ANNEXE 4 : TEST DE COINTEGRATION
|
Pesaran/Shin/Smith (2001) Bounds Test
H0: no levels relationship F = 22.193
t = -10.124
Critical Values (0.1-0.01). F-statistic. Case 3
| [I_0] [I_1] | [I_0] [I_1] | [I_0] [I_1] | [I_0] [I_1]
| L_1 L_1 | L_05 L_05 | L_025 L_025 | L_01 L_01
+ + + +
k_4 | 2.45 3.52 | 2.86 4.01 | 3.25 4.49 | 3.74 5.06
accept if
F < critical value for I(0) regressors reject if F > critical value for
I(1) regressors
Critical Values (0.1-0.01). t-statistic. Case 3
| [I_0] [I_1] | [I_0] [I_1] | [I_0] [I_1] | [I_0] [I_1]
| L_1 L_1 | L_05 L_05 | L_025 L_025 | L_01 L_01
+ + + +
k_4 | -2.57 -3.66 | -2.86 -3.99 | -3.13 -4.26 | -3.43
-4.60
accept if t > critical value for I(0) regressors reject if t <
critical value for I(1) regressors
k: # of non-deterministic regressors in long-run relationship
|
ARDL regression
|
Model: ec
Sample: 1984
|
- 2013
|
|
Number of obs
|
=
|
30
|
|
Log likelihood
|
=
|
101.62521
|
|
R-squared
|
=
|
.94088214
|
|
Adj R-squared
|
=
|
.85713183
|
|
Root MSE
|
=
|
.01292877
|
|
D.TXCPIB
|
|
|
Coef.
|
Std. Err.
|
t
|
P>|t|
|
[95% Conf.
|
Interval]
|
|
|
+
|
|
|
|
|
|
|
|
ADJ
|
|
|
|
|
|
|
|
|
|
|
TXCPIB
|
|
|
|
|
|
|
|
|
|
L1.
|
|
|
-1.583608
|
.1564146
|
-10.12
|
0.000
|
-1.924406
|
-1.24281
|
|
LR
|
|
|
|
|
|
|
|
|
|
|
INF
|
|
|
.054779
|
.0571065
|
0.96
|
0.356
|
-.0696453
|
.1792032
|
|
FBCFPIB
|
|
|
.3233638
|
.1152641
|
2.81
|
0.016
|
.072225
|
.5745027
|
|
PGF
|
|
|
.5470513
|
.2499841
|
2.19
|
0.049
|
.0023826
|
1.09172
|
|
TXCOUV
|
|
|
-.0544007
|
.0705531
|
-0.77
|
0.456
|
-.2081228
|
.0993214
|
|
SR |
INF |
|
|
|
|
|
|
|
|
D1. |
|
-.3472959
|
.1228519
|
-2.83
|
0.015
|
-.6149673
|
-.0796246
|
|
LD. |
|
-.0879927
|
.0948526
|
-0.93
|
0.372
|
-.2946587
|
.1186734
|
|
L2D. |
|
-.20351
|
.0880118
|
-2.31
|
0.039
|
-.3952713
|
-.0117488
|
|
FBCFPIB |
|
|
|
|
|
|
|
|
D1. |
|
-.2841138
|
.2148174
|
-1.32
|
0.211
|
-.7521607
|
.1839332
|
|
LD. |
|
-.4225409
|
.2064124
|
-2.05
|
0.063
|
-.8722749
|
.027193
|
|
L2D. |
|
-.3082085
|
.1709053
|
-1.80
|
0.096
|
-.6805793
|
.0641622
|
|
PGF |
|
|
|
|
|
|
|
|
D1. |
|
.0574075
|
.3134522
|
0.18
|
0.858
|
-.6255461
|
.7403612
|
|
LD. |
|
.2590554
|
.181011
|
1.43
|
0.178
|
-.1353336
|
.6534445
|
|
TXCOUV |
|
|
|
|
|
|
|
|
D1. |
|
-.230772
|
.0978875
|
-2.36
|
0.036
|
-.4440505
|
-.0174935
|
|
LD. |
|
-.0336988
|
.0891296
|
-0.38
|
0.712
|
-.2278956
|
.1604979
|
|
L2D. |
|
-.1254537
|
.0711391
|
-1.76
|
0.103
|
-.2804524
|
.0295451
|
|
L3D. |
|
.0810834
|
.0705573
|
1.15
|
0.273
|
-.0726478
|
.2348147
|
|
_cons |
|
.0253874
|
.1220764
|
0.21
|
0.839
|
-.2405943
|
.2913692
|
Page 85
ANNEXE 5 : RESULTATS DE LA REGRESSION DU MODELE
ARDL
Page 86
Source
|
|
|
SS
|
df MS
|
|
Number of obs
|
= 30
|
|
+
|
|
|
|
|
F( 17, 12)
|
= 11.23
|
|
Model
|
|
|
.031923631
|
17 .001877861
|
|
Prob > F
|
= 0.0001
|
|
Residual
|
|
|
.002005838
|
12 .000167153
|
|
R-squared
|
= 0.9409
|
|
+
|
|
|
|
|
Adj R-squared
|
= 0.8571
|
|
Total
|
|
|
.033929469
|
29 .001169982
|
|
Root MSE
|
= .01293
|
|
D,TXCPIB
|
|
|
Coef.
|
Std, Err. t
|
P>|t|
|
[95% Conf.
|
Interval]
|
|
TXCPIB
|
|
|
|
|
|
|
|
|
L1.
|
|
|
-1.583608
|
.1564146 -10.12
|
0.000
|
-1.924406
|
-1.24281
|
|
INF
|
|
|
.0867484
|
.0892418 0.97
|
0.350
|
-.1076928
|
.2811895
|
|
FBCFPIB
|
|
|
.5120815
|
.1833017 2.79
|
0.016
|
.1127015
|
.9114616
|
|
PGF
|
|
|
.8663146
|
.4215746 2.05
|
0.062
|
-.0522176
|
1.784847
|
|
TXCOUV
|
|
|
-.0861494
|
.1134583 -0.76
|
0.462
|
-.3333537
|
.161055
|
|
INF
|
|
|
|
|
|
|
|
|
D1.
|
|
|
-.3472959
|
.1228519 -2.83
|
0.015
|
-.6149673
|
-.0796246
|
|
LD.
|
|
|
-.0879927
|
.0948526 -0.93
|
0.372
|
-.2946587
|
.1186734
|
|
L2D.
|
|
|
-.20351
|
.0880118 -2.31
|
0.039
|
-.3952713
|
-.0117488
|
|
FBCFPIB
|
|
|
|
|
|
|
|
|
D1.
|
|
|
-.2841138
|
.2148174 -1.32
|
0.211
|
-.7521607
|
.1839332
|
|
LD.
|
|
|
-.4225409
|
.2064124 -2.05
|
0.063
|
-.8722749
|
.027193
|
|
L2D.
|
|
|
-.3082085
|
.1709053 -1.80
|
0.096
|
-.6805793
|
.0641622
|
|
PGF
|
|
|
|
|
|
|
|
|
D1.
|
|
|
.0574075
|
.3134522 0.18
|
0.858
|
-.6255461
|
.7403612
|
|
LD.
|
|
|
.2590554
|
.181011 1.43
|
0.178
|
-.1353336
|
.6534445
|
|
TXCOUV
|
|
|
|
|
|
|
|
|
D1.
|
|
|
-.230772
|
.0978875 -2.36
|
0.036
|
-.4440505
|
-.0174935
|
|
LD.
|
|
|
-.0336988
|
.0891296 -0.38
|
0.712
|
-.2278956
|
.1604979
|
|
L2. |
|
|
-.1254537
|
.0711391 -1.76
|
0.103
|
-.2804524
|
.0295451
|
|
L3D.
|
|
|
.0810834
|
.0705573 1.15
|
0.273
|
-.0726478
|
.2348147
|
|
_cons
|
|
|
.0253874
|
.1220764 0.21
|
0.839
|
-.2405943
|
.2913692
|
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of D.TXCPIB
chi2(1) = 1.13
Prob > chi2 = 0.2874
LM test for autoregressive conditional heteroskedasticity
(ARCH)
lags(p) | chi2 df Prob > chi2
+
1 | 1.171 1 0.2793
H0: no ARCH effects vs, H1: ARCH(p)
disturbance
Breusch-Godfrey LM test for autocorrelation
lags(p) | chi2 df Prob > chi2
+
1 | 1.057 1 0.3039
H0: no serial correlation
Page 87
| 
