Annexe 2 : Résultats de l'analyse
économétrique
A. Tests de spécifications
o Estimation du modèle à effets fixes
(fixed effects) pour tester la présence d'effet fixe
xtreg ide pib do infl infra invpub d96,
fe
Fixed-effects (within) regression Number of obs
= 87
Group variable (i): pays Number of groups = 8
R-sq: within = 0.5748 Obs per group: min = 6
|
between = 0.9497
|
avg =
|
10.9
|
|
overall = 0.7877
|
max =
|
12
|
|
F(6,73)
|
= 16.45
|
|
Corr(u_i, Xb) = -0.7583
|
Prob > F
|
= 0.0000
|
---------------------------------------------------------------------------------------------
ide | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+-------------------------------------------------------------------------------
pib | .0000567 6.95e-06 8.16 0.000 .0000429 .0000706
|
do
|
| .9590135 .570758
|
1.68
|
0.097
|
-.1785054
|
2.096532
|
|
infl
|
| -.119701 .4464915
|
-0.27
|
0.789
|
-1.009557
|
.7701553
|
|
infra
|
| 106.7265 235.4471
|
0.45
|
0.652
|
-362.5189
|
575.9719
|
invpub | 24.19123 51.67453 0.47 0.641 -78.79596
127.1784
d96 | -24.00129 12.72421 -1.89 0.063 -49.3606
1.358019
_cons | -47.94343 19.46891 -2.46 0.016 -86.74491
-9.141955
-------------+-------------------------------------------------------------------------------
sigma_u | 28.895743
sigma_e | 38.997796
rho | .35443025 (fraction of variance due to u_i)
---------------------------------------------------------------------------------------------
F test that all u_i=0: F(7, 73) = 1.64 Prob > F =
0.1390
60
o Estimation du modèle à effets
aléatoires (random effects) pour tester la présence d'effet
aléatoire
xtreg ide pib do infl infra invpub d96,
re
Random-effects GLS regression Number of obs = 87
|
Group variable (i): pays
|
Number of groups =
|
8
|
|
R-sq: within = 0.5678
|
Obs per group: min =
|
6
|
between = 0.9610 avg = 10.9
overall = 0.7962 max = 12
Random effects u_i ~ Gaussian Wald chi2(6) = 158.07
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
-----------------------------------------------------------------------------------------------
ide | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+--------------------------------------------------------------------------------
pib | .0000479 4.29e-06 11.16 0.000 .0000395
.0000563
|
do
|
| 1.015754 .5229203
|
1.94
|
0.052
|
-.0091508
|
2.040659
|
|
infl
|
| .1051234 .414991
|
0.25
|
0.800
|
-.708244
|
.9184909
|
|
Infra
|
| 125.0723 193.9255
|
0.64
|
0.519
|
-255.0147
|
505.1594
|
invpub | 43.80427 46.08066 0.95 0.342 -46.51217
134.1207
d96 | -12.85961 10.8924 -1.18 0.238 -34.20832
8.489107
_cons | -43.12751 18.09267 -2.38 0.017 -78.5885
-7.66652
-------------+-------------------------------------------------------------------------------
sigma_u | 20.193651
sigma_e | 38.997796
rho | .21143891 (fraction of variance due to u_i)
---------------------------------------------------------------------------------------------
o Breusch and Pagan Lagrangian multiplier test
for
random effects
o Hausman specification test
Xttest0 xthaus
ide[pays,t] = Xb + u[pays] + e[pays,t] -------Coefficients
---------
|
|
|
|
Fixed
|
Random
|
|
|
Estimated results:
|
ide
|
|
|
Effects
|
Effects
|
Difference
|
| Var sd = sqrt(Var)
-------------+-------------------------------------------------
---------+--------------------------------- pib | .0000567
.0000479 8.83e-06
|
ide | 7389.942
|
85.96477
|
do
|
| .9590135
|
1.015754
|
-.0567407
|
|
e | 1520.828
|
38.9978
|
infl
|
| -.119701
|
.1051234
|
-.2248244
|
|
u | 407.7836
|
20.19365
|
infra
|
| 106.7265
|
125.0723
|
-18.34586
|
invpub | 24.19123 43.80427 -19.61304
Test: Var(u) = 0 d96 | -24.00129 -12.85961 -11.14168
chi2(1) = 0.01
Prob > chi2 = 0.9159 Test: Ho: difference
in coefficients not systematic
chi2( 6) = (b-B)'[S^(-1)](b-B), S = (S_fe -
S_re)
= 3.15
Prob>chi2 = 0.7896
61
B. Résultats de l'estimation
économétrique (modèle sans effets fixes et sans
effets
aléatoires)
Source | SS df MS Number of obs = 87
-------------+------------------------------ F( 6, 80) =
52.65
|
Model | 507101.988
|
6 84516.9981
|
Prob > F
|
= 0.0000
|
|
Residual | 128433.026
|
80 1605.41282
|
R-squared
|
= 0.7979
|
-------------+------------------------------ Adj R-squared =
0.7828
Total | 635535.014 86 7389.94202 Root MSE = 40.068
---------------------------------------------------------------------------------------------
ide | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+------------------------------------------------------------------------------
pib | .0000449 2.90e-06 15.45 0.000 .0000391
.0000507
do | 1.028747 .471679 2.18 0.032 .090076 1.967418
|
infl
|
| .2951409 .4021108
|
0.73
|
0.465
|
-.5050851
|
1.095367
|
|
infra
|
| 58.58454 158.7864
|
0.37
|
0.713
|
-257.4104
|
374.5795
|
invpub | 44.95866 43.14855 1.04 0.301 -40.90969
130.827
d96 | -6.53177 10.26032 -0.64 0.526 -26.95046
13.88692
_cons | -39.01819 13.93093 -2.80 0.006 -66.74161
-11.29476
---------------------------------------------------------------------------------------------
62
| 
