Annexe 15 : Correction de la dépendance
transversale
. xtreg chomage inflation pibreel investtotal txinteretreel
txdechangereel, fe robust
Fixed-effects (within) regression Number of obs
= 174 Group variable: id Number of groups
= 6
R-sq: Obs per group:
within = 0.0296
min = 29 between = 0.0090
avg = 29.0 overall = 0.0000
max = 29
F(5,5)
= 8.93 corr(u_i, Xb) = -0.0303 Prob > F
= 0.0156
(Std. Err. adjusted for 6
clusters in id)
|
Robust
|
|
chomage
|
Coef. Std. Err. t P>|t| [95% Conf.
Interval]
|
|
inflation
|
-.0129706 .0186393 -0.70 0.518 -.0608843
.0349432
|
|
pibreel
|
-.0044811 .0094093 -0.48 0.654 -.0286686
.0197063
|
|
investtotal
|
-.0025566 .0038204 -0.67 0.533 -.0123774
.0072641
|
|
txinteretreel
|
.0031478 .2522139 0.01 0.991 -.6451886
.6514843
|
|
txdechangereel
|
-.0210049 .0110063 -1.91 0.115 -.0492973
.0072876
|
|
_cons
|
9.99485 1.078615 9.27 0.000 7.222183
12.76752
|
|
sigma_u
|
7.8861576
|
|
sigma_e
|
1.0745024
|
|
rho
|
.98177383 (fraction of variance due to u_i)
|
. est store fe_robust
. xtscc chomage inflation pibreel investtotal txinteretreel
txdechangereel,fe lag(4)
Regression with Driscoll-Kraay standard errors Number of obs
= 174
Method: Fixed-effects regression Number of groups
= 6 Group variable (i): id F( 5, 28)
= 7.37 maximum lag: 4 Prob > F
= 0.0002 within R-squared
= 0.0296
|
Drisc/Kraay
|
|
chomage
|
Coef. Std. Err. t P>|t| [95% Conf.
Interval]
|
|
inflation
|
-.0129706 .017987 -0.72 0.477 -.0498152
.0238741
|
|
pibreel
|
-.0044811 .0042264 -1.06 0.298 -.0131385
.0041763
|
|
investtotal
|
-.0025566 .0031834 -0.80 0.429 -.0090776
.0039643
|
|
txinteretreel
|
.0031478 .0662986 0.05 0.962 -.1326588
.1389545
|
|
txdechangereel
|
-.0210049 .0107118 -1.96 0.060 -.042947
.0009373
|
|
_cons
|
9.99485 .3708126 26.95 0.000 9.235274
10.75442
|
. est store dris_kraay
Annexe 16 : Modele non linéaire (PTR)
Test d'hétéroscédasticité des
résidus :
. hettest
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of residu2
chi2(1) = 0.42
Prob > chi2 = 0.5161
| 
