1996)
Warning: Test critical values calculated for 20 observations and
may not be accurate for a sample size of 18
DF-GLS Test Equation on GLS Detrended Residuals Dependent
Variable: D(GLSRESI D)
Method: Least Squares
Date: 07/26/08 Time: 06:45
Sample(adjusted): 1988 2005
Included observations: 18 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
|
GLSRESID(-1)
|
-0.802876
|
0.238940 -3.360151
|
0.0037
|
|
R-squared
|
0.399048
|
Mean dependent var
|
-0.000716
|
|
Adjusted R-squared
|
0.399048
|
S.D. dependent var
|
0.084211
|
|
S.E. of regression
|
0.065281
|
Akaike info criterion
|
-2.566275
|
|
Sum squared resid
|
0.072448
|
Schwarz criterion
|
-2.516809
|
|
Log likelihood
|
24.09647
|
Durbin-Watson stat
|
1.901109
|
Null Hypothesis: D(LCREPRIV) has a unit root Exogenous: Constant,
Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=8)
t-Statistic
Elliott-Rothenberg-Stock DF-GLS test statistic
-6.222079
Test critical values: 1% level -3.770000
5%level -3.190000
10% level -2.890000
*Elliott-Rothenberg-Stock (1996, Table 1)
Warning: Test critical values calculated for 50 observations and
may not be accurate for a sample size of 18
DF-GLS Test Equation on GLS Detrended Residuals Dependent
Variable: D(GLSRESI D)
Method: Least Squares
Date: 07/26/08 Time: 06:49
Sample(adjusted): 1988 2005
Included observations: 18 after adjusting endpoints
|
Variable
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
GLSRESID(-1)
|
-1 .408002
|
0.226291 -6.222079
|
0.0000
|
|
R-squared
|
0.694832
|
Mean dependent var
|
-0.002091
|
|
Adjusted R-squared
|
0.694832
|
S.D. dependent var
|
0.189711
|
|
S.E. of regression
|
0.104800
|
Akaike info criterion
|
-1 .619571
|
|
Sum squared resid
|
0.186712
|
Schwarz criterion
|
-1.570105
|
|
Log likelihood
|
15.57614
|
Durbin-Watson stat
|
1.879050
|
Null Hypothesis: D(LCREPUB) has a unit root Exogenous:
Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=8)
t-Statistic
Elliott-Rothenberg-Stock DF-GLS test statistic
-3.428569
Test critical values: 1% level -2.699769
5%level -1.961409
10% level -1 .606610
*MacKinnon (1996)
Warning: Test critical values calculated for 20 observations and
may not be accurate for a sample size of 18
DF-GLS Test Equation on GLS Detrended Residuals Dependent
Variable: D(GLSRESI D)
Method: Least Squares
Date: 07/26/08 Time: 06:48
Sample(adjusted): 1988 2005
Included observations: 18 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
|
GLSRESID(-1)
|
-0.824322
|
0.240428 -3.428569
|
0.0032
|
|
R-squared
|
0.408705
|
Mean dependent var
|
-0.002325
|
|
Adjusted R-squared
|
0.408705
|
S.D. dependent var
|
0.188947
|
|
S.E. of regression
|
0.145292
|
Akaike info criterion
|
-0.966188
|
|
Sum squared resid
|
0.358867
|
Schwarz criterion
|
-0.916723
|
|
Log likelihood
|
9.695692
|
Durbin-Watson stat
|
1.981950
|
| 
