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Estimation de la demande régionale d'eau résidentielle en présence d'une tarification progressive et non linéaire en Tunisie. Une approche par cointégration sur données de panel

( Télécharger le fichier original )
par Younes BEN ZAIED
Université Tunis El Manar - Mastére de recherche en économie mathématiques et économétrie 2009
  

précédent sommaire

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

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