Annexe 5 : Test d'indépendance interindividuel
. xtcsi chomage inflation pibreel investtotal txinteretreel
txdechangereel popact, trend
Bias-adjusted LM test of error cross-section independence
H0: Cov(uit,ujt) = 0 for all t and i!=j
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Test
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Statistic p-value
|
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LM
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27.87 0.0224
|
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LM adj*
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4.247 0.0000
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LM CD*
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4.232 0.0000
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*two-sided test
Annexe 6 : Test de racine unitaire de
2e génération (CIPS et CADF de Pesaran)
Chômage.
. xtcips d.chomage, maxlags(2) bglag(1) trend
Pesaran Panel Unit Root Test with cross-sectional and first
difference mean included for D.chomage Deterministics chosen: constant &
trend
Dynamics: lags criterion decision General to Particular based on
F joint test
H0 (homogeneous non-stationary): bi = 0 for all
i
CIPS = -4.152 N,T = (6,28)
|
10% 5% 1%
|
|
Critical values at
|
-2.73 -2.86 -3.1
|
. pescadf d.chomage, lags(1)
Pesaran's CADF test for D.chomage
Cross-sectional average in first period extracted and extreme
t-values truncated Deterministics chosen: constant
t-bar test, N,T = (6,28) Obs = 156 Augmented by 1
lags (average)
t-bar cv10 cv5 cv1 Z[t-bar] P-value
-3.534 -2.210 -2.330 -2.570 -4.479 0.000
Inflation.
. xtcips inflation, maxlags(2) bglag(1) trend
Pesaran Panel Unit Root Test with cross-sectional and first
difference mean included for inflation Deterministics chosen: constant &
trend
Dynamics: lags criterion decision General to Particular based on
F joint test
Individual ti were truncated during the aggregation process
H0 (homogeneous non-stationary): bi = 0 for all
i
CIPS* = -5.235 N,T = (6,29)
|
10% 5% 1%
|
|
Critical values at
|
-2.73 -2.86 -3.1
|
. pescadf inflation, lags(1)
Pesaran's CADF test for inflation
Cross-sectional average in first period extracted and extreme
t-values truncated Deterministics chosen: constant
t-bar test, N,T = (6,29) Obs = 162 Augmented by 1
lags (average)
t-bar cv10 cv5 cv1 Z[t-bar] P-value
-3.838 -2.210 -2.330 -2.570 -5.247 0.000
.
Pibréel.
. xtcips pibreel, maxlags(2) bglag(1) trend
Pesaran Panel Unit Root Test with cross-sectional and first
difference mean included for pibreel Deterministics chosen: constant &
trend
Dynamics: lags criterion decision General to Particular based on
F joint test
H0 (homogeneous non-stationary): bi = 0 for all
i
CIPS = -3.851 N,T = (6,29)
|
10% 5% 1%
|
|
Critical values at
|
-2.73 -2.86 -3.1
|
. pescadf pibreel, lags(1)
Pesaran's CADF test for pibreel
Cross-sectional average in first period extracted and extreme
t-values truncated Deterministics chosen: constant
t-bar test, N,T = (6,29) Obs = 162 Augmented by 1
lags (average)
t-bar cv10 cv5 cv1 Z[t-bar] P-value
-2.962 -2.210 -2.330 -2.570 -3.034 0.001
Investtotal.
. xtcips investtotal, maxlags(2) bglag(1) trend
Pesaran Panel Unit Root Test with cross-sectional and first
difference mean included for investtotal Deterministics chosen: constant &
trend
Dynamics: lags criterion decision General to Particular based on
F joint test
H0 (homogeneous non-stationary): bi = 0 for all
i
CIPS = -3.332 N,T = (6,29)
|
10% 5% 1%
|
|
Critical values at
|
-2.73 -2.86 -3.1
|
. pescadf investtotal, lags(1)
Pesaran's CADF test for investtotal
Cross-sectional average in first period extracted and extreme
t-values truncated Deterministics chosen: constant
t-bar test, N,T = (6,29) Obs = 162 Augmented by 1
lags (average)
t-bar cv10 cv5 cv1 Z[t-bar] P-value
-2.414 -2.210 -2.330 -2.570 -1.652 0.049
Txinteret.
. xtcips txinteretreel, maxlags(2) bglag(1) trend
Pesaran Panel Unit Root Test with cross-sectional and first
difference mean included for txinteretreel Deterministics chosen: constant
& trend
Dynamics: lags criterion decision General to Particular based on
F joint test
Individual ti were truncated during the aggregation process
H0 (homogeneous non-stationary): bi = 0 for all
i
CIPS* = -5.809 N,T = (6,29)
|
10% 5% 1%
|
|
Critical values at
|
-2.73 -2.86 -3.1
|
. pescadf txinteretreel, lags(1)
Pesaran's CADF test for txinteretreel
Cross-sectional average in first period extracted and extreme
t-values truncated Deterministics chosen: constant
t-bar test, N,T = (6,29) Obs = 162 Augmented by 1
lags (average)
t-bar cv10 cv5 cv1 Z[t-bar] P-value
-3.435 -2.210 -2.330 -2.570 -4.229 0.000
Txdechange.
. xtcips txdechangereel, maxlags(2) bglag(1) trend
Pesaran Panel Unit Root Test with cross-sectional and first
difference mean included for txdechangereel Deterministics chosen: constant
& trend
Dynamics: lags criterion decision General to Particular based
on F joint test
Individual ti were truncated during the aggregation process
H0 (homogeneous non-stationary): bi = 0 for all
i
CIPS* = -5.201 N,T = (6,29)
|
10% 5% 1%
|
|
Critical values at
|
-2.73 -2.86 -3.1
|
. pescadf txdechangereel, lags(1)
Pesaran's CADF test for txdechangereel
Cross-sectional average in first period extracted and extreme
t-values truncated Deterministics chosen: constant
t-bar test, N,T = (6,29) Obs = 162 Augmented by 1
lags (average)
t-bar cv10 cv5 cv1 Z[t-bar] P-value
-4.174 -2.210 -2.330 -2.570 -6.095 0.000
Popact.
. xtcips d2.popact, maxlags(2) bglag(1) trend
Pesaran Panel Unit Root Test with cross-sectional and first
difference mean included for D2.popact Deterministics chosen: constant &
trend
Dynamics: lags criterion decision General to Particular based on
F joint test
Individual ti were truncated during the aggregation process
H0 (homogeneous non-stationary): bi = 0 for all
i
CIPS* = -4.784 N,T = (6,27)
|
10% 5% 1%
|
|
Critical values at
|
-2.73 -2.86 -3.1
|
. pescadf d2.popact, lags(1)
Pesaran's CADF test for D2.popact
Cross-sectional average in first period extracted and extreme
t-values truncated Deterministics chosen: constant
t-bar test, N,T = (6,27) Obs = 150 Augmented by 1
lags (average)
t-bar cv10 cv5 cv1 Z[t-bar] P-value
-3.070 -2.210 -2.330 -2.570 -3.309 0.000
Annexe 7 : Test de co-intégration
Pedroni :
. xtcointtest pedroni chomage inflation pibreel investtotal
txinteretreel txdechangereel
Pedroni test for cointegration
Ho: No cointegration Number of panels
= 6
Ha: All panels are cointegrated Number of periods
= 28
Cointegrating vector: Panel specific
Panel means: Included Kernel:
Bartlett
Time trend: Not included Lags:
3.00 (Newey-West)
AR parameter: Panel specific Augmented lags: 1
Statistic p-value
Modified Phillips-Perron t 2.9758
0.0015
Phillips-Perron t 2.0991
0.0179
Augmented Dickey-Fuller t 2.0974
0.0180
. xtcointtest pedroni chomage inflation pibreel investtotal
txinteretreel txdechangereel, trend
Pedroni test for cointegration
Ho: No cointegration Number of panels
= 6
Ha: All panels are cointegrated Number of periods
= 28
Cointegrating vector: Panel specific
Panel means: Included Kernel:
Bartlett
Time trend: Included Lags:
3.00 (Newey-West)
AR parameter: Panel specific Augmented lags: 1
Statistic p-value
Modified Phillips-Perron t 3.1634
0.0008
Phillips-Perron t 0.7937
0.2137
Augmented Dickey-Fuller t -0.7588
0.2240
Westerlund :
. xtcointtest westerlund chomage inflation pibreel investtotal
txinteretreel txdechangereel
Westerlund test for cointegration
Ho: No cointegration Number of panels
= 6
Ha: Some panels are cointegrated Number of periods
= 29
Cointegrating vector: Panel specific
Panel means: Included
Time trend: Not included
AR parameter: Panel specific
Statistic p-value
Variance ratio 1.8950
0.0290
. xtcointtest westerlund chomage inflation pibreel investtotal
txinteretreel txdechangereel, trend
Westerlund test for cointegration
Ho: No cointegration Number of panels
= 6
Ha: Some panels are cointegrated Number of periods
= 29
Cointegrating vector: Panel specific
Panel means: Included
Time trend: Included
AR parameter: Panel specific
Statistic
p-value
Variance ratio 2.0625
0.0196
. xtcointtest westerlund chomage inflation pibreel investtotal
txinteretreel txdechangereel, all
Westerlund test for cointegration
Ho: No cointegration Number of panels
= 6 Ha: All panels are cointegrated Number of periods =
29
Cointegrating vector: Panel specific
Panel means: Included
Time trend: Not included
AR parameter: Same
Statistic
p-value
Variance ratio 0.2430
0.4040
. xtcointtest westerlund chomage inflation pibreel investtotal
txinteretreel txdechangereel, trend all
Westerlund test for cointegration
Ho: No cointegration Number of panels
= 6
Ha: All panels are cointegrated Number of periods
= 29
Cointegrating vector: Panel specific
Panel means: Included
Time trend: Included
AR parameter: Same
Statistic
p-value
Variance ratio 1.8422
0.0327
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