|
Null Hypothesis: D(EXCL) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-5.295274
|
0.0001
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
2.45E-05
|
|
HAC corrected variance (Bartlett kernel)
|
2.17E-05
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(EXCL,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/25/14 Time: 17:15
|
|
|
|
Sample (adjusted): 3 34
|
|
|
|
Included observations: 32 after adjustments
|
|
|
Null Hypothesis: D(PIB) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-2.616271
|
0.0965
|
|
Test critical values:
|
1% level
|
|
-3.568308
|
|
|
5% level
|
|
-2.921175
|
|
|
10% level
|
|
-2.598551
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
5.01E+22
|
|
HAC corrected variance (Bartlett kernel)
|
4.10E+22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(PIB,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/25/14 Time: 17:18
|
|
|
|
Sample (adjusted): 3 52
|
|
|
|
Included observations: 50 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(PIB(-1))
|
-0.339145
|
0.117425
|
-2.888174
|
0.0058
|
|
C
|
9.83E+10
|
4.27E+10
|
2.304635
|
0.0256
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.148053
|
Mean dependent var
|
1.78E+10
|
|
Adjusted R-squared
|
0.130304
|
S.D. dependent var
|
2.45E+11
|
|
S.E. of regression
|
2.28E+11
|
Akaike info criterion
|
55.18538
|
|
Sum squared resid
|
2.50E+24
|
Schwarz criterion
|
55.26187
|
|
Log likelihood
|
-1377.635
|
Hannan-Quinn criter.
|
55.21451
|
|
F-statistic
|
8.341548
|
Durbin-Watson stat
|
2.339069
|
|
Prob(F-statistic)
|
0.005797
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(PIB_HBT) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-4.635128
|
0.0004
|
|
Test critical values:
|
1% level
|
|
-3.568308
|
|
|
5% level
|
|
-2.921175
|
|
|
10% level
|
|
-2.598551
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
5.28E+08
|
|
HAC corrected variance (Bartlett kernel)
|
5.35E+08
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(PIB_HBT,2)
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/25/14 Time: 17:19
|
|
|
|
Sample (adjusted): 3 52
|
|
|
|
Included observations: 50 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(PIB_HBT(-1))
|
-0.616817
|
0.133425
|
-4.622950
|
0.0000
|
|
C
|
1577.185
|
3332.704
|
0.473245
|
0.6382
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.308075
|
Mean dependent var
|
120.8043
|
|
Adjusted R-squared
|
0.293660
|
S.D. dependent var
|
27914.24
|
|
S.E. of regression
|
23460.25
|
Akaike info criterion
|
23.00318
|
|
Sum squared resid
|
2.64E+10
|
Schwarz criterion
|
23.07966
|
|
Log likelihood
|
-573.0795
|
Hannan-Quinn criter.
|
23.03231
|
|
F-statistic
|
21.37167
|
Durbin-Watson stat
|
2.012593
|
|
Prob(F-statistic)
|
0.000029
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(ALPH) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-5.962527
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
0.000107
|
|
HAC corrected variance (Bartlett kernel)
|
0.000105
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(ALPH,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/25/14 Time: 17:19
|
|
|
|
Sample (adjusted): 3 34
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(ALPH(-1))
|
-1.079417
|
0.181099
|
-5.960384
|
0.0000
|
|
C
|
0.010693
|
0.002582
|
4.141462
|
0.0003
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.542168
|
Mean dependent var
|
0.000181
|
|
Adjusted R-squared
|
0.526907
|
S.D. dependent var
|
0.015509
|
|
S.E. of regression
|
0.010668
|
Akaike info criterion
|
-6.182753
|
|
Sum squared resid
|
0.003414
|
Schwarz criterion
|
-6.091145
|
|
Log likelihood
|
100.9241
|
Hannan-Quinn criter.
|
-6.152388
|
|
F-statistic
|
35.52618
|
Durbin-Watson stat
|
2.023124
|
|
Prob(F-statistic)
|
0.000002
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(CHG) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-7.107663
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
7.91E-05
|
|
HAC corrected variance (Bartlett kernel)
|
8.36E-05
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(CHG,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/25/14 Time: 17:27
|
|
|
|
Sample (adjusted): 3 34
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(CHG(-1))
|
-1.215452
|
0.169831
|
-7.156842
|
0.0000
|
|
C
|
-0.001057
|
0.001643
|
-0.643335
|
0.5249
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.630635
|
Mean dependent var
|
0.000728
|
|
Adjusted R-squared
|
0.618322
|
S.D. dependent var
|
0.014871
|
|
S.E. of regression
|
0.009187
|
Akaike info criterion
|
-6.481569
|
|
Sum squared resid
|
0.002532
|
Schwarz criterion
|
-6.389961
|
|
Log likelihood
|
105.7051
|
Hannan-Quinn criter.
|
-6.451204
|
|
F-statistic
|
51.22038
|
Durbin-Watson stat
|
1.859692
|
|
Prob(F-statistic)
|
0.000000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(PRIX) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 8 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-9.221931
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
0.002260
|
|
HAC corrected variance (Bartlett kernel)
|
0.000681
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(PRIX,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/25/14 Time: 17:28
|
|
|
|
Sample (adjusted): 3 34
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(PRIX(-1))
|
-1.243065
|
0.177909
|
-6.987067
|
0.0000
|
|
C
|
-0.002829
|
0.008687
|
-0.325661
|
0.7469
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.619382
|
Mean dependent var
|
-0.000187
|
|
Adjusted R-squared
|
0.606694
|
S.D. dependent var
|
0.078283
|
|
S.E. of regression
|
0.049094
|
Akaike info criterion
|
-3.129680
|
|
Sum squared resid
|
0.072308
|
Schwarz criterion
|
-3.038072
|
|
Log likelihood
|
52.07488
|
Hannan-Quinn criter.
|
-3.099315
|
|
F-statistic
|
48.81910
|
Durbin-Watson stat
|
1.961833
|
|
Prob(F-statistic)
|
0.000000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
v Test de Cointégration sur les variables
socioéconomiques
|
Date: 09/25/14 Time: 18:31
|
|
|
|
|
|
Sample (adjusted): 3 34
|
|
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
Trend assumption: Linear deterministic trend
|
|
|
|
|
Series: EXCL ALPH CHG PRIX PIB_HBT PIB
|
|
|
|
|
Lags interval (in first differences): 1 to 1
|
|
|
|
|
|
|
|
|
|
|
|
Unrestricted Cointegration Rank Test (Trace)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hypothesized
|
|
Trace
|
0.05
|
|
|
|
|
No. of CE(s)
|
Eigenvalue
|
Statistic
|
Critical Value
|
Prob.**
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
None *
|
0.842548
|
162.3443
|
95.75366
|
0.0000
|
|
|
|
At most 1 *
|
0.802304
|
103.1879
|
69.81889
|
0.0000
|
|
|
|
At most 2 *
|
0.635936
|
51.31517
|
47.85613
|
0.0228
|
|
|
|
At most 3
|
0.334020
|
18.98157
|
29.79707
|
0.4942
|
|
|
|
At most 4
|
0.142370
|
5.973725
|
15.49471
|
0.6986
|
|
|
|
At most 5
|
0.032555
|
1.059095
|
3.841466
|
0.3034
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trace test indicates 3 cointegrating eqn(s) at the 0.05
level
|
|
|
|
* denotes rejection of the hypothesis at the 0.05 level
|
|
|
|
**MacKinnon-Haug-Michelis (1999) p-values
|
|
|
|
|
|
|
|
|
|
|
|
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hypothesized
|
|
Max-Eigen
|
0.05
|
|
|
|
|
No. of CE(s)
|
Eigenvalue
|
Statistic
|
Critical Value
|
Prob.**
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
None *
|
0.842548
|
59.15640
|
40.07757
|
0.0001
|
|
|
|
At most 1 *
|
0.802304
|
51.87273
|
33.87687
|
0.0001
|
|
|
|
At most 2 *
|
0.635936
|
32.33360
|
27.58434
|
0.0113
|
|
|
|
At most 3
|
0.334020
|
13.00784
|
21.13162
|
0.4515
|
|
|
|
At most 4
|
0.142370
|
4.914630
|
14.26460
|
0.7526
|
|
|
|
At most 5
|
0.032555
|
1.059095
|
3.841466
|
0.3034
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Max-eigenvalue test indicates 3 cointegrating eqn(s) at the
0.05 level
|
|
|
|
* denotes rejection of the hypothesis at the 0.05 level
|
|
|
|
**MacKinnon-Haug-Michelis (1999) p-values
|
|
|
|
|
|
|
|
|
|
|
|
Unrestricted Cointegrating Coefficients (normalized by
b'*S11*b=I):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXCL
|
ALPH
|
CHG
|
PRIX
|
PIB_HBT
|
PIB
|
|
|
-118.3025
|
-32.10983
|
146.7660
|
3.962484
|
1.18E-05
|
-5.18E-13
|
|
|
-99.57578
|
-50.08574
|
134.9241
|
-2.223245
|
1.07E-05
|
2.06E-12
|
|
|
142.1340
|
40.15334
|
83.93422
|
9.455458
|
-1.73E-05
|
2.85E-12
|
|
|
50.49350
|
6.863242
|
25.47946
|
-21.85545
|
-1.80E-05
|
1.71E-12
|
|
|
3.648528
|
25.86387
|
20.52089
|
-4.341001
|
2.08E-06
|
-9.45E-13
|
|
|
-52.92506
|
-20.80693
|
-25.91079
|
-11.57437
|
3.14E-05
|
-2.70E-12
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrestricted Adjustment Coefficients (alpha):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
D(EXCL)
|
0.003551
|
0.000810
|
-0.000579
|
-0.000243
|
-0.000786
|
-0.000148
|
|
D(ALPH)
|
0.003755
|
-0.001131
|
-0.003627
|
-0.000152
|
0.000717
|
0.001350
|
|
D(CHG)
|
0.000693
|
-0.004665
|
-0.002792
|
0.001832
|
0.000487
|
-0.000348
|
|
D(PRIX)
|
0.013049
|
0.019559
|
-0.000506
|
0.017632
|
0.006652
|
0.000531
|
|
D(PIB_HBT)
|
7117.056
|
-10307.45
|
8662.391
|
5496.691
|
2743.827
|
2336.489
|
|
D(PIB)
|
5.56E+10
|
-4.14E+10
|
2.54E+10
|
-1.11E+10
|
2.89E+10
|
-2.02E+09
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Cointegrating Equation(s):
|
Log likelihood
|
-790.6861
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
|
|
EXCL
|
ALPH
|
CHG
|
PRIX
|
PIB_HBT
|
PIB
|
|
|
1.000000
|
0.271421
|
-1.240599
|
-0.033495
|
-9.98E-08
|
4.38E-15
|
|
|
(0.02478)
|
(0.15516)
|
(0.02020)
|
(2.0E-08)
|
(3.2E-15)
|
|
|
|
|
|
|
|
|
|
Adjustment coefficients (standard error in parentheses)
|
|
|
|
|
D(EXCL)
|
-0.420149
|
|
|
|
|
|
|
(0.07200)
|
|
|
|
|
|
|
D(ALPH)
|
-0.444194
|
|
|
|
|
|
|
(0.22213)
|
|
|
|
|
|
|
D(CHG)
|
-0.081996
|
|
|
|
|
|
|
(0.17894)
|
|
|
|
|
|
|
D(PRIX)
|
-1.543765
|
|
|
|
|
|
|
(1.01286)
|
|
|
|
|
|
|
D(PIB_HBT)
|
-841965.5
|
|
|
|
|
|
|
(576995.)
|
|
|
|
|
|
|
D(PIB)
|
-6.58E+12
|
|
|
|
|
|
|
(2.4E+12)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 Cointegrating Equation(s):
|
Log likelihood
|
-764.7498
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
|
|
EXCL
|
ALPH
|
CHG
|
PRIX
|
PIB_HBT
|
PIB
|
|
|
1.000000
|
0.000000
|
-1.106523
|
-0.098923
|
-9.05E-08
|
3.38E-14
|
|
|
|
(0.40674)
|
(0.05371)
|
(5.4E-08)
|
(7.0E-15)
|
|
|
0.000000
|
1.000000
|
-0.493978
|
0.241058
|
-3.44E-08
|
-1.08E-13
|
|
|
|
(1.10152)
|
(0.14546)
|
(1.5E-07)
|
(1.9E-14)
|
|
|
|
|
|
|
|
|
|
Adjustment coefficients (standard error in parentheses)
|
|
|
|
|
D(EXCL)
|
-0.500808
|
-0.154608
|
|
|
|
|
|
(0.09057)
|
(0.03485)
|
|
|
|
|
|
D(ALPH)
|
-0.331553
|
-0.063907
|
|
|
|
|
|
(0.28814)
|
(0.11086)
|
|
|
|
|
|
D(CHG)
|
0.382493
|
0.211379
|
|
|
|
|
|
(0.18173)
|
(0.06992)
|
|
|
|
|
|
D(PRIX)
|
-3.491406
|
-1.398657
|
|
|
|
|
|
(1.17113)
|
(0.45059)
|
|
|
|
|
|
D(PIB_HBT)
|
184406.9
|
287728.8
|
|
|
|
|
|
(680396.)
|
(261784.)
|
|
|
|
|
|
D(PIB)
|
-2.46E+12
|
2.85E+11
|
|
|
|
|
|
(2.9E+12)
|
(1.1E+12)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3 Cointegrating Equation(s):
|
Log likelihood
|
-748.5830
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
|
|
EXCL
|
ALPH
|
CHG
|
PRIX
|
PIB_HBT
|
PIB
|
|
|
1.000000
|
0.000000
|
0.000000
|
-0.040272
|
-1.03E-07
|
4.40E-14
|
|
|
|
|
(0.04771)
|
(4.6E-08)
|
(3.8E-15)
|
|
|
0.000000
|
1.000000
|
0.000000
|
0.267241
|
-4.01E-08
|
-1.04E-13
|
|
|
|
|
(0.14509)
|
(1.4E-07)
|
(1.2E-14)
|
|
|
0.000000
|
0.000000
|
1.000000
|
0.053004
|
-1.16E-08
|
9.19E-15
|
|
|
|
|
(0.01845)
|
(1.8E-08)
|
(1.5E-15)
|
|
|
|
|
|
|
|
|
|
Adjustment coefficients (standard error in parentheses)
|
|
|
|
|
D(EXCL)
|
-0.583051
|
-0.177842
|
0.581962
|
|
|
|
|
(0.12050)
|
(0.04118)
|
(0.12410)
|
|
|
|
|
D(ALPH)
|
-0.847047
|
-0.209535
|
0.094026
|
|
|
|
|
(0.35916)
|
(0.12274)
|
(0.36989)
|
|
|
|
|
D(CHG)
|
-0.014351
|
0.099269
|
-0.762002
|
|
|
|
|
(0.21588)
|
(0.07377)
|
(0.22233)
|
|
|
|
|
D(PRIX)
|
-3.563334
|
-1.418977
|
4.511752
|
|
|
|
|
(1.59056)
|
(0.54356)
|
(1.63811)
|
|
|
|
|
D(PIB_HBT)
|
1415627.
|
635552.8
|
380888.9
|
|
|
|
|
(846258.)
|
(289204.)
|
(871556.)
|
|
|
|
|
D(PIB)
|
1.14E+12
|
1.30E+12
|
4.71E+12
|
|
|
|
|
(3.8E+12)
|
(1.3E+12)
|
(3.9E+12)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 Cointegrating Equation(s):
|
Log likelihood
|
-742.0790
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
|
|
EXCL
|
ALPH
|
CHG
|
PRIX
|
PIB_HBT
|
PIB
|
|
|
1.000000
|
0.000000
|
0.000000
|
0.000000
|
-8.20E-08
|
4.40E-14
|
|
|
|
|
|
(5.1E-08)
|
(4.1E-15)
|
|
|
0.000000
|
1.000000
|
0.000000
|
0.000000
|
-1.81E-07
|
-1.04E-13
|
|
|
|
|
|
(1.8E-07)
|
(1.4E-14)
|
|
|
0.000000
|
0.000000
|
1.000000
|
0.000000
|
-3.96E-08
|
9.12E-15
|
|
|
|
|
|
(2.4E-08)
|
(1.9E-15)
|
|
|
0.000000
|
0.000000
|
0.000000
|
1.000000
|
5.29E-07
|
1.27E-15
|
|
|
|
|
|
(3.3E-07)
|
(2.6E-14)
|
|
|
|
|
|
|
|
|
|
Adjustment coefficients (standard error in parentheses)
|
|
|
|
|
D(EXCL)
|
-0.595342
|
-0.179513
|
0.575760
|
0.012121
|
|
|
|
(0.12346)
|
(0.04121)
|
(0.12449)
|
(0.01386)
|
|
|
|
D(ALPH)
|
-0.854731
|
-0.210580
|
0.090149
|
-0.013575
|
|
|
|
(0.36933)
|
(0.12328)
|
(0.37239)
|
(0.04145)
|
|
|
|
D(CHG)
|
0.078165
|
0.111844
|
-0.715317
|
-0.053327
|
|
|
|
(0.20681)
|
(0.06903)
|
(0.20852)
|
(0.02321)
|
|
|
|
D(PRIX)
|
-2.673039
|
-1.297965
|
4.961002
|
-0.381915
|
|
|
|
(1.43932)
|
(0.48044)
|
(1.45125)
|
(0.16153)
|
|
|
|
D(PIB_HBT)
|
1693175.
|
673277.9
|
520941.6
|
12891.44
|
|
|
|
(835943.)
|
(279032.)
|
(842869.)
|
(93815.4)
|
|
|
|
D(PIB)
|
5.81E+11
|
1.23E+12
|
4.43E+12
|
7.95E+11
|
|
|
|
(3.8E+12)
|
(1.3E+12)
|
(3.9E+12)
|
(4.3E+11)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 Cointegrating Equation(s):
|
Log likelihood
|
-739.6217
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
|
|
EXCL
|
ALPH
|
CHG
|
PRIX
|
PIB_HBT
|
PIB
|
|
|
1.000000
|
0.000000
|
0.000000
|
0.000000
|
0.000000
|
5.53E-14
|
|
|
|
|
|
|
(5.7E-15)
|
|
|
0.000000
|
1.000000
|
0.000000
|
0.000000
|
0.000000
|
-7.91E-14
|
|
|
|
|
|
|
(9.9E-15)
|
|
|
0.000000
|
0.000000
|
1.000000
|
0.000000
|
0.000000
|
1.46E-14
|
|
|
|
|
|
|
(2.2E-15)
|
|
|
0.000000
|
0.000000
|
0.000000
|
1.000000
|
0.000000
|
-7.18E-14
|
|
|
|
|
|
|
(2.9E-14)
|
|
|
0.000000
|
0.000000
|
0.000000
|
0.000000
|
1.000000
|
1.38E-07
|
|
|
|
|
|
|
(5.6E-08)
|
|
|
|
|
|
|
|
|
|
Adjustment coefficients (standard error in parentheses)
|
|
|
|
|
D(EXCL)
|
-0.598209
|
-0.199833
|
0.559637
|
0.015531
|
6.34E-08
|
|
|
(0.11852)
|
(0.04202)
|
(0.12001)
|
(0.01351)
|
(1.6E-08)
|
|
|
D(ALPH)
|
-0.852114
|
-0.192029
|
0.104867
|
-0.016688
|
9.91E-08
|
|
|
(0.36802)
|
(0.13049)
|
(0.37266)
|
(0.04195)
|
(5.1E-08)
|
|
|
D(CHG)
|
0.079942
|
0.124438
|
-0.705325
|
-0.055441
|
-2.55E-08
|
|
|
(0.20572)
|
(0.07294)
|
(0.20831)
|
(0.02345)
|
(2.8E-08)
|
|
|
D(PRIX)
|
-2.648770
|
-1.125930
|
5.097499
|
-0.410789
|
7.00E-08
|
|
|
(1.40933)
|
(0.49970)
|
(1.42709)
|
(0.16066)
|
(1.9E-07)
|
|
|
D(PIB_HBT)
|
1703186.
|
744243.9
|
577247.4
|
980.4869
|
-0.269192
|
|
|
(827259.)
|
(293318.)
|
(837688.)
|
(94304.1)
|
(0.11357)
|
|
|
D(PIB)
|
6.86E+11
|
1.97E+12
|
5.02E+12
|
6.70E+11
|
34537.41
|
|
|
(3.6E+12)
|
(1.3E+12)
|
(3.7E+12)
|
(4.1E+11)
|
(497628.)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
v Estimation du modèle à correction
d'erreur (Paramètres socioéconomiques)
|
Dependent Variable: D(EXCL)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/25/14 Time: 19:29
|
|
|
|
Sample (adjusted): 2 34
|
|
|
|
Included observations: 33 after adjustments
|
|
|
D(EXCL)=C(1)+C(2)*D(ALPH)+C(3)*D(CHG)+C(4)*D(PRIX)+C(5)
|
|
*D(PIB_HBT)+C(6)*D(PIB)+C(7)*EXCL(-1)+C(8)*ALPH(-1)+C(9)*CHG(
|
|
-1)+C(10)*PRIX(-1)+C(11)*PIB_HBT(-1)+C(12)*PIB(-1)
|
|
|
|
|
|
|
|
|
|
|
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
C(1)
|
0.123832
|
0.180482
|
0.686119
|
0.5001
|
|
C(2)
|
0.078584
|
0.097550
|
0.805570
|
0.4295
|
|
C(3)
|
1.488929
|
1.143193
|
1.302430
|
0.0413
|
|
C(4)
|
0.017993
|
0.022046
|
0.816135
|
0.4236
|
|
C(5)
|
-1.18E-07
|
5.17E-08
|
-2.282018
|
0.0330
|
|
C(6)
|
8.02E-15
|
6.48E-15
|
1.237974
|
0.2294
|
|
C(7)
|
-0.136288
|
0.167306
|
-0.814603
|
0.4244
|
|
C(8)
|
-0.047335
|
0.060048
|
-0.788284
|
0.4393
|
|
C(9)
|
0.256713
|
0.154932
|
1.656940
|
0.1124
|
|
C(10)
|
0.014797
|
0.020374
|
0.726289
|
0.4757
|
|
C(11)
|
2.40E-08
|
2.82E-08
|
0.851883
|
0.0239
|
|
C(12)
|
-9.75E-16
|
3.27E-15
|
-0.298125
|
0.7685
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.511892
|
Mean dependent var
|
-0.004273
|
|
Adjusted R-squared
|
0.325739
|
S.D. dependent var
|
0.004966
|
|
S.E. of regression
|
0.004370
|
Akaike info criterion
|
-7.752801
|
|
Sum squared resid
|
0.000401
|
Schwarz criterion
|
-7.208616
|
|
Log likelihood
|
139.9212
|
Hannan-Quinn criter.
|
-7.569699
|
|
F-statistic
|
1.848160
|
Durbin-Watson stat
|
2.467030
|
|
Prob(F-statistic)
|
0.108960
|
|
|
|
|
|
|
|
|
|
|
|
|
|
v Tests de racine unitaire sur les variables
institutionnelles
|
Null Hypothesis: D(MNAIE) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Lag Length: 1 (Automatic - based on SIC, maxlag=8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-7.396123
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.661661
|
|
|
5% level
|
|
-2.960411
|
|
|
10% level
|
|
-2.619160
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(MNAIE,2)
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 17:49
|
|
|
|
Sample (adjusted): 1983 2013
|
|
|
|
Included observations: 31 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(TID) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-6.332806
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(TID,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 17:53
|
|
|
|
Sample (adjusted): 1982 2013
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(TID(-1))
|
-1.143839
|
0.180621
|
-6.332806
|
0.0000
|
|
C
|
0.008129
|
0.009137
|
0.889625
|
0.3807
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.572067
|
Mean dependent var
|
0.000173
|
|
Adjusted R-squared
|
0.557803
|
S.D. dependent var
|
0.076990
|
|
S.E. of regression
|
0.051196
|
Akaike info criterion
|
-3.045830
|
|
Sum squared resid
|
0.078632
|
Schwarz criterion
|
-2.954221
|
|
Log likelihood
|
50.73327
|
Hannan-Quinn criter.
|
-3.015464
|
|
F-statistic
|
40.10443
|
Durbin-Watson stat
|
1.993002
|
|
Prob(F-statistic)
|
0.000001
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(NB) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-6.303296
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(NB,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 17:53
|
|
|
|
Sample (adjusted): 1982 2013
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(NB(-1))
|
-1.139557
|
0.180788
|
-6.303296
|
0.0000
|
|
C
|
0.320500
|
0.189072
|
1.695123
|
0.1004
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.569779
|
Mean dependent var
|
0.000000
|
|
Adjusted R-squared
|
0.555438
|
S.D. dependent var
|
1.545023
|
|
S.E. of regression
|
1.030152
|
Akaike info criterion
|
2.957751
|
|
Sum squared resid
|
31.83638
|
Schwarz criterion
|
3.049359
|
|
Log likelihood
|
-45.32401
|
Hannan-Quinn criter.
|
2.988116
|
|
F-statistic
|
39.73154
|
Durbin-Watson stat
|
1.996325
|
|
Prob(F-statistic)
|
0.000001
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(NB) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-6.303296
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(NB,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 17:53
|
|
|
|
Sample (adjusted): 1982 2013
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(NB(-1))
|
-1.139557
|
0.180788
|
-6.303296
|
0.0000
|
|
C
|
0.320500
|
0.189072
|
1.695123
|
0.1004
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.569779
|
Mean dependent var
|
0.000000
|
|
Adjusted R-squared
|
0.555438
|
S.D. dependent var
|
1.545023
|
|
S.E. of regression
|
1.030152
|
Akaike info criterion
|
2.957751
|
|
Sum squared resid
|
31.83638
|
Schwarz criterion
|
3.049359
|
|
Log likelihood
|
-45.32401
|
Hannan-Quinn criter.
|
2.988116
|
|
F-statistic
|
39.73154
|
Durbin-Watson stat
|
1.996325
|
|
Prob(F-statistic)
|
0.000001
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(NG,2) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-7.810038
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.661661
|
|
|
5% level
|
|
-2.960411
|
|
|
10% level
|
|
-2.619160
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(NG,3)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 17:54
|
|
|
|
Sample (adjusted): 1983 2013
|
|
|
|
Included observations: 31 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(NG(-1),2)
|
-1.362832
|
0.174497
|
-7.810038
|
0.0000
|
|
C
|
0.204967
|
2.078905
|
0.098594
|
0.9221
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.677766
|
Mean dependent var
|
-0.322581
|
|
Adjusted R-squared
|
0.666654
|
S.D. dependent var
|
20.03728
|
|
S.E. of regression
|
11.56874
|
Akaike info criterion
|
7.796831
|
|
Sum squared resid
|
3881.236
|
Schwarz criterion
|
7.889346
|
|
Log likelihood
|
-118.8509
|
Hannan-Quinn criter.
|
7.826989
|
|
F-statistic
|
60.99670
|
Durbin-Watson stat
|
2.093705
|
|
Prob(F-statistic)
|
0.000000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(TID) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 11 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-8.825885
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
0.002457
|
|
HAC corrected variance (Bartlett kernel)
|
0.000545
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(TID,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 17:58
|
|
|
|
Sample (adjusted): 1982 2013
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(TID(-1))
|
-1.143839
|
0.180621
|
-6.332806
|
0.0000
|
|
C
|
0.008129
|
0.009137
|
0.889625
|
0.3807
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.572067
|
Mean dependent var
|
0.000173
|
|
Adjusted R-squared
|
0.557803
|
S.D. dependent var
|
0.076990
|
|
S.E. of regression
|
0.051196
|
Akaike info criterion
|
-3.045830
|
|
Sum squared resid
|
0.078632
|
Schwarz criterion
|
-2.954221
|
|
Log likelihood
|
50.73327
|
Hannan-Quinn criter.
|
-3.015464
|
|
F-statistic
|
40.10443
|
Durbin-Watson stat
|
1.993002
|
|
Prob(F-statistic)
|
0.000001
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(NB) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 9 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-9.881692
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
0.994887
|
|
HAC corrected variance (Bartlett kernel)
|
0.158973
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(NB,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 17:58
|
|
|
|
Sample (adjusted): 1982 2013
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(NB(-1))
|
-1.139557
|
0.180788
|
-6.303296
|
0.0000
|
|
C
|
0.320500
|
0.189072
|
1.695123
|
0.1004
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.569779
|
Mean dependent var
|
0.000000
|
|
Adjusted R-squared
|
0.555438
|
S.D. dependent var
|
1.545023
|
|
S.E. of regression
|
1.030152
|
Akaike info criterion
|
2.957751
|
|
Sum squared resid
|
31.83638
|
Schwarz criterion
|
3.049359
|
|
Log likelihood
|
-45.32401
|
Hannan-Quinn criter.
|
2.988116
|
|
F-statistic
|
39.73154
|
Durbin-Watson stat
|
1.996325
|
|
Prob(F-statistic)
|
0.000001
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(NG) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-3.610204
|
0.0111
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
97.35500
|
|
HAC corrected variance (Bartlett kernel)
|
98.24498
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(NG,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 18:00
|
|
|
|
Sample (adjusted): 1982 2013
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(NG(-1))
|
-0.600107
|
0.166554
|
-3.603081
|
0.0011
|
|
C
|
3.500601
|
2.030488
|
1.724019
|
0.0950
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.302037
|
Mean dependent var
|
0.125000
|
|
Adjusted R-squared
|
0.278771
|
S.D. dependent var
|
11.99933
|
|
S.E. of regression
|
10.19045
|
Akaike info criterion
|
7.541241
|
|
Sum squared resid
|
3115.360
|
Schwarz criterion
|
7.632850
|
|
Log likelihood
|
-118.6599
|
Hannan-Quinn criter.
|
7.571607
|
|
F-statistic
|
12.98219
|
Durbin-Watson stat
|
2.066690
|
|
Prob(F-statistic)
|
0.001122
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(MNAIE) has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adj. t-Stat
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron test statistic
|
-9.557099
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-3.653730
|
|
|
5% level
|
|
-2.957110
|
|
|
10% level
|
|
-2.617434
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residual variance (no correction)
|
169.6671
|
|
HAC corrected variance (Bartlett kernel)
|
88.64185
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Phillips-Perron Test Equation
|
|
|
|
Dependent Variable: D(MNAIE,2)
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 18:01
|
|
|
|
Sample (adjusted): 1982 2013
|
|
|
|
Included observations: 32 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(MNAIE(-1))
|
-1.385520
|
0.169720
|
-8.163542
|
0.0000
|
|
C
|
-0.701982
|
2.380301
|
-0.294913
|
0.7701
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.689581
|
Mean dependent var
|
0.125000
|
|
Adjusted R-squared
|
0.679233
|
S.D. dependent var
|
23.75300
|
|
S.E. of regression
|
13.45282
|
Akaike info criterion
|
8.096716
|
|
Sum squared resid
|
5429.348
|
Schwarz criterion
|
8.188324
|
|
Log likelihood
|
-127.5474
|
Hannan-Quinn criter.
|
8.127081
|
|
F-statistic
|
66.64342
|
Durbin-Watson stat
|
2.347125
|
|
|
|
|
|
|
|
|
|
|
v Tests de cointegration sur les variables
institutionnelles
|
Date: 10/02/14 Time: 18:10
|
|
|
|
Sample (adjusted): 1982 2013
|
|
|
|
Included observations: 32 after adjustments
|
|
|
Trend assumption: Linear deterministic trend
|
|
|
Series: EXCL TID NB NG MNAIE
|
|
|
|
Lags interval (in first differences): 1 to 1
|
|
|
|
|
|
|
|
Unrestricted Cointegration Rank Test (Trace)
|
|
|
|
|
|
|
|
|
|
|
|
|
Hypothesized
|
|
Trace
|
0.05
|
|
|
No. of CE(s)
|
Eigenvalue
|
Statistic
|
Critical Value
|
Prob.**
|
|
|
|
|
|
|
|
|
|
|
|
None *
|
0.670269
|
85.44707
|
69.81889
|
0.0017
|
|
At most 1 *
|
0.501440
|
49.94375
|
47.85613
|
0.0314
|
|
At most 2
|
0.378385
|
27.67073
|
29.79707
|
0.0863
|
|
At most 3
|
0.301734
|
12.45681
|
15.49471
|
0.1363
|
|
At most 4
|
0.029671
|
0.963844
|
3.841466
|
0.3262
|
|
|
|
|
|
|
|
|
|
|
|
Trace test indicates 2 cointegrating eqn(s) at the 0.05
level
|
|
* denotes rejection of the hypothesis at the 0.05 level
|
|
**MacKinnon-Haug-Michelis (1999) p-values
|
|
|
|
|
|
|
|
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
|
|
|
|
|
|
|
|
|
|
|
|
Hypothesized
|
|
Max-Eigen
|
0.05
|
|
|
No. of CE(s)
|
Eigenvalue
|
Statistic
|
Critical Value
|
Prob.**
|
|
|
|
|
|
|
|
|
|
|
|
None *
|
0.670269
|
35.50332
|
33.87687
|
0.0317
|
|
At most 1
|
0.501440
|
22.27302
|
27.58434
|
0.2067
|
|
At most 2
|
0.378385
|
15.21392
|
21.13162
|
0.2742
|
|
At most 3
|
0.301734
|
11.49297
|
14.26460
|
0.1312
|
|
At most 4
|
0.029671
|
0.963844
|
3.841466
|
0.3262
|
|
|
|
|
|
|
|
|
|
|
|
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the
0.05 level
|
|
* denotes rejection of the hypothesis at the 0.05 level
|
|
**MacKinnon-Haug-Michelis (1999) p-values
|
|
|
|
|
|
|
|
Unrestricted Cointegrating Coefficients (normalized by
b'*S11*b=I):
|
|
|
|
|
|
|
|
|
|
|
|
EXCL
|
TID
|
NB
|
NG
|
MNAIE
|
|
-2.378439
|
14.35542
|
-0.777072
|
0.019282
|
0.103269
|
|
-54.28286
|
1.444155
|
-0.839269
|
0.003560
|
-0.070156
|
|
72.03616
|
6.744074
|
0.108180
|
0.042634
|
-0.041486
|
|
14.61860
|
17.56554
|
0.520502
|
-0.022681
|
-0.001667
|
|
37.26105
|
5.479991
|
0.703615
|
-0.036764
|
-0.004808
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrestricted Adjustment Coefficients (alpha):
|
|
|
|
|
|
|
|
|
|
|
|
|
D(EXCL)
|
0.000682
|
0.002134
|
0.000921
|
3.47E-05
|
|
D(TID)
|
-0.010415
|
0.003908
|
-0.008552
|
-0.018496
|
|
D(NB)
|
0.621128
|
0.155519
|
-0.158845
|
0.223111
|
|
D(NG)
|
0.474642
|
3.853999
|
-2.784402
|
3.113044
|
|
D(MNAIE)
|
-5.293738
|
4.249972
|
3.195581
|
2.347740
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Cointegrating Equation(s):
|
Log likelihood
|
-64.99086
|
|
|
|
|
|
|
|
|
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
EXCL
|
TID
|
NB
|
NG
|
MNAIE
|
|
1.000000
|
-6.035648
|
0.326715
|
-0.008107
|
-0.043419
|
|
(1.34594)
|
(0.06653)
|
(0.00370)
|
(0.00776)
|
|
|
|
|
|
|
Adjustment coefficients (standard error in parentheses)
|
|
|
D(EXCL)
|
-0.001622
|
|
|
|
|
(0.00207)
|
|
|
|
|
D(TID)
|
0.024771
|
|
|
|
|
(0.02034)
|
|
|
|
|
D(NB)
|
-1.477315
|
|
|
|
|
(0.32654)
|
|
|
|
|
D(NG)
|
-1.128907
|
|
|
|
|
(4.37409)
|
|
|
|
|
D(MNAIE)
|
12.59083
|
|
|
|
|
(5.22328)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 Cointegrating Equation(s):
|
Log likelihood
|
-53.85435
|
|
|
|
|
|
|
|
|
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
EXCL
|
TID
|
NB
|
NG
|
MNAIE
|
|
1.000000
|
0.000000
|
0.014083
|
-3.00E-05
|
0.001490
|
|
|
(0.00405)
|
(0.00023)
|
(0.00046)
|
|
0.000000
|
1.000000
|
-0.051798
|
0.001338
|
0.007441
|
|
|
(0.01076)
|
(0.00061)
|
(0.00122)
|
|
|
|
|
|
|
Adjustment coefficients (standard error in parentheses)
|
|
|
D(EXCL)
|
-0.117445
|
0.012870
|
|
|
|
(0.04111)
|
(0.01092)
|
|
|
|
D(TID)
|
-0.187343
|
-0.143866
|
|
|
|
(0.46280)
|
(0.12289)
|
|
|
|
D(NB)
|
-9.919319
|
9.141147
|
|
|
|
(7.26579)
|
(1.92933)
|
|
|
|
D(NG)
|
-210.3350
|
12.37946
|
|
|
|
(90.7249)
|
(24.0907)
|
|
|
|
D(MNAIE)
|
-218.1098
|
-69.85621
|
|
|
|
(110.025)
|
(29.2155)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3 Cointegrating Equation(s):
|
Log likelihood
|
-46.24739
|
|
|
|
|
|
|
|
|
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
EXCL
|
TID
|
NB
|
NG
|
MNAIE
|
|
1.000000
|
0.000000
|
0.000000
|
0.000874
|
-0.003542
|
|
|
|
(0.00018)
|
(0.00091)
|
|
0.000000
|
1.000000
|
0.000000
|
-0.001988
|
0.025950
|
|
|
|
(0.00096)
|
(0.00481)
|
|
0.000000
|
0.000000
|
1.000000
|
-0.064219
|
0.357334
|
|
|
|
(0.01682)
|
(0.08387)
|
|
|
|
|
|
|
Adjustment coefficients (standard error in parentheses)
|
|
|
D(EXCL)
|
-0.051068
|
0.019084
|
-0.002221
|
|
|
(0.06621)
|
(0.01169)
|
(0.00084)
|
|
|
D(TID)
|
-0.803384
|
-0.201540
|
0.003888
|
|
|
(0.75289)
|
(0.13289)
|
(0.00959)
|
|
|
D(NB)
|
-21.36191
|
8.069884
|
-0.630367
|
|
|
(11.7203)
|
(2.06872)
|
(0.14923)
|
|
|
D(NG)
|
-410.9127
|
-6.398752
|
-3.904590
|
|
|
(142.034)
|
(25.0701)
|
(1.80848)
|
|
|
D(MNAIE)
|
12.08761
|
-48.30498
|
0.892445
|
|
|
(173.371)
|
(30.6012)
|
(2.20748)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 Cointegrating Equation(s):
|
Log likelihood
|
-40.50091
|
|
|
|
|
|
|
|
|
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
EXCL
|
TID
|
NB
|
NG
|
MNAIE
|
|
1.000000
|
0.000000
|
0.000000
|
0.000000
|
0.012191
|
|
|
|
|
(0.00239)
|
|
0.000000
|
1.000000
|
0.000000
|
0.000000
|
-0.009823
|
|
|
|
|
(0.00305)
|
|
0.000000
|
0.000000
|
1.000000
|
0.000000
|
-0.798117
|
|
|
|
|
(0.15536)
|
|
0.000000
|
0.000000
|
0.000000
|
1.000000
|
-17.99242
|
|
|
|
|
(3.56406)
|
|
|
|
|
|
|
Adjustment coefficients (standard error in parentheses)
|
|
|
D(EXCL)
|
-0.050561
|
0.019694
|
-0.002203
|
5.92E-05
|
|
(0.06707)
|
(0.01740)
|
(0.00093)
|
(3.8E-05)
|
|
D(TID)
|
-1.073775
|
-0.526439
|
-0.005739
|
-0.000132
|
|
(0.68365)
|
(0.17734)
|
(0.00943)
|
(0.00039)
|
|
D(NB)
|
-18.10035
|
11.98894
|
-0.514238
|
0.000697
|
|
(11.1506)
|
(2.89243)
|
(0.15386)
|
(0.00636)
|
|
D(NG)
|
-365.4043
|
48.28355
|
-2.284245
|
-0.166445
|
|
(132.153)
|
(34.2801)
|
(1.82353)
|
(0.07535)
|
|
D(MNAIE)
|
46.40827
|
-7.065667
|
2.114448
|
-0.003951
|
|
(170.307)
|
(44.1770)
|
(2.34999)
|
(0.09711)
|
|
|
|
|
|
|
|
|
|
|
v Estimation du modèle à correction
d'erreur (Paramètres institutionnels)
|
Dependent Variable: D(EXCL)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 10/02/14 Time: 18:49
|
|
|
|
Sample (adjusted): 1981 2013
|
|
|
|
Included observations: 33 after adjustments
|
|
|
D(EXCL)=C(1)+C(2)*D(TID)+C(3)*D(NB)+C(4)*(NG)+C(5)*D(MNAIE)+C(6)
|
|
*EXCL(-1)+C(7)*TID(-1)+C(8)*NB(-1)+C(9)*NG(-1)+C(10)*MNAIE(-1)
|
|
|
|
|
|
|
|
|
|
|
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
C(1)
|
-0.011506
|
0.090436
|
-0.127233
|
0.8999
|
|
C(2)
|
-0.022375
|
0.023508
|
-0.951808
|
0.3511
|
|
C(3)
|
-0.000240
|
0.001676
|
-0.143397
|
0.8872
|
|
C(4)
|
0.000137
|
0.000120
|
1.141699
|
0.2653
|
|
C(5)
|
3.38E-05
|
8.53E-05
|
0.396507
|
0.6954
|
|
C(6)
|
-0.012546
|
0.086989
|
0.144224
|
0.8866
|
|
C(7)
|
-0.016940
|
0.021678
|
-0.781417
|
0.4425
|
|
C(8)
|
-1.220605
|
1.581243
|
-0.771927
|
0.0314
|
|
C(9)
|
-0.310107
|
0.029117
|
-10.65037
|
0.0166
|
|
C(10)
|
-6.89E-05
|
0.000118
|
-0.585523
|
0.5639
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.434273
|
Mean dependent var
|
-0.004273
|
|
Adjusted R-squared
|
0.165359
|
S.D. dependent var
|
0.004966
|
|
S.E. of regression
|
0.005126
|
Akaike info criterion
|
-7.463883
|
|
Sum squared resid
|
0.000604
|
Schwarz criterion
|
-7.010395
|
|
Log likelihood
|
133.1541
|
Hannan-Quinn criter.
|
-7.311298
|
|
F-statistic
|
0.781870
|
Durbin-Watson stat
|
2.326144
|
|
Prob(F-statistic)
|
0.634996
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 
