Annexe 8 : Retard optimal
. pvarsoc chomage inflation pibreel investtotal txinteretreel,
pvaro(instl(1/4)) Running panel VAR lag order selection on estimation sample
....
Selection order criteria
Sample: 1998 - 2021 No. of obs
= 144
No. of panels
= 6
Ave. no. of T
= 24.000
|
lag
|
CD J J pvalue MBIC MAIC MQIC
|
|
1
|
.9999984 87.31236 .1565396 -285.4236 -62.68764
-153.195
|
|
2
|
.9999975 59.15865 .1759214 -189.332 -40.84135
-101.1796
|
|
3
|
.9999979 27.91347 .311852 -96.33186 -22.08653
-52.25564
|
|
4
|
.999988 . . . .
.
|
Estimations :
Annexe 9 : Estimation du modele
linéaire (ARDL) PMG :
. xtpmg d(chomage inflation pibreel investtotal txinteretreel
txdechangereel), lr(l.chomage inflation pibreel
> investtotal txinteretreel txdechangereel)ec(ECT) replace
pmg
Iteration 0: log likelihood = -6.304936 (not concave)
Iteration 1: log likelihood = 5.7469344 (not concave)
Iteration 2: log likelihood = 6.6469746 (not concave)
Iteration 3: log likelihood = 7.8909736 (not concave)
Iteration 4: log likelihood = 9.6600744
Iteration 5: log likelihood = 9.6616443
Iteration 6: log likelihood = 10.315615
Iteration 7: log likelihood = 10.337006
Iteration 8: log likelihood = 10.337042
Iteration 9: log likelihood = 10.337042
Pooled Mean Group Regression
(Estimate results saved as pmg)
Panel Variable (i): id Number of obs
= 168
Time Variable (t): années Number of
groups = 6 Obs per
group: min = 28
avg = 28.0
max = 28
Log Likelihood
= 10.33704
|
D.chomage
|
Coef. Std. Err. z P>|z| [95% Conf.
Interval]
|
|
ECT inflation
|
.1811211 .1113045 1.63 0.104 -.0370318
.3992739
|
|
pibreel
|
-.3475589 .1209572 -2.87 0.004 -.5846305
-.1104872
|
|
investtotal
|
-.0408306 .0310848 -1.31 0.189 -.1017558
.0200945
|
|
txinteretreel
|
-.9794337 .1903848 -5.14 0.000 -1.352581
-.6062863
|
|
txdechangereel
|
-.0747582 .067806 -1.10 0.270 -.2076555
.0581391
|
|
SR
ECT
|
-.0930544 .0458407 -2.03 0.042 -.1829006
-.0032083
|
|
inflation D1.
|
-.0124101 .0075312 -1.65 0.099 -.027171
.0023509
|
|
pibreel D1.
|
-.009297 .0079019 -1.18 0.239 -.0247844
.0061904
|
|
investtotal D1.
|
.0040269 .0049429 0.81 0.415 -.005661
.0137148
|
|
txinteretreel D1.
|
-.2584055 .1012771 -2.55 0.011 -.456905
-.0599059
|
|
txdechangereel D1.
|
.0021138 .0020191 1.05 0.295 -.0018436
.0060711
|
|
_cons
|
2.124976 1.240025 1.71 0.087 -.3054293
4.555381
|
MG :
. xtpmg d(chomage inflation pibreel investtotal txinteretreel
txdechangereel), lr(l.chomage inflation pibreel
> investtotal txinteretreel txdechangereel)ec(ECT) replace
mg
Mean Group Estimation: Error Correction Form
(Estimate results saved as mg)
|
D.chomage
|
Coef. Std. Err. z P>|z| [95% Conf.
Interval]
|
|
ECT inflation
|
-.1776513 .2490983 -0.71 0.476 -.6658751
.3105725
|
|
pibreel
|
.2827836 .4475003 0.63 0.527 -.5943009
1.159868
|
|
investtotal
|
.4748828 .467392 1.02 0.310 -.4411886
1.390954
|
|
txinteretreel
|
.8572774 1.182418 0.73 0.468 -1.460219
3.174774
|
|
txdechangereel
|
-.0585267 .0384155 -1.52 0.128 -.1338198
.0167663
|
|
SR
ECT
|
-.3117279 .0952867 -3.27 0.001 -.4984864
-.1249695
|
|
inflation D1.
|
-.0080757 .0033785 -2.39 0.017 -.0146975
-.0014538
|
|
pibreel D1.
|
.009411 .0069415 1.36 0.175 -.004194
.0230161
|
|
investtotal D1.
|
.009742 .0123089 0.79 0.429 -.014383
.033867
|
|
txinteretreel D1.
|
-.2812857 .1266987 -2.22 0.026 -.5296105
-.0329609
|
|
txdechangereel D1.
|
.0044252 .0020939 2.11 0.035 .0003212
.0085293
|
|
_cons
|
4.641298 2.172837 2.14 0.033 .3826158
8.899979
|
DFE :
. xtpmg d(chomage inflation pibreel investtotal txinteretreel
txdechangereel), lr(l.chomage inflation pibreel
> investtotal txinteretreel txdechangereel)ec(ECT) replace
dfe
Dynamic Fixed Effects Regression: Estimated Error Correction
Form
(Estimate results saved as DFE)
|
Coef. Std. Err. z P>|z| [95% Conf.
Interval]
|
|
ECT inflation
|
-.0137253 .119145 -0.12 0.908 -.2472452
.2197947
|
|
pibreel
|
-.0606266 .0523745 -1.16 0.247 -.1632788
.0420256
|
|
investtotal
|
.0477423 .0346909 1.38 0.169 -.0202507
.1157352
|
|
txinteretreel
|
-.4821345 .258411 -1.87 0.062 -.9886108
.0243419
|
|
txdechangereel
|
-.0686283 .0838183 -0.82 0.413 -.2329091
.0956524
|
|
SR
ECT
|
-.0903986 .0265186 -3.41 0.001 -.1423741
-.0384231
|
|
inflation D1.
|
-.0021574 .0050822 -0.42 0.671 -.0121183
.0078035
|
|
pibreel D1.
|
-.0004788 .003257 -0.15 0.883 -.0068623
.0059047
|
|
investtotal D1.
|
-.0058804 .0035631 -1.65 0.099 -.0128639
.0011032
|
|
txinteretreel D1.
|
-.1436705 .0754635 -1.90 0.057 -.2915761
.0042352
|
|
txdechangereel D1.
|
.0049131 .0038602 1.27 0.203 -.0026527
.012479
|
|
_cons
|
.9946397 .2858844 3.48 0.001 .4343167
1.554963
|
Annexe 10 : Test de Hausman MG vs PMG :
. hausman mg pmg, sigmamore
 Coefficients
|
(b) (B) (b-B) sqrt(diag(V_b-V_B))
mg pmg Difference S.E.
|
|
inflation
|
-.1776513 .1811211 -.3587724 .3420979
|
|
pibreel
|
.2827836 -.3475589 .6303424 .6348628
|
|
investtotal
|
.4748828 -.0408306 .5157134 .6742943
|
|
txinteretr~l
|
.8572774 -.9794337 1.836711 1.697009
|
|
txdechange~l
|
-.0585267 -.0747582 .0162315 .
|
b = consistent under Ho and Ha; obtained
from xtpmg B = inconsistent under Ha, efficient under Ho; obtained
from xtpmg Test: Ho: difference in coefficients not systematic
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 9.55
Prob>chi2 = 0.0890
(V_b-V_B is not positive definite)
MG vs DFE :
. hausman mg dfe, sigmamore
 Coefficients
|
(b) (B) (b-B) sqrt(diag(V_b-V_B))
mg dfe Difference S.E.
|
|
inflation
|
-.1776513 -.0137253 -.163926 3.967301
|
|
pibreel
|
.2827836 -.0606266 .3434102 7.130199
|
|
investtotal
|
.4748828 .0477423 .4271405 7.447262
|
|
txinteretr~l
|
.8572774 -.4821345 1.339412 18.83867
|
|
txdechange~l
|
-.0585267 -.0686283 .0101016 .6063404
|
b = consistent under Ho and Ha; obtained
from xtpmg B = inconsistent under Ha, efficient under Ho; obtained
from xtpmg Test: Ho: difference in coefficients not systematic
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= -2.50 chi2<0 ==> model
fitted on these data fails to meet the
asymptotic assumptions of the Hausman
test; see suest for a generalized
test
.
DFE vs PMG :
. hausman pmg dfe, sigmamore
 Coefficients
|
(b) (B) (b-B) sqrt(diag(V_b-V_B))
pmg dfe Difference S.E.
|
|
inflation
|
.1811211 -.0137253 .1948464 1.222221
|
|
pibreel
|
-.3475589 -.0606266 -.2869323 1.333484
|
|
investtotal
|
-.0408306 .0477423 -.0885729 .3411977
|
|
txinteretr~l
|
-.9794337 -.4821345 -.4972993 2.084546
|
|
txdechange~l
|
-.0747582 -.0686283 -.0061299 .7433882
|
b = consistent under Ho and Ha; obtained
from xtpmg B = inconsistent under Ha, efficient under Ho; obtained
from xtpmg Test: Ho: difference in coefficients not systematic
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 0.12
Prob>chi2 = 0.9997
Annexe 10 : Test de non
linéarité des pays de l'echantillon.
. xthreg chomage pibreel investtotal txinteretreel
txdechangereel, rx(inflation) qx(inflation) thnum (1) trim(0.1) bs(300 > )
noreg
Estimating the threshold parameters: 1st ...... Done
Boostrap for single threshold
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
.................................................. + 250
.................................................. + 300
Threshold estimator (level = 95):
|
model
|
Threshold Lower Upper
|
|
Th-1
|
4.8576 4.3100 5.0000
|
Threshold effect test (bootstrap = 300):
|
Threshold
|
RSS MSE Fstat Prob Crit10 Crit5
Crit1
|
|
Single
|
177.8727 1.2267 8.41 0.0533 7.0092 8.4258
12.5828
|
Annexe 11 : Test de non
linéarité des trois (3) pays de l'échantillon.
. xthreg chomage pibreel investtotal txinteretreel
txdechangereel, rx(inflation) qx(inflation)
> thnum (1) trim(0.05) bs(300) noreg
Estimating the threshold parameters: 1st ...... Done
Boostrap for single threshold
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
.................................................. + 250
.................................................. + 300
Threshold estimator (level = 95):
|
model
|
Threshold Lower Upper
|
|
Th-1
|
4.8000 4.7000 5.0000
|
Threshold effect test (bootstrap = 300):
|
Threshold
|
RSS MSE Fstat Prob Crit10 Crit5
Crit1
|
|
Single
|
155.0703 2.6736 7.58 0.0367 6.6630 6.6994
7.9623
|
Annexe 12 : Test du nombre de régime
dans le modele non linéaire (Méthode séquentielle)
. xthreg chomage pibreel investtotal txinteretreel
txdechangereel, rx(inflation) qx(inflation)
> thnum (3) trim(0.05 0.05 0.05) bs(0 300 300) noreg
Estimating the threshold parameters: 1st ...... 2nd
...... 3rd ...... Done Boostrap for double threshold model:
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
.................................................. + 250
.................................................. + 300 Boostrap for triple
threshold model:
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
.................................................. + 250
.................................................. + 300
Threshold estimator (level = 95):
|
model
|
Threshold Lower Upper
|
|
Th-1
|
4.8000 4.7000 5.0000
|
|
Th-21
|
4.6560 4.1000 4.7000
|
|
Th-22
|
2.6790 2.6500 2.7000
|
|
Th-3
|
1.7000 1.5000 1.8000
|
Threshold effect test (bootstrap = 0 300 300):
|
Threshold
|
RSS MSE Fstat Prob Crit10 Crit5
Crit1
|
|
Single
|
. . . . . . .
|
|
Double
|
146.9693 2.5340 3.20 0.7067 5.7866 6.7507
7.0224
|
|
Triple
|
138.6218 2.3900 3.49 0.7967 8.5798 10.5857
10.8448
|
.
Annexe 13 : Estimation des effets de seuil
dans le modele non linéaire (PTR)
. xthreg chomage pibreel investtotal txinteretreel
txdechangereel, rx(inflation) qx(inflation)
> thnum (1) trim(0.05) bs(300)
Estimating the threshold parameters: 1st ...... Done
Boostrap for single threshold
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
.................................................. + 250
.................................................. + 300
Threshold estimator (level = 95):
|
model
|
Threshold Lower Upper
|
|
Th-1
|
4.8000 4.7000 5.0000
|
Threshold effect test (bootstrap = 300):
|
Threshold
|
RSS MSE Fstat Prob Crit10 Crit5
Crit1
|
|
Single
|
155.0703 2.6736 7.58 0.0233 6.5104 6.6630
7.9623
|
Fixed-effects (within) regression Number of obs
= 87
Group variable: id Number of groups
= 3
R-sq: within = 0.1719 Obs per group:
min = 29 between = 0.1733
avg = 29.0 overall = 0.0003
max = 29
F(6,78)
= 2.70 corr(u_i, Xb) = -0.0723 Prob > F
= 0.0197
|
chomage
|
Coef. Std. Err. t P>|t| [95% Conf.
Interval]
|
|
pibreel
|
-.0560309 .0486998 -1.15 0.253 -.1529847
.040923
|
|
investtotal
|
-.0026942 .0181101 -0.15 0.882 -.0387486
.0333603
|
|
txinteretreel
|
.1104411 .0972001 1.14 0.259 -.0830695
.3039517
|
|
txdechangereel
|
-.0498258 .0229604 -2.17 0.033 -.0955364
-.0041152
|
|
_cat#c.inflation
0
|
.2654049 .1016058 2.61 0.011 .0631233
.4676865
|
|
1
|
-.0421471 .0314368 -1.34 0.184 -.1047329
.0204387
|
|
_cons
|
13.96681 .8437679 16.55 0.000 12.287
15.64662
|
|
sigma_u
|
8.4087306
|
|
sigma_e
|
1.4099933
|
|
rho
|
.97265168 (fraction of variance due to u_i)
|
F test that all u_i=0: F(2, 78) = 558.64 Prob
> F = 0.0000
.
Post-estimation :
| 
