Annexes
ESTIMATION POUR la période 1980-1996
************test de racine unitaire lntot**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -31.93797
Levin-Lin t-rho-stat = -19.96045
Levin-Lin ADF-stat = -5.13155
IPS ADF-stat = -7.52747
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LCI**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -33.42969
Levin-Lin t-rho-stat = -14.19060
Levin-Lin ADF-stat = -0.82937
IPS ADF-stat = -1.55815
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LCS**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -6.54261
Levin-Lin t-rho-stat = -2.64101
Levin-Lin ADF-stat = 1.90215
IPS ADF-stat = 2.09345
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LPMI**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = 1.01628
Levin-Lin t-rho-stat = 1.46122
Levin-Lin ADF-stat = 2.22748
IPS ADF-stat = 2.96071
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LPMS**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = 1.50365
Levin-Lin t-rho-stat = 1.63521
Levin-Lin ADF-stat = 1.70102
IPS ADF-stat = 2.25136
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LRI**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = 0.84836
Levin-Lin t-rho-stat = 1.16145
Levin-Lin ADF-stat = 1.21776
IPS ADF-stat = 1.53265
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LRS**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = 0.65128
Levin-Lin t-rho-stat = 0.82636
Levin-Lin ADF-stat = 0.87435
IPS ADF-stat = 1.17932
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LTXi**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -1.57752
Levin-Lin t-rho-stat = -0.50299
Levin-Lin ADF-stat = 0.62222
IPS ADF-stat = 0.35047
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LTXs**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -33.64354
Levin-Lin t-rho-stat = -12.33282
Levin-Lin ADF-stat = 3.44606
IPS ADF-stat = 4.67315
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLRI**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -49.97680
Levin-Lin t-rho-stat = -2.82419
Levin-Lin ADF-stat = -2.68955
IPS ADF-stat = -4.56996
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLRS**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
********************************************
-raw panel unit
root test results-
Levin-Lin rho-stat = -49.68859
Levin-Lin t-rho-stat = 0.33849
Levin-Lin ADF-stat = 0.53898
IPS ADF-stat = -1.35556
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLPMS**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -46.66672
Levin-Lin t-rho-stat = -7.80998
Levin-Lin ADF-stat = -8.28039
IPS ADF-stat = -11.58397
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLCI**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -26.55728
Levin-Lin t-rho-stat = -6.20553
Levin-Lin ADF-stat = -5.38701
IPS ADF-stat = -5.83379
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLCS**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -40.53423
Levin-Lin t-rho-stat = -12.71387
Levin-Lin ADF-stat = -11.75258
IPS ADF-stat = -18.89916
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLPMI**********
Currently computing panel statistics. Please wait.
offset = 2
offset = 2
offset = 2 offset = 2 offset = 2 offset = 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -55.38040
Levin-Lin t-rho-stat = -16.81704
Levin-Lin ADF-stat = -10.57342
IPS ADF-stat = -14.09150
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLTXi**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -184.00791
Levin-Lin t-rho-stat = 0.74483
Levin-Lin ADF-stat = 1.29601
IPS ADF-stat = 1.78070
(using large sample adjustment values)
Nsecs = 6 , Tperiods
= 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLTXs**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit
root test results-
Levin-Lin rho-stat = -28.34786
Levin-Lin t-rho-stat = -15.28633
Levin-Lin ADF-stat = -21.80867
IPS ADF-stat = -28.18459
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLPL**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -61.45548
Levin-Lin t-rho-stat = -30.15130
Levin-Lin ADF-stat = -13.73420
IPS ADF-stat = -18.59758
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DDLRS**********
Currently computing panel statistics. Please wait.
offset = 3
offset = 3
offset = 3
offset = 3
offset = 3
offset = 3
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -62.69054
Levin-Lin t-rho-stat = 2.31640
Levin-Lin ADF-stat = 2.10612
IPS ADF-stat = 1.86334
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour Lpl**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -22.33080
Levin-Lin t-rho-stat = -6.72293
Levin-Lin ADF-stat = -1.56276
IPS ADF-stat = -2.43367
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DDLTXI**********
Currently computing panel statistics. Please wait.
offset = 3 offset = 3 offset = 3 offset = 3 offset = 3 offset
= 3
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -123.97512
Levin-Lin t-rho-stat = 1.94249
Levin-Lin ADF-stat = 1.40190
IPS ADF-stat = 1.84023
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DDDLTXI**********
Currently computing panel statistics. Please wait.
offset = 4 offset = 4 offset = 4 offset = 4 offset = 4 offset
= 4
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -54.99975
Levin-Lin t-rho-stat = -41.29335
Levin-Lin ADF-stat = -31.62455
IPS ADF-stat = -41.99411
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DDDLRS**********
Currently computing panel statistics. Please wait.
offset = 4 offset = 4 offset = 4 offset = 4 offset = 4 offset
= 4
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -72.65484
Levin-Lin t-rho-stat = -74.86985
Levin-Lin ADF-stat = -15.30262
IPS ADF-stat = -20.27540
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 68 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
********************************************
*******test de cointegration pedroni.P[2004](lower
bloc)(1980-1996)******
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
panel v-stat = 0.82298
panel rho-stat = -5.87899
panel pp-stat = -7.93154
panel adf-stat = -0.35383
group rho-stat = -5.66646
group pp-stat = -8.95441
group adf-stat = 1.49618
Nsecs = 6 , Tperiods = 68 , no. regressors = 5
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
********************************************
********estimation de la relation de cointegration (lower
bloc)*****
Currently computing panel statistics. Please wait.
Dependent Variable : LCI
common time dummies NOT included
Null vector for t-stats is:
0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000
INDIVIDUAL FMOLS RESULTS
(t-stats in parentheses)
|
Member
***********
|
Variable
*************
|
Coefficient
**************
|
t-statistic
**************
|
|
No.1
|
LPMI
|
0.10143
|
( 2.81181 )
|
|
No.1
|
LPL
|
-0.01571
|
( -1.62211 )
|
|
No.1
|
LRI
|
0.01737
|
( 0.32588 )
|
|
No.1
|
LNTOT
|
-0.01289
|
( -1.04068 )
|
|
No.1
|
Q1
|
-0.22841
|
( -17.99344
|
|
)
|
|
|
|
|
|
No.1
|
Q3
|
0.06050
|
( 4.92334 )
|
|
No.1
|
Q4
|
-0.16103
|
( -12.86011
|
|
)
|
|
|
|
|
|
No.2
|
LPMI
|
-0.03531
|
( -0.51691 )
|
|
No.2
|
LPL
|
-0.00670
|
( -1.19025 )
|
|
No.2
|
LRI
|
-0.01188
|
( -0.19944 )
|
|
No.2
|
LNTOT
|
0.10186
|
( 1.53789 )
|
|
No.2
|
Q1
|
-0.18346
|
( -9.78723 )
|
|
No.2
|
Q3
|
0.07458
|
( 4.68018 )
|
|
No.2
|
Q4
|
-0.14320
|
( -7.60647 )
|
|
No.3
|
LPMI
|
0.04892
|
( 0.69387 )
|
|
No.3
|
LPL
|
0.00037
|
( 0.05557 )
|
|
No.3
|
LRI
|
0.09909
|
( 1.04423 )
|
|
No.3
|
LNTOT
|
-0.05160
|
( -0.66441 )
|
|
No.3
|
Q1
|
-0.16240
|
( -7.53520 )
|
|
No.3
|
Q3
|
0.04171
|
( 2.60261 )
|
|
No.3
|
Q4
|
-0.13282
|
( -5.63442 )
|
|
No.4
|
LPMI
|
0.12589
|
( 2.20072 )
|
|
No.4
|
LPL
|
-0.00011
|
( -0.01293 )
|
|
No.4
|
LRI
|
-0.20382
|
( -2.74886 )
|
|
No.4
|
LNTOT
|
0.02271
|
( 0.33459 )
|
|
No.4
|
Q1
|
-0.26206
|
( -14.44251
|
|
)
|
|
|
|
|
|
No.4
|
Q3
|
0.05525
|
( 3.54747 )
|
|
No.4
|
Q4
|
-0.22409
|
( -11.76857
|
|
)
|
|
|
|
|
|
No.5
|
LPMI
|
0.11121
|
( 1.11128 )
|
|
No.5
|
LPL
|
-0.01425
|
( -1.47485 )
|
|
No.5
|
LRI
|
-0.14264
|
( -0.81904 )
|
|
No.5
|
LNTOT
|
-0.05522
|
( -0.53919 )
|
|
No.5
|
Q1
|
-0.21685
|
( -7.71503 )
|
|
No.5
|
Q3
|
0.04753
|
( 2.01156 )
|
|
No.5
|
Q4
|
-0.17722
|
( -5.95474 )
|
|
No.6
|
LPMI
|
0.04756
|
( 0.83085 )
|
|
No.6
|
LPL
|
-0.01677
|
( -2.86445 )
|
|
No.6
|
LRI
|
-0.05234
|
( -0.97070 )
|
|
No.6
|
LNTOT
|
0.01729
|
( 0.32623 )
|
|
No.6
|
Q1
|
-0.09625
|
( -4.90428 )
|
|
No.6
|
Q3
|
0.04012
|
( 2.68747 )
|
|
No.6
|
Q4
|
-0.04598
|
( -2.39623 )
|
*********** ************* ************** **************
|
PANEL GROUP FMOLS Coefficient
|
RESULTS
t-statistic
|
|
LPMI
|
0.06661
|
(
|
2.91147 )
|
|
LPL
|
-0.00886
|
(
|
-2.90225 )
|
|
LRI
|
-0.04904
|
(
|
-1.37495 )
|
|
LNTOT
|
0.00369
|
(
|
-0.01861 )
|
|
Q1
|
-0.19157
|
(
|
-25.46559 )
|
|
Q3
|
0.05328
|
(
|
8.34975 )
|
|
Q4
|
-0.14739
|
(
|
-18.86945 )
|
Nsecs = 6 , Tperiods = 68 , no. regressors =
7
********************************************
******test de cointegration pedroni.P[2004](upper
bloc)(1980-1996)******
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
|
panel
|
v-stat
|
=
|
2.26166
|
|
panel
|
rho-stat
|
=
|
-8.05653
|
|
panel
|
pp-stat
|
=
|
-8.97103
|
|
panel
|
adf-stat
|
=
|
-4.07297
|
|
group
|
rho-stat
|
=
|
-7.97861
|
|
group
|
pp-stat
|
=
|
-10.90046
|
|
group
|
adf-stat
|
=
|
-2.48021
|
Nsecs = 6 , Tperiods = 68 , no. regressors = 4
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances (see OBES
reference for details)
********************************************
******estimation de la relation de cointegration(upper
bloc)******
Currently computing panel statistics. Please wait. Dependent
Variable : LCS
common time dummies NOT included
Null vector for t-stats is:
0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000
INDIVIDUAL FMOLS RESULTS
(t-stats in parentheses)
|
No.1
|
LPMS
|
-0.22101
|
( -2.77162 )
|
|
No.1
|
LPL
|
-0.03075
|
( -1.40944 )
|
|
No.1
|
LNTOT
|
-0.01288
|
( -0.41101 )
|
|
No.1
|
LRS
|
0.24998
|
( 1.18980 )
|
|
No.1
|
Q1
|
0.25529
|
( 9.31835 )
|
|
No.1
|
Q2
|
0.03943
|
( 1.45458 )
|
|
No.1
|
Q4
|
0.21205
|
( 7.79263 )
|
|
No.2
|
LPMS
|
0.12924
|
( 1.08297 )
|
|
No.2
|
LPL
|
-0.01751
|
( -1.72468 )
|
|
No.2
|
LNTOT
|
-0.49038
|
( -2.82472 )
|
|
No.2
|
LRS
|
-0.12604
|
( -1.04054 )
|
|
No.2
|
Q1
|
0.28197
|
( 5.24966 )
|
|
No.2
|
Q2
|
0.06339
|
( 2.10847 )
|
|
No.2
|
Q4
|
0.29688
|
( 5.65829 )
|
|
No.3
|
LPMS
|
-0.22934
|
( -2.57979 )
|
|
No.3
|
LPL
|
0.00356
|
( 0.35626 )
|
|
No.3
|
LNTOT
|
-0.20478
|
( -1.61353 )
|
|
No.3
|
LRS
|
0.30719
|
( 1.18039 )
|
|
No.3
|
Q1
|
0.26238
|
( 6.85145 )
|
|
No.3
|
Q2
|
0.06025
|
( 2.40913 )
|
|
No.3
|
Q4
|
0.24918
|
( 5.89653 )
|
|
No.4
|
LPMS
|
0.02743
|
( 0.24651 )
|
|
No.4
|
LPL
|
-0.05110
|
( -3.41378 )
|
|
No.4
|
LNTOT
|
-0.40015
|
( -2.49317 )
|
|
No.4
|
LRS
|
0.18381
|
( 0.84708 )
|
|
No.4
|
Q1
|
0.32192
|
( 8.23446 )
|
|
No.4
|
Q2
|
0.03102
|
( 1.13868 )
|
|
No.4
|
Q4
|
0.33190
|
( 8.10084 )
|
|
No.5
|
LPMS
|
-0.30664
|
( -4.60692 )
|
|
No.5
|
LPL
|
-0.01624
|
( -2.31443 )
|
|
No.5
|
LNTOT
|
0.11475
|
( 1.12216 )
|
|
No.5
|
LRS
|
0.49857
|
( 1.02448 )
|
|
No.5
|
Q1
|
0.21651
|
( 9.14977 )
|
|
No.5
|
Q2
|
0.03082
|
( 2.00106 )
|
|
No.5
|
Q4
|
0.20740
|
( 8.36126 )
|
|
No.6
|
LPMS
|
-0.10001
|
( -1.88617 )
|
|
No.6
|
LPL
|
0.01069
|
( 2.10802 )
|
|
No.6
|
LNTOT
|
-0.33892
|
( -4.33586 )
|
|
No.6
|
LRS
|
0.31311
|
( 3.25363 )
|
|
No.6
|
Q1
|
0.12410
|
( 4.32674 )
|
|
No.6
|
Q2
|
0.05922
|
( 3.86756 )
|
|
No.6
|
Q4
|
0.12813
|
( 4.56400 )
|
*********** ************* ************** **************
PANEL GROUP FMOLS RESULTS
|
Coefficient
|
t-statistic
|
|
LPMS
|
-0.11672
|
(
|
-4.29274 )
|
|
LPL
|
-0.01689
|
(
|
-2.61200 )
|
|
LNTOT
|
-0.22206
|
(
|
-4.30952 )
|
|
LRS
|
0.23777
|
(
|
2.63518 )
|
|
Q1
|
0.24369
|
(
|
17.60793 )
|
|
Q2
|
0.04735
|
(
|
5.29884 )
|
|
Q4
|
0.23759
|
(
|
16.48243 )
|
Nsecs = 6 , Tperiods = 68 , no. regressors =
7
********************************************
******test de cointegration de pedroni( taux de branchement)bloc
inf****
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
|
panel
|
v-stat
|
=
|
0.53158
|
|
panel
|
rho-stat
|
=
|
-4.01311
|
|
panel
|
pp-stat
|
=
|
-4.61527
|
|
panel
|
adf-stat
|
=
|
-0.45646
|
|
group
|
rho-stat
|
=
|
-4.41823
|
|
group
|
pp-stat
|
=
|
-5.74204
|
|
group
|
adf-stat
|
=
|
-0.48969
|
Nsecs = 6 , Tperiods = 68 , no. regressors = 3
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ******estimation de
la relation******
Currently computing panel statistics. Please wait. Dependent
Variable : LTXI
common time dummies NOT included
Null vector for t-stats is:
0.0000 0.0000 0.0000 0.0000 0.0000
0.0000
INDIVIDUAL FMOLS RESULTS
(t-stats in parentheses)
|
Member
***********
|
Variable
*************
|
Coefficient
**************
|
t-statistic
**************
|
|
No.1
|
LPMI
|
0.01665
|
( 5.94875 )
|
|
No.1
|
LPL
|
-0.00405
|
( -3.23621 )
|
|
No.1
|
LNTOT
|
0.01680
|
( 10.47089 )
|
|
No.1
|
Q1
|
0.00045
|
( 0.27328 )
|
|
No.1
|
Q3
|
-0.00151
|
( -0.95029 )
|
|
No.1
|
Q4
|
0.00171
|
( 1.05939 )
|
|
No.2
|
LPMI
|
-0.00263
|
( -1.16484 )
|
|
No.2
|
LPL
|
0.00006
|
( 0.28644 )
|
|
No.2
|
LNTOT
|
0.00844
|
( 4.15195 )
|
|
No.2
|
Q1
|
0.00094
|
( 1.48155 )
|
|
No.2
|
Q3
|
-0.00082
|
( -1.48878 )
|
|
No.2
|
Q4
|
0.00106
|
( 1.69344 )
|
|
No.3
|
LPMI
|
-0.00442
|
( -1.41286 )
|
|
No.3
|
LPL
|
-0.00154
|
( -5.52819 )
|
|
No.3
|
LNTOT
|
0.02299
|
( 6.68249 )
|
|
No.3
|
Q1
|
-0.00055
|
( -0.56775 )
|
|
No.3
|
Q3
|
-0.00093
|
( -1.25468 )
|
|
No.3
|
Q4
|
-0.00066
|
( -0.62680 )
|
|
No.4
|
LPMI
|
0.00652
|
( 1.14645 )
|
|
No.4
|
LPL
|
-0.00331
|
( -3.89220 )
|
|
No.4
|
LNTOT
|
0.01972
|
( 3.62069 )
|
|
No.4
|
Q1
|
0.00016
|
( 0.09209 )
|
|
No.4
|
Q3
|
-0.00049
|
( -0.31437 )
|
|
No.4
|
Q4
|
0.00075
|
( 0.43067 )
|
|
No.5
|
LPMI
|
0.00388
|
( 1.01512 )
|
|
No.5
|
LPL
|
-0.00195
|
( -5.39748 )
|
|
No.5
|
LNTOT
|
0.02489
|
( 7.01429 )
|
|
No.5
|
Q1
|
-0.00013
|
( -0.12934 )
|
|
No.5
|
Q3
|
-0.00060
|
( -0.66200 )
|
|
No.5
|
Q4
|
0.00019
|
( 0.17172 )
|
|
No.6
|
LPMI
|
-0.00610
|
( -0.71813 )
|
|
No.6
|
LPL
|
-0.00301
|
( -3.50686 )
|
|
No.6
|
LNTOT
|
0.02673
|
( 4.93709 )
|
|
No.6
|
Q1
|
-0.00363
|
( -1.31978 )
|
|
No.6
|
Q3
|
-0.00053
|
( -0.22804 )
|
|
No.6
|
Q4
|
-0.00232
|
( -0.88017 )
|
*********** ************* ************** **************
PANEL GROUP FMOLS RESULTS
|
Coefficient
|
t-statistic
|
|
LPMI
|
0.00232
|
(
|
1.96550 )
|
|
LPL
|
-0.00230
|
(
|
-8.68528 )
|
|
LNTOT
|
0.01993
|
(
|
15.05513 )
|
|
Q1
|
-0.00046
|
(
|
-0.06938 )
|
|
Q3
|
-0.00081
|
(
|
-1.99966 )
|
|
Q4
|
0.00012
|
(
|
0.75454 )
|
Nsecs = 6 , Tperiods = 68 , no. regressors = 6
******************************************** ****test de
cointegration de pedroni (bloc sup)*****
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
|
panel
|
v-stat
|
=
|
2.20086
|
|
panel
|
rho-stat
|
=
|
-5.10796
|
|
panel
|
pp-stat
|
=
|
-4.96712
|
|
panel
|
adf-stat
|
=
|
-1.03185
|
|
group
|
rho-stat
|
=
|
-4.55337
|
|
group
|
pp-stat
|
=
|
-5.25190
|
|
group
|
adf-stat
|
=
|
-0.01764
|
Nsecs = 6 , Tperiods = 68 , no. regressors = 3
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** *******estimation de
la relation*****
Currently computing panel statistics. Please wait. Dependent
Variable : LTXS
common time dummies NOT included
Null vector for t-stats is:
0.0000 0.0000 0.0000 0.0000 0.0000
0.0000
INDIVIDUAL FMOLS RESULTS
(t-stats in parentheses)
Member Variable Coefficient t-statistic
|
***********
|
*************
|
**************
|
**************
|
|
No.1
|
LPMS
|
-0.27075
|
( -3.28816 )
|
|
No.1
|
LPL
|
-0.06361
|
( -1.38213 )
|
|
No.1
|
LNTOT
|
0.07817
|
( 1.24222 )
|
|
No.1
|
Q1
|
-0.98452
|
( -16.57385
|
|
)
|
|
|
|
|
|
No.1
|
Q3
|
0.31992
|
( 5.59320 )
|
|
No.1
|
Q4
|
-0.78575
|
( -13.37674
|
|
)
|
|
|
|
|
|
No.2
|
LPMS
|
0.43478
|
( 1.29447 )
|
|
No.2
|
LPL
|
-0.02148
|
( -0.79135 )
|
|
No.2
|
LNTOT
|
-0.94848
|
( -1.88899 )
|
|
No.2
|
Q1
|
-0.79004
|
( -6.81206 )
|
|
No.2
|
Q3
|
0.30754
|
( 3.49750 )
|
|
No.2
|
Q4
|
-0.62467
|
( -5.58770 )
|
|
No.3
|
LPMS
|
0.48198
|
( 2.23577 )
|
|
No.3
|
LPL
|
-0.02756
|
( -1.08751 )
|
|
No.3
|
LNTOT
|
-1.25480
|
( -3.95810 )
|
|
No.3
|
Q1
|
-0.83329
|
( -9.43512 )
|
|
No.3
|
Q3
|
0.18606
|
( 2.87311 )
|
|
No.3
|
Q4
|
-0.70439
|
( -7.22116 )
|
|
No.4
|
LPMS
|
0.79404
|
( 2.59619 )
|
|
No.4
|
LPL
|
-0.06027
|
( -1.42018 )
|
|
No.4
|
LNTOT
|
-1.62587
|
( -4.24747 )
|
|
No.4
|
Q1
|
-0.84921
|
( -8.99437 )
|
|
No.4
|
Q3
|
0.11983
|
( 1.53634 )
|
|
No.4
|
Q4
|
-0.70545
|
( -7.33079 )
|
|
No.5
|
LPMS
|
0.76526
|
( 2.13725 )
|
|
No.5
|
LPL
|
-0.04839
|
( -1.45358 )
|
|
No.5
|
LNTOT
|
-1.57978
|
( -3.51167 )
|
|
No.5
|
Q1
|
-0.84230
|
( -7.97227 )
|
|
No.5
|
Q3
|
0.12278
|
( 1.47941 )
|
|
No.5
|
Q4
|
-0.70265
|
( -6.52156 )
|
|
No.6
|
LPMS
|
0.22431
|
( 1.21161 )
|
|
No.6
|
LPL
|
0.00775
|
( 0.46429 )
|
|
No.6
|
LNTOT
|
-1.03504
|
( -5.12575 )
|
|
No.6
|
Q1
|
-0.50528
|
( -7.56657 )
|
|
No.6
|
Q3
|
0.12906
|
( 2.49424 )
|
|
No.6
|
Q4
|
-0.46476
|
( -7.38629 )
|
*********** ************* ************** **************
PANEL GROUP FMOLS RESULTS
Coefficient t-statistic
LPMS 0.40494 ( 2.52588 )
LPL -0.03559 ( -2.31495 )
LNTOT -1.06097 ( -7.14017 )
Q1 -0.80077 ( -23.41477 )
Q3 0.19753 ( 7.13365 )
Q4 -0.66461 ( -19.36086 )
Nsecs = 6 , Tperiods = 68 , no. regressors = 6
********************************************
*************estimation dols*****
Linear Regression - Estimation by Least Squares Dependent
Variable LCI
Panel(68) of Undated Data From 1//01 To 6//68
Usable Observations 408 Degrees of Freedom 401
Centered R**2 0.040730 R Bar **2 0.026376
Uncentered R**2 0.998109 T x R**2 407.228
Mean of Dependent Variable 2.8809887087
Std Error of Dependent
Variable 0.1281950278
Standard Error of Estimate 0.1264930668
Sum of Squared Residuals 6.4161988789
Log Likelihood 268.17111
Durbin-Watson Statistic 0.276504
Variable Coeff Std Error T-Stat Signif
*******************************************************************************
1. LPMI 0.145543947 0.023090861 6.30310 0.00000000
2. LPL 0.022121537 0.004869037 4.54331 0.00000734
|
3.
|
LRI
|
0.223498202
|
0.042480590
|
5.26118
|
0.00000023
|
|
4.
|
LNTOT
|
0.074196640
|
0.022034520
|
3.36729
|
0.00083247
|
|
5.
|
Q1
|
-0.242331877
|
0.018204112
|
-13.31193
|
0.00000000
|
|
6.
|
Q2
|
-0.041925969
|
0.017759939
|
-2.36070
|
0.01871805
|
|
7.
|
Q4
|
-0.203089269
|
0.018478801
|
-10.99039
|
0.00000000
|
|
Nobs = 396 JB test
Standard Errors are
Var.# Coeff.
|
= 1.58648 ( 0.4523771 )
adjusted for long-run variance. S.E. t-statistic
|
|
1
|
0.14554
|
0.11135
|
1.307
|
|
2
|
0.02212
|
0.02348
|
0.942
|
|
3
|
0.22350
|
0.20486
|
1.091
|
|
4
|
0.07420
|
0.10626
|
0.698
|
|
5
|
-0.24233
|
0.08779
|
-2.760
|
|
6
|
-0.04193
|
0.08565
|
-0.490
|
|
7
|
-0.20309
|
0.08911
|
-2.279
|
*************estimation dols*****
Linear Regression - Estimation by Least Squares Dependent
Variable LCS
Panel(68) of Undated Data From 1//01 To 6//68
Usable Observations 408 Degrees of Freedom 401
Centered R**2 -0.304230 R Bar **2 -0.323745
Uncentered R**2 0.998733 T x R**2 407.483
Mean of Dependent Variable 5.0202845011
Std Error of Dependent
Variable 0.1567548440
Standard Error of Estimate 0.1803528940
Sum of Squared Residuals 13.043393718
Log Likelihood 123.44210
Durbin-Watson Statistic 0.344165
Variable Coeff Std Error T-Stat Signif
*******************************************************************************
|
1.
|
LPMS
|
-0.196799571
|
0.025099605
|
-7.84074
|
0.00000000
|
|
2.
|
LPL
|
-0.014377846
|
0.007107888
|
-2.02280
|
0.04375676
|
|
3.
|
LRS
|
1.347813574
|
0.036881583
|
36.54435
|
0.00000000
|
|
4.
|
LNTOT
|
-0.310948023
|
0.025239699
|
-12.31980
|
0.00000000
|
|
5.
|
Q1
|
0.257292758
|
0.025634044
|
10.03715
|
0.00000000
|
|
6.
|
Q2
|
0.058608190
|
0.025268795
|
2.31939
|
0.02087554
|
|
7.
|
Q4
|
0.272553340
|
0.025813411
|
10.55859
|
0.00000000
|
|
Nobs = 396 JB test
Standard Errors are
Var.# Coeff.
|
= 93.69797 ( 0.0000000 )
adjusted for long-run variance. S.E. t-statistic
|
|
1
|
-0.19680
|
0.11173
|
-1.761
|
|
2
|
-0.01438
|
0.03164
|
-0.454
|
|
3
|
1.34781
|
0.16418
|
8.209
|
|
4
|
-0.31095
|
0.11236
|
-2.767
|
|
5
|
0.25729
|
0.11411
|
2.255
|
|
6
|
0.05861
|
0.11249
|
0.521
|
|
7
|
0.27255
|
0.11491
|
2.372
|
Johansen Fisher
Panel
Cointegration
Test
Series: LCI LPMI LRI LPL LNTOT
Date: 05/28/09 Time: 23:31
Sample: 1980Q1 1996Q2
Included observations: 396
Trend assumption: Linear deterministic trend (restricted)
Lags interval (in first differences): 1 1
Unrestricted Cointegration Rank Test (Trace and Maximum
Eigenvalue)
|
No. of CE(s)
|
(from trace test)
|
Prob.
|
(from max-eigen test)
|
Prob.
|
|
None
|
369.4
|
0.0000
|
126.2
|
0.0000
|
|
At most 1
|
82.40
|
0.0000
|
281.8
|
0.0000
|
|
At most 2
|
17.80
|
0.1218
|
13.94
|
0.3043
|
|
At most 3
|
9.766
|
0.6365
|
7.929
|
0.7906
|
|
At most 4
|
8.263
|
0.7643
|
8.263
|
0.7643
|
|
* Probabilities are
computed using
asymptotic
Chi-
square
distribution.
|
|
|
|
|
Individual cross section results
|
Cross Section
|
Trace Test Statistics
|
Prob.**
|
Max-Eign Test
Statistics
|
Prob.**
|
|
Hypothesis of no cointegration
|
|
|
|
|
1
|
299.3965
|
0.0000
|
233.5533
|
0.0001
|
|
2
|
452.6606
|
0.0001
|
224.9686
|
0.0001
|
|
3
|
244.0600
|
0.0000
|
167.8062
|
0.0000
|
|
4
|
270.9142
|
0.0000
|
215.4557
|
0.0001
|
|
5
|
264.9514
|
0.0000
|
213.2474
|
0.0001
|
|
6
|
199.8923
|
0.0000
|
151.3339
|
0.0000
|
|
Hypothesis of at most 1 cointegration relationship
|
|
|
|
1
|
65.8433
|
0.0339
|
32.6746
|
0.0427
|
|
2
|
227.6919
|
0.0000
|
187.5269
|
0.0000
|
|
3
|
76.2538
|
0.0032
|
29.2632
|
0.1073
|
|
4
|
55.4585
|
0.2081
|
23.7639
|
0.3645
|
|
5
|
51.7040
|
0.3413
|
24.1532
|
0.3386
|
|
6
|
48.5584
|
0.4795
|
27.1015
|
0.1813
|
|
Hypothesis of at most 2 cointegration relationship
|
|
|
|
1
|
33.1686
|
0.3280
|
20.9481
|
0.1933
|
|
2
|
40.1650
|
0.0918
|
18.6734
|
0.3278
|
|
3
|
46.9905
|
0.0185
|
26.7872
|
0.0372
|
|
4
|
31.6946
|
0.4051
|
14.3552
|
0.6917
|
|
5
|
27.5508
|
0.6488
|
14.6110
|
0.6692
|
|
6
|
21.4569
|
0.9279
|
12.2209
|
0.8588
|
|
Hypothesis of at most 3 cointegration relationship
|
|
|
|
1
|
12.2205
|
0.7965
|
9.5776
|
0.6639
|
|
2
|
21.4916
|
0.1595
|
12.0156
|
0.4137
|
|
3
|
20.2034
|
0.2158
|
15.2964
|
0.1781
|
|
4
|
17.3394
|
0.3900
|
11.6418
|
0.4492
|
|
5
|
12.9398
|
0.7429
|
7.2788
|
0.8809
|
|
6
|
9.2360
|
0.9534
|
5.2592
|
0.9803
|
|
Hypothesis of at most 4 cointegration relationship
|
|
|
|
1
|
2.6430
|
0.9160
|
2.6430
|
0.9160
|
|
2
|
9.4760
|
0.1530
|
9.4760
|
0.1530
|
|
3
|
4.9069
|
0.6098
|
4.9069
|
0.6098
|
|
4
|
5.6976
|
0.4996
|
5.6976
|
0.4996
|
|
5
|
5.6610
|
0.5045
|
5.6610
|
0.5045
|
|
6
|
3.9768
|
0.7455
|
3.9768
|
0.7455
|
**MacKinnon-Haug-Michelis (1999) p-values
Johansen Fisher
Panel
Cointegration
Test
Series: LCS LPMS LRS LNTOT LPL
Date: 05/28/09 Time: 23:30
Sample: 1980Q1 1996Q2
Included observations: 396
Trend assumption: Linear deterministic trend (restricted)
Lags interval (in first differences): 1 1
Unrestricted Cointegration Rank Test (Trace and Maximum
Eigenvalue)
|
Hypothesized
No. of CE(s)
|
Fisher Stat.*
(from trace test)
|
Prob.
|
Fisher Stat.*
(from max-eigen test)
|
Prob.
|
|
None
|
323.8
|
0.0000
|
219.4
|
0.0000
|
|
At most 1
|
75.24
|
0.0000
|
280.2
|
0.0000
|
|
At most 2
|
12.72
|
0.3896
|
10.54
|
0.5689
|
|
At most 3
|
6.818
|
0.8694
|
5.934
|
0.9194
|
|
At most 4
|
5.882
|
0.9219
|
5.882
|
0.9219
|
|
* Probabilities are
computed using
asymptotic
Chi-
square
distribution.
|
|
|
|
|
Individual cross section results
|
Cross Section
|
Trace Test Statistics
|
Prob.**
|
Max-Eign Test
Statistics
|
Prob.**
|
|
Hypothesis of no cointegration
|
|
|
|
|
1
|
178.1101
|
0.0000
|
121.4457
|
0.0000
|
|
2
|
343.4654
|
0.0000
|
180.1517
|
0.0001
|
|
3
|
179.7027
|
0.0000
|
111.8097
|
0.0000
|
|
4
|
172.0963
|
0.0000
|
132.3268
|
0.0000
|
|
5
|
198.3617
|
0.0000
|
142.8418
|
0.0000
|
|
6
|
198.8559
|
0.0000
|
144.7367
|
0.0000
|
|
Hypothesis of at most 1 cointegration relationship
|
|
|
|
1
|
56.6644
|
0.1741
|
33.6725
|
0.0320
|
|
2
|
163.3137
|
0.0000
|
123.5143
|
0.0000
|
|
3
|
67.8930
|
0.0221
|
27.8048
|
0.1538
|
|
4
|
39.7695
|
0.8560
|
14.8907
|
0.9513
|
|
5
|
55.5199
|
0.2062
|
22.4636
|
0.4579
|
|
6
|
54.1192
|
0.2509
|
29.3684
|
0.1045
|
|
Hypothesis of at most 2 cointegration relationship
|
|
|
|
1 22.9919 0.8782
|
11.1508
|
0.9193
|
|
2
|
39.7993
|
0.0991
|
22.5932
|
0.1262
|
|
3
|
40.0882
|
0.0933
|
20.9026
|
0.1955
|
|
4
|
24.8788
|
0.7958
|
12.1924
|
0.8606
|
|
5
|
33.0564
|
0.3336
|
17.3855
|
0.4258
|
|
6
|
24.7508
|
0.8021
|
15.1647
|
0.6196
|
|
Hypothesis of at most 3 cointegration relationship
|
|
|
|
1
|
11.8411
|
0.8229
|
9.2030
|
0.7034
|
|
2
|
17.2061
|
0.3997
|
12.3990
|
0.3789
|
|
3
|
19.1856
|
0.2699
|
11.4591
|
0.4671
|
|
4
|
12.6864
|
0.7623
|
8.0913
|
0.8133
|
|
5
|
15.6709
|
0.5192
|
10.7359
|
0.5407
|
|
6
|
9.5861
|
0.9414
|
6.3442
|
0.9398
|
|
Hypothesis of at most 4 cointegration relationship
|
|
|
|
1
|
2.6381
|
0.9165
|
2.6381
|
0.9165
|
|
2
|
4.8071
|
0.6242
|
4.8071
|
0.6242
|
|
3
|
7.7266
|
0.2748
|
7.7266
|
0.2748
|
|
4
|
4.5951
|
0.6551
|
4.5951
|
0.6551
|
|
5
|
4.9350
|
0.6057
|
4.9350
|
0.6057
|
|
6
|
3.2419
|
0.8466
|
3.2419
|
0.8466
|
**MacKinnon-Haug-Michelis (1999) p-values
Résultats des estimations pour la
période 1980-2007:
************test de racine unitaire lntot********** Currently
computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -62.47497
Levin-Lin t-rho-stat = -26.57930
Levin-Lin ADF-stat = -17.53012
IPS ADF-stat = -17.73521
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LCI**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -57.29466
Levin-Lin t-rho-stat = -18.17733
Levin-Lin ADF-stat = -2.90258
IPS ADF-stat = -4.09191
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LCS**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1
offset = 1
offset = 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -31.46655
Levin-Lin t-rho-stat = -8.24580
Levin-Lin ADF-stat = -0.51805
IPS ADF-stat = -0.81176
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LPMI**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = 0.69037
Levin-Lin t-rho-stat = 0.49136
Levin-Lin ADF-stat = 0.37458
IPS ADF-stat = 0.49380
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LPMS**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = 0.90816
Levin-Lin t-rho-stat = -0.46058
Levin-Lin ADF-stat = -0.49439
IPS ADF-stat = -0.67031
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LRI**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = 0.92693
Levin-Lin t-rho-stat = 0.92373
Levin-Lin ADF-stat = 0.94385
IPS ADF-stat = 1.04892
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LRS**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = 0.68289
Levin-Lin t-rho-stat = 0.58391
Levin-Lin ADF-stat = 0.59964
IPS ADF-stat = 0.71208
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LTXi**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -10.24705
Levin-Lin t-rho-stat = -3.40094
Levin-Lin ADF-stat = 1.99807
IPS ADF-stat = 2.65745
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour LTXs**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -50.63625
Levin-Lin t-rho-stat = -12.93844
Levin-Lin ADF-stat = 1.04933
IPS ADF-stat = 1.16388
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLRI**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -83.55340
Levin-Lin t-rho-stat = -6.69959
Levin-Lin ADF-stat = -6.67989
IPS ADF-stat = -9.56023
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLRS**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -83.77476
Levin-Lin t-rho-stat = -1.75979
Levin-Lin ADF-stat = -1.58560
IPS ADF-stat = -4.84274
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLPMS**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -96.93893
Levin-Lin t-rho-stat = -16.23782
Levin-Lin ADF-stat = -14.03807
IPS ADF-stat = -18.10985
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLCI**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -50.60288
Levin-Lin t-rho-stat = -13.86359
Levin-Lin ADF-stat = -20.87066
IPS ADF-stat = -27.68438
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLCS**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -90.16863
Levin-Lin t-rho-stat = -34.18184
Levin-Lin ADF-stat = -16.98361
IPS ADF-stat = -23.26185
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLPMI**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
********************************************
-raw panel unit
root test results-
Levin-Lin rho-stat = -99.60124
Levin-Lin t-rho-stat = -29.65520
Levin-Lin ADF-stat = -15.86289
IPS ADF-stat = -21.04360
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLTXi**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -65.19546
Levin-Lin t-rho-stat = -21.82314
Levin-Lin ADF-stat = -8.32385
IPS ADF-stat = -8.97915
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLTXs**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -51.07769
Levin-Lin t-rho-stat = -23.85272
Levin-Lin ADF-stat = -30.09654
IPS ADF-stat = -36.28432
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DLPL**********
Currently computing panel statistics. Please wait.
offset = 2 offset = 2 offset = 2 offset = 2 offset = 2 offset
= 2
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -90.20229
Levin-Lin t-rho-stat = -35.55282
Levin-Lin ADF-stat = -21.43623
IPS ADF-stat = -28.82197
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances (see OBES
reference for details)
******************************************** ************test de
racine unitaire pour DDLRS**********
Currently computing panel statistics. Please wait.
offset = 3 offset = 3 offset = 3 offset = 3 offset = 3 offset
= 3
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -104.87718
Levin-Lin t-rho-stat = 1.71759
Levin-Lin ADF-stat = 1.38870
IPS ADF-stat = 0.68106
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour Lpl**********
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -27.66841
Levin-Lin t-rho-stat = -7.60820
Levin-Lin ADF-stat = -1.18345
IPS ADF-stat = -1.91718
(using large sample adjustment values)
Nsecs = 6 , Tperiods
= 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DDLTXI**********
Currently computing panel statistics. Please wait.
offset = 3 offset = 3 offset = 3 offset = 3 offset = 3 offset
= 3
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -70.59447
Levin-Lin t-rho-stat = -18.60891
Levin-Lin ADF-stat = -26.08274
IPS ADF-stat = -35.41405
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DDDLTXI**********
Currently computing panel statistics. Please wait.
offset = 4 offset = 4 offset = 4 offset = 4 offset = 4 offset
= 4
RESULTS:
********************************************
-raw panel unit root test results-
Levin-Lin rho-stat = -72.30862
Levin-Lin t-rho-stat = -30.75060
Levin-Lin ADF-stat = -19.49161
IPS ADF-stat = -24.93524
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ************test de
racine unitaire pour DDDLRS**********
Currently computing panel statistics. Please wait.
offset = 4 offset = 4 offset = 4 offset = 4 offset = 4
offset = 4
RESULTS:
********************************************
-raw panel unit
root test results-
Levin-Lin rho-stat = -121.27915
Levin-Lin t-rho-stat = -46.94658
Levin-Lin ADF-stat = -14.54680
IPS ADF-stat = -21.38631
(using large sample adjustment values)
Nsecs = 6 , Tperiods = 112 , no. regressors = 0
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
********************************************
*******test de cointegration pedroni.P[2004](lower
bloc)(1980-1996)******
Currently computing panel statistics. Please wait.
offset = 1 offset = 1 offset = 1 offset = 1 offset = 1 offset
= 1
RESULTS:
********************************************
|
panel
|
v-stat
|
=
|
3.44542
|
|
panel
|
rho-stat
|
=
|
-13.12683
|
|
panel
|
pp-stat
|
=
|
-14.13123
|
|
panel
|
adf-stat
|
=
|
0.52636
|
|
group
|
rho-stat
|
=
|
-13.52092
|
|
group
|
pp-stat
|
=
|
-16.55490
|
|
group
|
adf-stat
|
=
|
1.58620
|
Nsecs = 6 , Tperiods = 112 , no. regressors = 5
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
********************************************
********estimation de la relation de cointegration (lower
bloc)*****
Currently computing panel statistics. Please wait. Dependent
Variable : LCI
common time dummies NOT included
Null vector for t-stats is:
0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000
INDIVIDUAL FMOLS RESULTS
(t-stats in parentheses)
)
Member
***********
|
Variable
*************
|
Coefficient
**************
|
t-statistic
**************
|
|
No.1
|
LPMI
|
0.06403
|
( 1.31689 )
|
|
No.1
|
LPL
|
0.00236
|
( 0.29495 )
|
|
No.1
|
LRI
|
-0.00611
|
( -0.08286 )
|
|
No.1
|
LNTOT
|
-0.00606
|
( -0.32262 )
|
|
No.1
|
Q1
|
-0.19982
|
( -12.44427
|
|
No.1
|
Q3
|
0.05876
|
( 3.70259 )
|
|
No.1
|
Q4
|
-0.14292
|
( -8.99465 )
|
|
No.2
|
LPMI
|
0.00465
|
(
|
0.13770 )
|
|
No.2
|
LPL
|
-0.00962
|
(
|
-2.39945 )
|
|
No.2
|
LRI
|
0.08483
|
(
|
2.33918 )
|
|
No.2
|
LNTOT
|
-0.02728
|
(
|
-1.55907 )
|
|
No.2
|
Q1
|
-0.13926
|
(
|
-12.41772 )
|
|
No.2
|
Q3
|
0.05888
|
(
|
5.30299 )
|
|
No.2
|
Q4
|
-0.10450
|
(
|
-9.29807 )
|
|
No.3
|
LPMI
|
0.09230
|
(
|
2.09644 )
|
|
No.3
|
LPL
|
-0.00360
|
(
|
-0.68465 )
|
|
No.3
|
LRI
|
0.07271
|
(
|
0.92306 )
|
|
No.3
|
LNTOT
|
-0.09755
|
(
|
-2.81260 )
|
|
No.3
|
Q1
|
-0.14814
|
(
|
-10.40225 )
|
|
No.3
|
Q3
|
0.03389
|
(
|
2.44420 )
|
|
No.3
|
Q4
|
-0.11950
|
(
|
-8.16263 )
|
|
No.4
|
LPMI
|
0.17054
|
(
|
2.70948 )
|
|
No.4
|
LPL
|
-0.00335
|
(
|
-0.29348 )
|
|
No.4
|
LRI
|
-0.04971
|
(
|
-0.51496 )
|
|
No.4
|
LNTOT
|
-0.12263
|
(
|
-1.91288 )
|
|
No.4
|
Q1
|
-0.21960
|
(
|
-11.41798 )
|
|
No.4
|
Q3
|
0.05849
|
(
|
3.11971 )
|
|
No.4
|
Q4
|
-0.16740
|
(
|
-8.31264 )
|
|
No.5
|
LPMI
|
-0.01600
|
(
|
-0.33680 )
|
|
No.5
|
LPL
|
-0.00801
|
(
|
-1.24747 )
|
|
No.5
|
LRI
|
-0.10016
|
(
|
-0.77026 )
|
|
No.5
|
LNTOT
|
0.06857
|
(
|
1.52265 )
|
|
No.5
|
Q1
|
-0.18599
|
(
|
-10.29192 )
|
|
No.5
|
Q3
|
0.03761
|
(
|
2.16681 )
|
|
No.5
|
Q4
|
-0.15126
|
(
|
-8.17741 )
|
|
No.6
|
LPMI
|
0.10496
|
(
|
2.60306 )
|
|
No.6
|
LPL
|
-0.01628
|
(
|
-4.44327 )
|
|
No.6
|
LRI
|
0.01451
|
(
|
0.31613 )
|
|
No.6
|
LNTOT
|
-0.07057
|
(
|
-2.51110 )
|
|
No.6
|
Q1
|
-0.07709
|
(
|
-4.90744 )
|
|
No.6
|
Q3
|
0.03568
|
(
|
2.43518 )
|
|
No.6
|
Q4
|
-0.03684
|
(
|
-2.38499 )
|
*********** ************* ************** **************
|
LPMI LPL
LRI LNTOT
Q1
Q3
Q4
Nsecs =
|
6
|
PANEL GROUP
Coefficient 0.07008 -0.00642 0.00268 -0.04259 -0.16165 0.04722
-0.12040
, Tperiods =
|
FMOLS
112 ,
|
RESULTS
t-statistic
( 3.48104 )
( -3.58172 )
( 0.90235 )
( -3.10089 )
( -25.26305 )
( 7.82672 )
( -18.50606 )
no. regressors = 7
|
********************************************
|
******test de cointegration pedroni.P[2004](upper
bloc)(1980-1996)****** Currently computing panel statistics. Please wait.
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
|
RESULTS:
|
|
|
********************************************
|
|
panel
|
v-stat
|
=
|
6.98715
|
|
panel
|
rho-stat
|
=
|
-21.51332
|
|
panel
|
pp-stat
|
=
|
-18.87245
|
|
panel
|
adf-stat
|
=
|
-6.34237
|
|
group
|
rho-stat
|
=
|
-22.60687
|
group pp-stat = -22.81424
group adf-stat = -5.67944
Nsecs = 6 , Tperiods = 112 , no. regressors = 4
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances (see OBES
reference for details)
********************************************
******estimation de la relation de cointegration(upper
bloc)******
Currently computing panel statistics. Please wait. Dependent
Variable : LCS
common time dummies NOT included
Null vector for t-stats is:
0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000
INDIVIDUAL FMOLS RESULTS
(t-stats in parentheses)
|
Member
***********
|
Variable
*************
|
Coefficient
**************
|
t-statistic
**************
|
|
No.1
|
LPMS
|
-0.13237
|
( -1.15559 )
|
|
No.1
|
LPL
|
0.03092
|
( 1.59263 )
|
|
No.1
|
LNTOT
|
-0.05032
|
( -1.03030 )
|
|
No.1
|
LRS
|
-0.11675
|
( -0.38029 )
|
|
No.1
|
Q1
|
0.19319
|
( 5.12159 )
|
|
No.1
|
Q2
|
0.01338
|
( 0.35677 )
|
|
No.1
|
Q4
|
0.12619
|
( 3.35825 )
|
|
No.2
|
LPMS
|
-0.13065
|
( -2.00292 )
|
|
No.2
|
LPL
|
-0.02877
|
( -2.55109 )
|
|
No.2
|
LNTOT
|
-0.06437
|
( -1.43408 )
|
|
No.2
|
LRS
|
-0.20756
|
( -1.48153 )
|
|
No.2
|
Q1
|
0.15748
|
( 4.85536 )
|
|
No.2
|
Q2
|
0.04812
|
( 1.52447 )
|
|
No.2
|
Q4
|
0.16494
|
( 5.05259 )
|
|
No.3
|
LPMS
|
-0.20311
|
( -2.26275 )
|
|
No.3
|
LPL
|
-0.01356
|
( -1.28388 )
|
|
No.3
|
LNTOT
|
-0.03435
|
( -0.52298 )
|
|
No.3
|
LRS
|
-0.30336
|
( -0.97442 )
|
|
No.3
|
Q1
|
0.19559
|
( 6.73274 )
|
|
No.3
|
Q2
|
0.02780
|
( 1.00395 )
|
|
No.3
|
Q4
|
0.13225
|
( 4.37942 )
|
|
No.4
|
LPMS
|
0.20256
|
( 0.77614 )
|
|
No.4
|
LPL
|
-0.09293
|
( -2.07451 )
|
|
No.4
|
LNTOT
|
-0.58688
|
( -1.57620 )
|
|
No.4
|
LRS
|
-0.03377
|
( -0.07531 )
|
|
No.4
|
Q1
|
0.32689
|
( 3.80559 )
|
|
No.4
|
Q2
|
0.08090
|
( 1.07857 )
|
|
No.4
|
Q4
|
0.30933
|
( 3.36643 )
|
|
No.5
|
LPMS
|
0.00283
|
( 0.03060 )
|
|
No.5
|
LPL
|
-0.03039
|
( -2.26793 )
|
|
No.5
|
LNTOT
|
-0.25759
|
( -3.60737 )
|
|
No.5
|
LRS
|
0.42792
|
( 0.43901 )
|
|
No.5
|
Q1
|
0.24639
|
( 6.29782 )
|
|
No.5
|
Q2
|
0.07981
|
( 2.16684 )
|
|
No.5
|
Q4
|
0.24706
|
( 6.23092 )
|
|
No.6
|
LPMS
|
-0.11992
|
( -1.46365 )
|
|
No.6
|
LPL
|
0.02671
|
( 3.25331 )
|
|
No.6
|
LNTOT
|
-0.00075
|
( -0.01227 )
|
|
No.6
|
LRS
|
-0.40520
|
( -2.31845 )
|
|
No.6
|
Q1
|
0.02622
|
( 0.72264 )
|
No.6 Q2 0.02186 ( 0.66210 )
No.6 Q4 -0.00784 ( -0.22273 )
*********** ************* ************** **************
PANEL GROUP FMOLS RESULTS
|
LPMS LPL LNTOT LRS
Q1
Q2
Q4
Nsecs =
|
6
|
Coefficient -0.06344 -0.01800 -0.16571 -0.10645 0.19096
0.04531 0.16199
, Tperiods =
|
112 ,
|
no.
|
t-statistic
( -2.48140 )
( -1.36007 )
( -3.34078 )
( -1.95591 )
( 11.24142 )
( 2.77311 )
( 9.04877 )
regressors = 7
|
********************************************
******test de cointegration de pedroni( taux de branchement)bloc
inf****
|
Currently computing panel statistics. Please wait.
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
|
RESULTS:
|
|
|
********************************************
|
|
panel
|
v-stat
|
=
|
3.27929
|
|
panel
|
rho-stat
|
=
|
-14.68195
|
|
panel
|
pp-stat
|
=
|
-11.35698
|
|
panel
|
adf-stat
|
=
|
1.18731
|
|
group
|
rho-stat
|
=
|
-15.58116
|
|
group
|
pp-stat
|
=
|
-13.71275
|
|
group
|
adf-stat
|
=
|
2.00289
|
Nsecs = 6 , Tperiods = 112 , no. regressors = 3
All reported values are distributed N(0,1) under null of unit
root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** ******estimation de
la relation******
Currently computing panel statistics. Please wait.
Dependent Variable : LTXI
common time dummies NOT included
Null vector for t-stats is:
0.0000 0.0000 0.0000 0.0000 0.0000
0.0000
INDIVIDUAL FMOLS RESULTS
(t-stats in parentheses)
|
Member
***********
|
Variable
*************
|
Coefficient
**************
|
t-statistic
**************
|
|
No.1
|
LPMI
|
-0.02838
|
( -0.59990 )
|
|
No.1
|
LPL
|
0.07300
|
( 5.75388 )
|
|
No.1
|
LNTOT
|
-0.02347
|
( -0.78283 )
|
|
No.1
|
Q1
|
0.08012
|
( 3.15071 )
|
|
No.1
|
Q3
|
-0.01210
|
( -0.47704 )
|
|
No.1
|
Q4
|
0.06444
|
( 2.54532 )
|
)
No.2
|
LPMI
|
-0.12307
|
( -1.62122 )
|
|
No.2
|
LPL
|
0.03964
|
( 3.14130 )
|
|
No.2
|
LNTOT
|
-0.09697
|
( -1.82164 )
|
|
No.2
|
Q1
|
0.07034
|
( 1.96940 )
|
|
No.2
|
Q3
|
-0.03708
|
( -1.05080 )
|
|
No.2
|
Q4
|
0.05304
|
( 1.48206 )
|
|
No.3
|
LPMI
|
0.35029
|
( 4.92270 )
|
|
No.3
|
LPL
|
0.03399
|
( 3.59081 )
|
|
No.3
|
LNTOT
|
-0.45962
|
( -7.58621 )
|
|
No.3
|
Q1
|
0.10292
|
( 4.01893 )
|
|
No.3
|
Q3
|
-0.01320
|
( -0.52798 )
|
|
No.3
|
Q4
|
0.11206
|
( 4.24312 )
|
|
No.4
|
LPMI
|
0.23887
|
( 2.49200 )
|
|
No.4
|
LPL
|
0.02474
|
( 1.46380 )
|
|
No.4
|
LNTOT
|
-0.30433
|
( -3.55523 )
|
|
No.4
|
Q1
|
0.06872
|
( 2.37630 )
|
|
No.4
|
Q3
|
-0.01449
|
( -0.50623 )
|
|
No.4
|
Q4
|
0.07088
|
( 2.37282 )
|
|
No.5
|
LPMI
|
0.39674
|
( 7.95779 )
|
|
No.5
|
LPL
|
0.02025
|
( 3.08821 )
|
|
No.5
|
LNTOT
|
-0.37489
|
( -11.90256
|
|
No.5
|
Q1
|
0.08894
|
( 4.79935 )
|
|
No.5
|
Q3
|
-0.01412
|
( -0.77520 )
|
|
No.5
|
Q4
|
0.09972
|
( 5.33038 )
|
|
No.6
|
LPMI
|
-0.23367
|
( -1.59605 )
|
|
No.6
|
LPL
|
-0.03457
|
( -2.65659 )
|
|
No.6
|
LNTOT
|
-0.14383
|
( -1.60829 )
|
|
No.6
|
Q1
|
0.10543
|
( 1.86884 )
|
|
No.6
|
Q3
|
-0.04177
|
( -0.78529 )
|
|
No.6
|
Q4
|
0.09623
|
( 1.73475 )
|
*********** ************* ************** **************
|
LPMI LPL LNTOT
Q1
Q3
Q4
Nsecs =
|
6
|
PANEL GROUP
Coefficient 0.10013 0.02617 -0.23385 0.08608 -0.02213
0.08273
, Tperiods =
|
FMOLS
112 ,
|
RESULTS
t-statistic
( 4.71744 )
( 5.87118 )
( -11.12753 )
( 7.42339 )
( -1.68302 )
( 7.22944 )
no. regressors = 6
|
******************************************** ****test de
cointegration de pedroni (bloc sup)*****
|
Currently computing panel statistics. Please wait.
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
offset
|
=
|
1
|
|
|
RESULTS:
|
|
|
********************************************
|
|
panel
|
v-stat
|
=
|
1.71843
|
|
panel
|
rho-stat
|
=
|
-7.37342
|
|
panel
|
pp-stat
|
=
|
-6.17932
|
|
panel
|
adf-stat
|
=
|
2.97039
|
|
group
|
rho-stat
|
=
|
-8.36935
|
|
group
|
pp-stat
|
=
|
-7.64256
|
|
group
|
adf-stat
|
=
|
3.46926
|
Nsecs = 6 , Tperiods = 112 , no. regressors = 3 All reported
values are distributed N(0,1)
under null of unit root or no cointegration
Panel stats are weighted by long run variances
(see OBES reference for details)
******************************************** *******estimation de
la relation*****
Currently computing panel statistics. Please wait. Dependent
Variable : LTXS
common time dummies NOT included
Null vector for t-stats is:
0.0000 0.0000 0.0000 0.0000 0.0000
0.0000
INDIVIDUAL FMOLS RESULTS
(t-stats in parentheses)
|
Member
***********
|
Variable
*************
|
Coefficient
**************
|
t-statistic
**************
|
|
No.1
|
LPMS
|
-0.40822
|
(
|
-3.01401 )
|
|
No.1
|
LPL
|
0.08713
|
(
|
1.96361 )
|
|
No.1
|
LNTOT
|
0.08703
|
(
|
0.79134 )
|
|
No.1
|
Q1
|
-0.91575
|
(
|
-10.53822 )
|
|
No.1
|
Q3
|
0.34680
|
(
|
4.04409 )
|
|
No.1
|
Q4
|
-0.75032
|
(
|
-8.68515 )
|
|
No.2
|
LPMS
|
-0.06865
|
(
|
-0.73210 )
|
|
No.2
|
LPL
|
0.01760
|
(
|
0.76853 )
|
|
No.2
|
LNTOT
|
-0.37085
|
(
|
-4.07285 )
|
|
No.2
|
Q1
|
-0.79568
|
(
|
-12.25393 )
|
|
No.2
|
Q3
|
0.33927
|
(
|
5.28784 )
|
|
No.2
|
Q4
|
-0.65320
|
(
|
-10.06632 )
|
|
No.3
|
LPMS
|
0.03149
|
(
|
0.20764 )
|
|
No.3
|
LPL
|
-0.01793
|
(
|
-0.67046 )
|
|
No.3
|
LNTOT
|
-0.65652
|
(
|
-4.05912 )
|
|
No.3
|
Q1
|
-0.86600
|
(
|
-11.93396 )
|
|
No.3
|
Q3
|
0.19299
|
(
|
2.73803 )
|
|
No.3
|
Q4
|
-0.76029
|
(
|
-10.21446 )
|
|
No.4
|
LPMS
|
0.08502
|
(
|
0.25759 )
|
|
No.4
|
LPL
|
-0.02634
|
(
|
-0.42492 )
|
|
No.4
|
LNTOT
|
-0.85267
|
(
|
-2.27227 )
|
|
No.4
|
Q1
|
-0.94862
|
(
|
-8.78792 )
|
|
No.4
|
Q3
|
0.20144
|
(
|
1.92255 )
|
|
No.4
|
Q4
|
-0.78114
|
(
|
-6.99346 )
|
|
No.5
|
LPMS
|
-0.67843
|
(
|
-4.27393 )
|
|
No.5
|
LPL
|
-0.05073
|
(
|
-1.83946 )
|
|
No.5
|
LNTOT
|
0.33768
|
(
|
2.63488 )
|
|
No.5
|
Q1
|
-0.96865
|
(
|
-12.49053 )
|
|
No.5
|
Q3
|
0.19744
|
(
|
2.59957 )
|
|
No.5
|
Q4
|
-0.87519
|
(
|
-11.26532 )
|
|
No.6
|
LPMS
|
-0.24441
|
(
|
-2.41459 )
|
|
No.6
|
LPL
|
0.00130
|
(
|
0.11186 )
|
|
No.6
|
LNTOT
|
-0.55599
|
(
|
-6.37570 )
|
|
No.6
|
Q1
|
-0.59220
|
(
|
-11.89158 )
|
|
No.6
|
Q3
|
0.17330
|
(
|
3.68248 )
|
|
No.6
|
Q4
|
-0.52714
|
(
|
-10.83155 )
|
*********** ************* ************** **************
PANEL GROUP FMOLS RESULTS
|
Coefficient
|
t-statistic
|
|
LPMS
|
-0.21387
|
(
|
-4.07000 )
|
|
LPL
|
0.00184
|
(
|
-0.03709 )
|
|
LNTOT
|
-0.33522
|
(
|
-5.45163 )
|
|
Q1
|
-0.84782
|
(
|
-27.71848 )
|
|
Q3
|
0.24187
|
(
|
8.27706 )
|
|
Q4
|
-0.72455
|
(
|
-23.70137 )
|
Nsecs = 6 , Tperiods = 112 , no. regressors = 6
********************************************
*************estimation dols*****
Linear Regression - Estimation by Least Squares Dependent
Variable LCI
Panel(112) of Undated Data From 1//001 To 6//112
Usable Observations 672 Degrees of Freedom 665
Centered R**2 -0.444666 R Bar **2 -0.457701
Uncentered R**2 0.997397 T x R**2 670.251
Mean of Dependent Variable 2.8918446211
Std Error of Dependent
Variable 0.1229549689
Standard Error of Estimate 0.1484500178
Sum of Squared Residuals 14.654876170
Log Likelihood 331.83634
Durbin-Watson Statistic 0.328281
Variable Coeff Std Error T-Stat Signif
*******************************************************************************
|
1.
|
LPMI
|
0.101736877
|
0.019130615
|
5.31801
|
0.00000014
|
|
2.
|
LPL
|
0.050834203
|
0.004137919
|
12.28497
|
0.00000000
|
|
3.
|
LRI
|
0.356026985
|
0.032222910
|
11.04888
|
0.00000000
|
|
4.
|
LNTOT
|
0.013672058
|
0.017472542
|
0.78249
|
0.43420626
|
|
5.
|
Q1
|
-0.210013363
|
0.016399393
|
-12.80617
|
0.00000000
|
|
6.
|
Q2
|
-0.032207720
|
0.016226871
|
-1.98484
|
0.04757291
|
|
7.
|
Q4
|
-0.179662755
|
0.016546396
|
-10.85812
|
0.00000000
|
|
Nobs = 660 JB test
Standard Errors are
Var.# Coeff.
|
= 14.18296 ( 0.0008322 )
adjusted for long-run variance. S.E. t-statistic
|
|
1
|
0.10174
|
0.08534
|
1.192
|
|
2
|
0.05083
|
0.01846
|
2.754
|
|
3
|
0.35603
|
0.14375
|
2.477
|
|
4
|
0.01367
|
0.07795
|
0.175
|
|
5
|
-0.21001
|
0.07316
|
-2.871
|
|
6
|
-0.03221
|
0.07239
|
-0.445
|
|
7
|
-0.17966
|
0.07381
|
-2.434
|
*************estimation dols*****
Linear Regression - Estimation by Least Squares Dependent
Variable LCS
Panel(112) of Undated Data From 1//001 To 6//112
Usable Observations 672 Degrees of Freedom 665
Centered R**2 -0.079400 R Bar **2 -0.089139
Uncentered R**2 0.997702 T x R**2 670.455
Mean of Dependent Variable 4.9120750403
Std Error of Dependent
Variable 0.2270780530
Standard Error of Estimate 0.2369827961
Sum of Squared Residuals 37.346962358
Log Likelihood 17.51558
Durbin-Watson Statistic 0.823137
Variable Coeff Std Error T-Stat Signif
*******************************************************************************
|
1.
|
LPMS
|
-0.226665518
|
0.024493437
|
-9.25413
|
0.00000000
|
|
2.
|
LPL
|
-0.009052927
|
0.007410797
|
-1.22159
|
0.22229709
|
|
3.
|
LRS
|
1.243236418
|
0.029125312
|
42.68577
|
0.00000000
|
|
4.
|
LNTOT
|
-0.230266576
|
0.020577357
|
-11.19029
|
0.00000000
|
|
5.
|
Q1
|
0.213807271
|
0.026034121
|
8.21258
|
0.00000000
|
|
6.
|
Q2
|
0.063771204
|
0.025873240
|
2.46476
|
0.01396236
|
|
7.
|
Q4
|
0.191460857
|
0.026242147
|
7.29593
|
0.00000000
|
|
Nobs = 660 JB test
Standard Errors are
Var.# Coeff.
|
= 2981.85146 ( 0.0000000 )
adjusted for long-run variance. S.E. t-statistic
|
|
1
|
-0.22667
|
0.06691
|
-3.387
|
|
2
|
-0.00905
|
0.02025
|
-0.447
|
|
3
|
1.24324
|
0.07957
|
15.625
|
|
4
|
-0.23027
|
0.05622
|
-4.096
|
|
5
|
0.21381
|
0.07112
|
3.006
|
|
6
|
0.06377
|
0.07068
|
0.902
|
|
7
|
0.19146
|
0.07169
|
2.671
|
Johansen Fisher
Panel
Cointegration
Test
Series: LCI LPMI LRI LPL LNTOT
Date: 05/28/09 Time: 23:33
Sample: 1980Q1 2007Q4
Included observations: 672
Trend assumption: Linear deterministic trend (restricted)
Lags interval (in first differences): 1 1
Unrestricted Cointegration Rank Test (Trace and Maximum
Eigenvalue)
|
Hypothesized
No. of CE(s)
|
Fisher Stat.*
(from trace test)
|
Prob.
|
Fisher Stat.*
(from max-eigen test)
|
Prob.
|
|
None
|
407.6
|
0.0000
|
136.0
|
0.0000
|
|
At most 1
|
87.71
|
0.0000
|
124.0
|
0.0000
|
|
At most 2
|
16.16
|
0.1840
|
14.87
|
0.2486
|
|
At most 3
|
7.126
|
0.8492
|
7.983
|
0.7865
|
|
At most 4
|
4.645
|
0.9688
|
4.645
|
0.9688
|
|
* Probabilities are
computed using
asymptotic
Chi-
square
distribution.
|
|
|
|
|
Individual cross section results
|
Cross Section
|
Trace Test Statistics
|
Prob.**
|
Max-Eign Test
Statistics
|
Prob.**
|
|
Hypothesis of no cointegration
|
|
|
|
|
1
|
282.7903
|
0.0000
|
213.9653
|
0.0001
|
|
2
|
288.9604
|
0.0000
|
221.8639
|
0.0001
|
|
3
|
265.1918
|
0.0000
|
168.9276
|
0.0000
|
|
4
|
331.5599
|
0.0000
|
215.9903
|
0.0001
|
|
5
|
270.8898
|
0.0000
|
205.2221
|
0.0001
|
|
6
|
198.4187
|
0.0000
|
128.1361
|
0.0000
|
|
Hypothesis of at most 1 cointegration relationship
|
|
|
|
1
|
68.8250
|
0.0181
|
36.3778
|
0.0141
|
|
2
|
67.0965
|
0.0261
|
26.2980
|
0.2173
|
|
3
|
96.2642
|
0.0000
|
62.9252
|
0.0000
|
|
4
|
115.5696
|
0.0000
|
75.9388
|
0.0000
|
|
5
|
65.6678
|
0.0351
|
33.2917
|
0.0358
|
|
6
|
70.2826
|
0.0131
|
47.2436
|
0.0004
|
|
Hypothesis of at most 2 cointegration relationship
|
|
|
|
1 32.4472 0.3646
|
16.6692
|
0.4859
|
2 40.7985 0.0802 23.1383 0.1088
3 33.3390 0.3197 19.5304 0.2711
4 39.6308 0.1026 22.7780 0.1200
5 32.3760 0.3684 17.9044 0.3846
6 23.0390 0.8764 11.6576 0.8930
Hypothesis of at most 3 cointegration relationship
1 15.7780 0.5105 10.9492 0.5186
2 17.6602 0.3672 13.1700 0.3145
3 13.8086 0.6734 9.2709 0.6963
4 16.8528 0.4260 13.8119 0.2670
5 14.4717 0.6185 9.4749 0.6748
6 11.3814 0.8526 6.9699 0.9028
Hypothesis of at most 4 cointegration relationship
1 4.8288 0.6211 4.8288 0.6211
2 4.4902 0.6705 4.4902 0.6705
3 4.5377 0.6635 4.5377 0.6635
4 3.0408 0.8717 3.0408 0.8717
5 4.9967 0.5969 4.9967 0.5969
6 4.4115 0.6820 4.4115 0.6820
**MacKinnon-Haug-Michelis (1999) p-values
Johansen Fisher
Panel
Cointegration
Test
Series: LCS LPMS LRS LPL LNTOT Date: 05/28/09 Time: 23:34
Sample: 1980Q1 2007Q4
Included observations: 672
Trend assumption: Linear deterministic trend (restricted)
Lags interval (in first differences): 1 1
Unrestricted Cointegration Rank Test (Trace and Maximum
Eigenvalue)
Hypothesized Fisher Stat.* Fisher Stat.*
No. of CE(s) (from trace test) Prob. (from max-eigen test)
Prob.
None 323.7 0.0000 244.8 0.0000
At most 1 84.24 0.0000 107.2 0.0000
At most 2 13.48 0.3355 12.11 0.4371
At most 3 7.408 0.8295 7.904 0.7926
At most 4 4.701 0.9672 4.701 0.9672
* Probabilities are
computed using
asymptotic
Chi-
square
distribution.
Individual cross section results
Hypothesis of no cointegration
|
1
|
161.0538
|
0.0000
|
97.5388
|
0.0000
|
|
2
|
169.9608
|
0.0000
|
106.1523
|
0.0000
|
|
3
|
220.2138
|
0.0000
|
114.8512
|
0.0000
|
|
4
|
239.0623
|
0.0000
|
143.2477
|
0.0000
|
|
5
|
170.9629
|
0.0000
|
96.0229
|
0.0000
|
|
6
|
166.3293
|
0.0000
|
90.8615
|
0.0000
|
|
Hypothesis of at most 1 cointegration relationship
|
|
|
|
1
|
63.5150
|
0.0536
|
34.5886
|
0.0244
|
|
2
|
63.8085
|
0.0507
|
27.3428
|
0.1715
|
|
3
|
105.3626
|
0.0000
|
67.9058
|
0.0000
|
|
4
|
95.8146
|
0.0000
|
61.3292
|
0.0000
|
|
5
|
74.9400
|
0.0044
|
43.6424
|
0.0013
|
|
6
|
75.4678
|
0.0039
|
47.3077
|
0.0004
|
|
Hypothesis of at most 2 cointegration relationship
|
|
|
|
1
|
28.9264
|
0.5664
|
13.2228
|
0.7864
|
|
2
|
36.4657
|
0.1898
|
22.5566
|
0.1274
|
|
3
|
37.4568
|
0.1580
|
22.6257
|
0.1251
|
|
4
|
34.4854
|
0.2668
|
18.0682
|
0.3720
|
|
5
|
31.2976
|
0.4271
|
15.1772
|
0.6185
|
|
6
|
28.1600
|
0.6125
|
12.8499
|
0.8149
|
|
Hypothesis of at most 3 cointegration relationship
|
|
|
|
1
|
15.7036
|
0.5165
|
11.3906
|
0.4739
|
|
2
|
13.9091
|
0.6651
|
9.9398
|
0.6253
|
|
3
|
14.8312
|
0.5886
|
10.5067
|
0.5648
|
|
4
|
16.4172
|
0.4595
|
11.4901
|
0.4640
|
|
5
|
16.1204
|
0.4829
|
11.4743
|
0.4656
|
|
6
|
15.3101
|
0.5488
|
10.8253
|
0.5314
|
|
Hypothesis of at most 4 cointegration relationship
|
|
|
|
1
|
4.3130
|
0.6965
|
4.3130
|
0.6965
|
|
2
|
3.9694
|
0.7466
|
3.9694
|
0.7466
|
|
3
|
4.3244
|
0.6948
|
4.3244
|
0.6948
|
|
4
|
4.9271
|
0.6069
|
4.9271
|
0.6069
|
|
5
|
4.6461
|
0.6477
|
4.6461
|
0.6477
|
|
6
|
4.4848
|
0.6713
|
4.4848
|
0.6713
|
**MacKinnon-Haug-Michelis (1999) p-values
| 
