IV.- ESTIMATION DU MODELE DE CORRECTION D'ERREUR
Première étape : estimation du
modèle PIBT, M2, CSP, OUV et DP
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Dependent Variable: PIBT
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Method: Least Squares
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Date: 11/20/08 Time: 12:55
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Sample: 1983 2007
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Included observations: 25
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Variable
|
Coefficient
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Std. Error
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t-Statistic
|
Prob.
|
|
C
|
131.5348
|
20.76046
|
6.335830
|
0.0000
|
|
M2
|
3.160748
|
1.943435
|
1.626372
|
0.0355
|
|
CSP
|
2.104881
|
1.007932
|
2.088315
|
0.0491
|
|
OUV
|
0.367933
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0.199658
|
1.842815
|
0.0795
|
|
DP
|
1.480585
|
1.211074
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1.222539
|
0.2350
|
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R-squared
|
0.375526
|
Mean dependent var
|
191.4615
|
|
Adjusted R-squared
|
0.256579
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S.D. dependent var
|
14.82762
|
|
S.E. of regression
|
12.78466
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Akaike info criterion
|
8.105410
|
|
Sum squared resid
|
3432.396
|
Schwarz criterion
|
8.347351
|
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Log likelihood
|
-100.3703
|
F-statistic
|
3.157079
|
|
Durbin-Watson stat
|
1.974393
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Prob(F-statistic)
|
0.035228
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Deuxième étape : estimation du
modèle différencié à l'ordre 1 : PIBT,
M2, CSP, OUV, DP et résidu (de la précédente estimation)
décalé d'une période
D(PIBT) C D(M2) D(CSP) D(OUV) D(DP) RESID01(-1)
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Dependent Variable: D(PIBT)
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Method: Least Squares
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Date: 11/20/08 Time: 13:00
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Sample: 1983 2007
|
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Included observations: 25
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
C
|
0.369681
|
1.816361
|
0.203528
|
0.8432
|
|
D(M2)
|
-1.701956
|
1.459628
|
-1.166020
|
0.0070
|
|
D(CSP)
|
14.20936
|
3.765334
|
3.773733
|
0.0044
|
|
D(OUV)
|
-0.207065
|
0.303970
|
-0.681202
|
0.5129
|
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D(DP)
|
2.144574
|
1.676135
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0,881013
|
0.2034
|
|
RESID01(-1)
|
-0.860020
|
0.190236
|
-4.520810
|
0.0014
|
|
R-squared
|
0.903157
|
Mean dependent var
|
-0.866667
|
|
Adjusted R-squared
|
0.849355
|
S.D. dependent var
|
15.52816
|
|
S.E. of regression
|
6.026952
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Akaike info criterion
|
6.719534
|
|
Sum squared resid
|
326.9174
|
Schwarz criterion
|
7.002754
|
|
Log likelihood
|
-44.39651
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F-statistic
|
16.78671
|
|
Durbin-Watson stat
|
1.029271
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Prob(F-statistic)
|
0.000250
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V.- TEST DE CAUSALITE DE GRANGER
Premier test de causalité entre PIBT, M2, CSP, OUV
et DP
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Pairwise Granger Causality Tests
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Date: 11/20/08 Time: 13:05
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Sample: 1982 2007
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Lags: 2
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Null Hypothesis:
|
Obs
|
F-Statistic
|
Probability
|
|
M2 does not Granger Cause PIBT
|
24
|
0.75606
|
0.48312
|
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PIBT does not Granger Cause M2
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5.72633
|
0.01132
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CSP does not Granger Cause PIBT
|
24
|
1.07670
|
0.36062
|
|
PIBT does not Granger Cause CSP
|
1.98010
|
0.16554
|
|
OUV does not Granger Cause PIBT
|
24
|
1.31678
|
0.29137
|
|
PIBT does not Granger Cause OUV
|
0.39924
|
0.67632
|
|
DP does not Granger Cause PIBT
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24
|
0.49676
|
0.61619
|
|
PIBT does not Granger Cause DP
|
0.32437
|
0.72691
|
|
CSP does not Granger Cause M2
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24
|
5.76735
|
0.01103
|
|
M2 does not Granger Cause CSP
|
2.12036
|
0.14750
|
|
OUV does not Granger Cause M2
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24
|
0.36525
|
0.69879
|
|
M2 does not Granger Cause OUV
|
1.03752
|
0.37356
|
|
DP does not Granger Cause M2
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24
|
0.99651
|
0.38766
|
|
M2 does not Granger Cause DP
|
2.44257
|
0.11375
|
|
OUV does not Granger Cause CSP
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24
|
0.56799
|
0.57599
|
|
CSP does not Granger Cause OUV
|
0.84281
|
0.44597
|
|
DP does not Granger Cause CSP
|
24
|
0.51110
|
0.60785
|
|
CSP does not Granger Cause DP
|
7.56053
|
0.00384
|
|
DP does not Granger Cause OUV
|
24
|
2.88041
|
0.08080
|
|
OUV does not Granger Cause DP
|
1.63343
|
0.22151
|
Deuxième test de causalité entre PIBT et
CBC
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Pairwise Granger Causality Tests
|
|
Date: 11/20/08 Time: 13:07
|
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Sample: 1982 2007
|
|
Lags: 2
|
|
Null Hypothesis:
|
Obs
|
F-Statistic
|
Probability
|
|
CBC does not Granger Cause PIBT
|
24
|
1.60336
|
0.22728
|
|
PIBT does not Granger Cause CBC
|
3.93788
|
0.03709
|
| 
