ANNEXES
ANNEXE 1: TEST DE RACINE UNITAIRE
TEST D'AUGMENTED DICKEY FULLER RATIO DE LEVIER
Null Hypothesis: EM has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.610885 0.4726
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(EM)
Method: Least Squares
Date: 07/01/18 Time: 21:53
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
EM(-1) -0.043219 0.026830 -1.610885 0.1111
C 0.167566 0.111181 1.507144 0.1357
R-squared 0.031042 Mean dependent var -0.011059
Adjusted R-squared 0.019080 S.D. dependent var 0.074434
S.E. of regression 0.073721 Akaike info criterion -2.353265
Sum squared resid 0.440214 Schwarz criterion -2.294979
Log likelihood 99.66048 Hannan-Quinn criter. -2.329849
F-statistic 2.594951 Durbin-Watson stat 2.020962
Prob(F-statistic) 0.111095
PHILLIPS PERRON
ii
Exogenous: Constant
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -1.607383 0.4743
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.005304
HAC corrected variance (Bartlett kernel) 0.005241
Phillips-Perron Test Equation
Dependent Variable: D(EM)
Method: Least Squares
Date: 07/01/18 Time: 21:58
Sample (adjusted): 2010M02 2016M12
Included observations: 83 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
EM(-1) -0.043219 0.026830 -1.610885 0.1111
C 0.167566 0.111181 1.507144 0.1357
R-squared 0.031042 Mean dependent var -0.011059
Adjusted R-squared 0.019080 S.D. dependent var 0.074434
S.E. of regression 0.073721 Akaike info criterion -2.353265
Sum squared resid 0.440214 Schwarz criterion -2.294979
Log likelihood 99.66048 Hannan-Quinn criter. -2.329849
F-statistic 2.594951 Durbin-Watson stat 2.020962
Prob(F-statistic) 0.111095
INTERET SUR CREDIT ADF
Null Hypothesis: IC_PC has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
Residual variance (no correction) 0.479385
iii
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.058574 0.7286
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(IC_PC)
Method: Least Squares
Date: 07/01/18 Time: 21:59
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
IC_PC(-1) -0.033918 0.032041 -1.058574 0.2929
C 0.391833 0.435839 0.899031 0.3713
R-squared 0.013646 Mean dependent var -0.062291
Adjusted R-squared 0.001468 S.D. dependent var 0.701387
S.E. of regression 0.700872 Akaike info criterion 2.150818
Sum squared resid 39.78893 Schwarz criterion 2.209103
Log likelihood -87.25894 Hannan-Quinn criter. 2.174234
F-statistic 1.120579 Durbin-Watson stat 1.975708
Prob(F-statistic) 0.292941
PHILLIPS-PERRON
Null Hypothesis: IC_PC has a unit root
Exogenous: Constant
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -1.067887 0.7251
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
iv
HAC corrected variance (Bartlett kernel) 0.485099
Phillips-Perron Test Equation
Dependent Variable: D(IC_PC)
Method: Least Squares
Date: 07/01/18 Time: 22:03
Sample (adjusted): 2010M02 2016M12
Included observations: 83 after adjustments
|
Variable
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
IC_PC(-1)
|
-0.033918
|
0.032041 -1.058574
|
0.2929
|
|
C
|
0.391833
|
0.435839 0.899031
|
0.3713
|
|
R-squared
|
0.013646
|
Mean dependent var
|
-0.062291
|
|
Adjusted R-squared
|
0.001468
|
S.D. dependent var
|
0.701387
|
|
S.E. of regression
|
0.700872
|
Akaike info criterion
|
2.150818
|
|
Sum squared resid
|
39.78893
|
Schwarz criterion
|
2.209103
|
|
Log likelihood
|
-87.25894
|
Hannan-Quinn criter.
|
2.174234
|
|
F-statistic
|
1.120579
|
Durbin-Watson stat
|
1.975708
|
|
Prob(F-statistic)
|
0.292941
|
|
|
PROVISION POUR CREDIT ADF
Null Hypothesis: PRC_PCN has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.785495 0.3852
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(PRC_PCN) Method: Least Squares
Date: 07/01/18 Time: 22:06
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
|
|
V
|
|
|
PRC_PCN(-1)
|
-0.055621
|
0.031151 -1.785495
|
0.0779
|
|
C
|
1.001590
|
0.547704 1.828706
|
0.0711
|
|
R-squared
|
0.037868
|
Mean dependent var
|
0.073025
|
|
Adjusted R-squared
|
0.025989
|
S.D. dependent var
|
1.585968
|
|
S.E. of regression
|
1.565223
|
Akaike info criterion
|
3.757735
|
|
Sum squared resid
|
198.4438
|
Schwarz criterion
|
3.816020
|
|
Log likelihood
|
-153.9460
|
Hannan-Quinn criter.
|
3.781151
|
|
F-statistic
|
3.187992
|
Durbin-Watson stat
|
1.970532
|
|
Prob(F-statistic)
|
0.077924
|
|
|
PHILLIPS-PERRON
Null Hypothesis: PRC_PCN has a unit root
Exogenous: Constant
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
|
Adj. t-Stat
|
Prob.*
|
|
Phillips-Perron test statistic
|
-1.790778
|
0.3827
|
|
Test critical values: 1% level
5% level 10% level
|
-3.511262
-2.896779
-2.585626
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
Residual variance (no correction)
HAC corrected variance (Bartlett kernel)
|
|
2.390889
2.423717
|
|
Phillips-Perron Test Equation
Dependent Variable: D(PRC_PCN) Method: Least Squares
Date: 07/01/18 Time: 22:10
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
|
|
|
|
Variable Coefficient Std. Error
|
t-Statistic
|
Prob.
|
|
PRC_PCN(-1) -0.055621 0.031151
C 1.001590 0.547704
|
-1.785495
1.828706
|
0.0779
0.0711
|
|
R-squared 0.037868 Mean dependent var
|
0.073025
|
vi
Adjusted R-squared 0.025989 S.D. dependent var 1.585968
S.E. of regression 1.565223 Akaike info criterion 3.757735
Sum squared resid 198.4438 Schwarz criterion 3.816020
Log likelihood -153.9460 Hannan-Quinn criter. 3.781151
F-statistic 3.187992 Durbin-Watson stat 1.970532
Prob(F-statistic) 0.077924
RENTABILITE ECONOMIQUE (ROA) ADF
Null Hypothesis: ROA has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.696945 0.4291
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(ROA)
Method: Least Squares
Date: 07/01/18 Time: 22:13
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
ROA(-1) -0.052086 0.030694 -1.696945 0.0935
C 0.165301 0.107195 1.542051 0.1270
R-squared 0.034330 Mean dependent var -0.011065
Adjusted R-squared 0.022409 S.D. dependent var 0.241892
S.E. of regression 0.239167 Akaike info criterion 0.000488
Sum squared resid 4.633253 Schwarz criterion 0.058774
Log likelihood 1.979731 Hannan-Quinn criter. 0.023904
F-statistic 2.879623 Durbin-Watson stat 1.970200
Prob(F-statistic) 0.093547
vii
PHILLIPS- PERRON
Null Hypothesis: ROA has a unit root
Exogenous: Constant
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -1.702744 0.4262
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.055822
HAC corrected variance (Bartlett kernel) 0.056612
Phillips-Perron Test Equation
Dependent Variable: D(ROA)
Method: Least Squares
Date: 07/01/18 Time: 22:17
Sample (adjusted): 2010M02 2016M12
Included observations: 83 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
ROA(-1) -0.052086 0.030694 -1.696945 0.0935
C 0.165301 0.107195 1.542051 0.1270
R-squared 0.034330 Mean dependent var -0.011065
Adjusted R-squared 0.022409 S.D. dependent var 0.241892
S.E. of regression 0.239167 Akaike info criterion 0.000488
Sum squared resid 4.633253 Schwarz criterion 0.058774
Log likelihood 1.979731 Hannan-Quinn criter. 0.023904
F-statistic 2.879623 Durbin-Watson stat 1.970200
Prob(F-statistic) 0.093547
viii
RENTABILITE FINANCIERE (ROE) ADF
Null Hypothesis: ROE has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.859029 0.3499
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(ROE)
Method: Least Squares
Date: 07/01/18 Time: 22:18
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
ROE(-1) -0.047987 0.025813 -1.859029 0.0667
C 0.574005 0.376879 1.523050 0.1316
R-squared 0.040921 Mean dependent var -0.093444
Adjusted R-squared 0.029080 S.D. dependent var 1.059618
S.E. of regression 1.044098 Akaike info criterion 2.947985
Sum squared resid 88.30137 Schwarz criterion 3.006270
Log likelihood -120.3414 Hannan-Quinn criter. 2.971401
F-statistic 3.455989 Durbin-Watson stat 2.003312
Prob(F-statistic) 0.066655
PHILLIPS PERRON
Null Hypothesis: ROE has a unit root
Exogenous: Constant
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
ix
Phillips-Perron test statistic -1.859029 0.3499
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 1.063872
HAC corrected variance (Bartlett kernel) 1.063872
Phillips-Perron Test Equation
Dependent Variable: D(ROE)
Method: Least Squares
Date: 07/01/18 Time: 22:20
Sample (adjusted): 2010M02 2016M12
Included observations: 83 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
ROE(-1) -0.047987 0.025813 -1.859029 0.0667
C 0.574005 0.376879 1.523050 0.1316
R-squared 0.040921 Mean dependent var -0.093444
Adjusted R-squared 0.029080 S.D. dependent var 1.059618
S.E. of regression 1.044098 Akaike info criterion 2.947985
Sum squared resid 88.30137 Schwarz criterion 3.006270
Log likelihood -120.3414 Hannan-Quinn criter. 2.971401
F-statistic 3.455989 Durbin-Watson stat 2.003312
Prob(F-statistic) 0.066655
RATIO DE PRETS NON PERFORMANTS
ADF
Null Hypothesis: RPNP_PB has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -0.726796 0.8335
Test critical values: 1% level -3.511262
X
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(RPNP_PB) Method: Least Squares
Date: 07/01/18 Time: 22:23
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
RPNP_PB(-1) -0.026230 0.036090 -0.726796 0.4694
C 1.10E-13 2.02E-13 0.548148 0.5851
R-squared 0.006479 Mean dependent var -3.29E-14
Adjusted R-squared -0.005787 S.D. dependent var 3.78E-13
S.E. of regression 3.79E-13 Sum squared resid 1.17E-23
F-statistic 0.528232 Durbin-Watson stat 1.975904
Prob(F-statistic) 0.469446
PHILLIPS-PERRON
Null Hypothesis: RPNP_PB has a unit root
Exogenous: Constant
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -0.740054 0.8301
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 1.40E-25
HAC corrected variance (Bartlett kernel) 1.42E-25
xi
Phillips-Perron Test Equation
Dependent Variable: D(RPNP_PB) Method: Least Squares
Date: 07/01/18 Time: 22:24
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
|
Variable
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
RPNP_PB(-1)
|
-0.026230
|
0.036090 -0.726796
|
0.4694
|
|
C
|
1.10E-13
|
2.02E-13 0.548148
|
0.5851
|
|
R-squared
|
0.006479
|
Mean dependent var
|
-3.29E-14
|
|
Adjusted R-squared
|
-0.005787
|
S.D. dependent var
|
3.78E-13
|
|
S.E. of regression
|
3.79E-13
|
Sum squared resid
|
1.17E-23
|
|
F-statistic
|
0.528232
|
Durbin-Watson stat
|
1.975904
|
|
Prob(F-statistic)
|
0.469446
|
|
|
RATIO DE SOLVABILITE ADF
Null Hypothesis: RS has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.496284 0.1200
Test critical values: 1% level -3.511262
5% level -2.896779
10% level -2.585626
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(RS)
Method: Least Squares
Date: 07/01/18 Time: 22:26
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
|
|
xii
|
|
|
RS(-1)
|
-0.093619
|
0.037503 -2.496284
|
0.0146
|
|
C
|
2.808282
|
1.092136 2.571365
|
0.0120
|
|
R-squared
|
0.071436
|
Mean dependent var
|
0.115705
|
|
Adjusted R-squared
|
0.059972
|
S.D. dependent var
|
1.608737
|
|
S.E. of regression
|
1.559751
|
Akaike info criterion
|
3.750731
|
|
Sum squared resid
|
197.0588
|
Schwarz criterion
|
3.809017
|
|
Log likelihood
|
-153.6554
|
Hannan-Quinn criter.
|
3.774147
|
|
F-statistic
|
6.231434
|
Durbin-Watson stat
|
1.971931
|
|
Prob(F-statistic)
|
0.014579
|
|
|
PHILLIPS PERRON
Null Hypothesis: RS has a unit root
Exogenous: Constant
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel
|
Adj. t-Stat
|
Prob.*
|
|
Phillips-Perron test statistic
|
-2.496284
|
0.1200
|
|
Test critical values: 1% level
5% level 10% level
|
-3.511262
-2.896779
-2.585626
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
Residual variance (no correction)
HAC corrected variance (Bartlett kernel)
|
|
2.374202
2.374202
|
|
Phillips-Perron Test Equation Dependent Variable: D(RS) Method:
Least Squares
Date: 07/01/18 Time: 22:27
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments
|
|
|
|
Variable Coefficient Std. Error
|
t-Statistic
|
Prob.
|
|
RS(-1) -0.093619 0.037503
C 2.808282 1.092136
|
-2.496284
2.571365
|
0.0146
0.0120
|
|
R-squared 0.071436 Mean dependent var
|
0.115705
|
|
|
xiii
|
|
|
Adjusted R-squared
|
0.059972
|
S.D. dependent var
|
1.608737
|
|
S.E. of regression
|
1.559751
|
Akaike info criterion
|
3.750731
|
|
Sum squared resid
|
197.0588
|
Schwarz criterion
|
3.809017
|
|
Log likelihood
|
-153.6554
|
Hannan-Quinn criter.
|
3.774147
|
|
F-statistic
|
6.231434
|
Durbin-Watson stat
|
1.971931
|
|
Prob(F-statistic)
|
0.014579
|
|
|
| 
