Annexe II
Test de stationnarité des séries
annuelles :
Taux d'inflation (inf) :
|
Null Hypothesis: D(LINF) has a unit root
|
|
Exogenous: None
|
|
Lag Length: 0 (Automatic based on SIC, MAXLAG=4)
|
|
|
|
t-Statistic
|
Prob.*
|
|
Augmented Dickey-Fuller test statistic
|
-15.47519
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.632688
|
|
|
5% level
|
|
-1.950687
|
|
|
10% level
|
|
-1.611059
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(LINF,2)
|
|
Method: Least Squares
|
|
Date: 09/20/07 Time: 18:32
|
|
Sample(adjusted): 1972 2006
|
|
Included observations: 35 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(LINF(-1))
|
-1.616672
|
0.104469
|
-15.47519
|
0.0000
|
|
R-squared
|
0.875580
|
Mean dependent var
|
-0.023800
|
|
Adjusted R-squared
|
0.875580
|
S.D. dependent var
|
0.864244
|
|
S.E. of regression
|
0.304847
|
Akaike info criterion
|
0.490139
|
|
Sum squared resid
|
3.159670
|
Schwarz criterion
|
0.534578
|
|
Log likelihood
|
-7.577439
|
Durbin-Watson stat
|
1.678364
|
Prix du pétrole (pp) :
|
Null Hypothesis: D(LPP) has a unit root
|
|
Exogenous: None
|
|
Lag Length: 0 (Automatic based on SIC, MAXLAG=4)
|
|
|
|
t-Statistic
|
Prob.*
|
|
Augmented Dickey-Fuller test statistic
|
-5.025419
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.632688
|
|
|
5% level
|
|
-1.950687
|
|
|
10% level
|
|
-1.611059
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(LPP,2)
|
|
Method: Least Squares
|
|
Date: 09/20/07 Time: 18:34
|
|
Sample(adjusted): 1972 2006
|
|
Included observations: 35 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(LPP(-1))
|
-0.850523
|
0.169244
|
-5.025419
|
0.0000
|
|
R-squared
|
0.426203
|
Mean dependent var
|
-0.001120
|
|
Adjusted R-squared
|
0.426203
|
S.D. dependent var
|
0.426768
|
|
S.E. of regression
|
0.323274
|
Akaike info criterion
|
0.607521
|
|
Sum squared resid
|
3.553202
|
Schwarz criterion
|
0.651960
|
|
Log likelihood
|
-9.631619
|
Durbin-Watson stat
|
2.016467
|
La variable imex = importation - exportation :
|
Null Hypothesis: D(IMEX) has a unit root
|
|
Exogenous: Constant, Linear Trend
|
|
Lag Length: 3 (Automatic based on SIC, MAXLAG=4)
|
|
|
|
t-Statistic
|
Prob.*
|
|
Augmented Dickey-Fuller test statistic
|
-5.757467
|
0.0002
|
|
Test critical values:
|
1% level
|
|
-4.273277
|
|
|
5% level
|
|
-3.557759
|
|
|
10% level
|
|
-3.212361
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(IMEX,2)
|
|
Method: Least Squares
|
|
Date: 09/20/07 Time: 17:52
|
|
Sample(adjusted): 1975 2006
|
|
Included observations: 32 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(IMEX(-1))
|
-3.125616
|
0.542880
|
-5.757467
|
0.0000
|
|
D(IMEX(-1),2)
|
1.582303
|
0.449678
|
3.518743
|
0.0016
|
|
D(IMEX(-2),2)
|
1.226318
|
0.334109
|
3.670417
|
0.0011
|
|
D(IMEX(-3),2)
|
0.698864
|
0.254177
|
2.749512
|
0.0107
|
|
C
|
-0.094411
|
0.042583
|
-2.217123
|
0.0356
|
|
@TREND(1970)
|
0.006939
|
0.002069
|
3.353302
|
0.0025
|
|
R-squared
|
0.764491
|
Mean dependent var
|
0.011337
|
|
Adjusted R-squared
|
0.719201
|
S.D. dependent var
|
0.171311
|
|
S.E. of regression
|
0.090779
|
Akaike info criterion
|
-1.793424
|
|
Sum squared resid
|
0.214260
|
Schwarz criterion
|
-1.518599
|
|
Log likelihood
|
34.69479
|
F-statistic
|
16.87988
|
|
Durbin-Watson stat
|
1.984350
|
Prob(F-statistic)
|
0.000000
|
La part du pétrole dans l'importation (ppimp) :
|
Null Hypothesis: D(LPPIMP) has a unit root
|
|
Exogenous: None
|
|
Lag Length: 0 (Automatic based on SIC, MAXLAG=4)
|
|
|
|
t-Statistic
|
Prob.*
|
|
Augmented Dickey-Fuller test statistic
|
-7.870835
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.632688
|
|
|
5% level
|
|
-1.950687
|
|
|
10% level
|
|
-1.611059
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(LPPIMP,2)
|
|
Method: Least Squares
|
|
Date: 09/20/07 Time: 18:35
|
|
Sample(adjusted): 1972 2006
|
|
Included observations: 35 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(LPPIMP(-1))
|
-1.291584
|
0.164097
|
-7.870835
|
0.0000
|
|
R-squared
|
0.645649
|
Mean dependent var
|
0.000304
|
|
Adjusted R-squared
|
0.645649
|
S.D. dependent var
|
0.427657
|
|
S.E. of regression
|
0.254573
|
Akaike info criterion
|
0.129700
|
|
Sum squared resid
|
2.203459
|
Schwarz criterion
|
0.174139
|
|
Log likelihood
|
-1.269755
|
Durbin-Watson stat
|
2.027329
|
La part du pétrole dans l'exportation (ppexp) :
|
Null Hypothesis: D(LPPEXP) has a unit root
|
|
Exogenous: None
|
|
Lag Length: 0 (Automatic based on SIC, MAXLAG=4)
|
|
|
|
t-Statistic
|
Prob.*
|
|
Augmented Dickey-Fuller test statistic
|
-6.216918
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.632688
|
|
|
5% level
|
|
-1.950687
|
|
|
10% level
|
|
-1.611059
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(LPPEXP,2)
|
|
Method: Least Squares
|
|
Date: 09/20/07 Time: 18:35
|
|
Sample(adjusted): 1972 2006
|
|
Included observations: 35 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(LPPEXP(-1))
|
-1.064023
|
0.171150
|
-6.216918
|
0.0000
|
|
R-squared
|
0.531999
|
Mean dependent var
|
0.000835
|
|
Adjusted R-squared
|
0.531999
|
S.D. dependent var
|
0.292740
|
|
S.E. of regression
|
0.200265
|
Akaike info criterion
|
-0.350197
|
|
Sum squared resid
|
1.363605
|
Schwarz criterion
|
-0.305758
|
|
Log likelihood
|
7.128439
|
Durbin-Watson stat
|
2.001792
|
Annexe III
Test de stationnarité des séries
mensuelles :
Taux d'inflation (infm) :
|
Null Hypothesis: INF has a unit root
|
|
Exogenous: Constant, Linear Trend
|
|
Lag Length: 11 (Automatic based on SIC, MAXLAG=16)
|
|
|
|
t-Statistic
|
Prob.*
|
|
Augmented Dickey-Fuller test statistic
|
-4.756433
|
0.0006
|
|
Test critical values:
|
1% level
|
|
-3.981825
|
|
|
5% level
|
|
-3.421418
|
|
|
10% level
|
|
-3.133482
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(INF)
|
|
Method: Least Squares
|
|
Date: 09/23/07 Time: 15:27
|
|
Sample(adjusted): 1974:10 2007:02
|
|
Included observations: 389 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
INF(-1)
|
-0.762707
|
0.160353
|
-4.756433
|
0.0000
|
|
D(INF(-1))
|
-0.165726
|
0.152100
|
-1.089588
|
0.2766
|
|
D(INF(-2))
|
-0.062848
|
0.141263
|
-0.444898
|
0.6567
|
|
D(INF(-3))
|
-0.139415
|
0.130795
|
-1.065909
|
0.2872
|
|
D(INF(-4))
|
-0.129609
|
0.121879
|
-1.063425
|
0.2883
|
|
D(INF(-5))
|
-0.223632
|
0.111532
|
-2.005096
|
0.0457
|
|
D(INF(-6))
|
-0.071799
|
0.103464
|
-0.693955
|
0.4881
|
|
D(INF(-7))
|
-0.153900
|
0.092487
|
-1.664018
|
0.0969
|
|
D(INF(-8))
|
-0.192190
|
0.080773
|
-2.379403
|
0.0178
|
|
D(INF(-9))
|
-0.267111
|
0.067385
|
-3.963960
|
0.0001
|
|
D(INF(-10))
|
-0.256335
|
0.055262
|
-4.638527
|
0.0000
|
|
D(INF(-11))
|
-0.197608
|
0.042443
|
-4.655809
|
0.0000
|
|
C
|
0.605520
|
0.139281
|
4.347455
|
0.0000
|
|
@TREND(1973:10)
|
-0.001182
|
0.000349
|
-3.390471
|
0.0008
|
|
R-squared
|
0.570568
|
Mean dependent var
|
-0.003194
|
|
Adjusted R-squared
|
0.555681
|
S.D. dependent var
|
0.864281
|
|
S.E. of regression
|
0.576106
|
Akaike info criterion
|
1.770276
|
|
Sum squared resid
|
124.4618
|
Schwarz criterion
|
1.912924
|
|
Log likelihood
|
-330.3187
|
F-statistic
|
38.32661
|
|
Durbin-Watson stat
|
1.991234
|
Prob(F-statistic)
|
0.000000
|
Prix du pétrole (pp) :
|
Null Hypothesis: D(LOGPP) has a unit root
|
|
Exogenous: None
|
|
Lag Length: 0 (Automatic based on SIC, MAXLAG=24)
|
|
|
|
t-Statistic
|
Prob.*
|
|
Augmented Dickey-Fuller test statistic
|
-12.26711
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.570771
|
|
|
5% level
|
|
-1.941619
|
|
|
10% level
|
|
-1.616167
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(LOGPP,2)
|
|
Method: Least Squares
|
|
Date: 09/23/07 Time: 15:33
|
|
Sample(adjusted): 1973:12 2007:02
|
|
Included observations: 399 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(LOGPP(-1))
|
-0.526065
|
0.042884
|
-12.26711
|
0.0000
|
|
R-squared
|
0.274299
|
Mean dependent var
|
-0.000678
|
|
Adjusted R-squared
|
0.274299
|
S.D. dependent var
|
0.073379
|
|
S.E. of regression
|
0.062510
|
Akaike info criterion
|
-2.704463
|
|
Sum squared resid
|
1.555208
|
Schwarz criterion
|
-2.694465
|
|
Log likelihood
|
540.5403
|
Durbin-Watson stat
|
1.952044
|
| 
