L'impact de l'augmentation du prix du petrole sur la hausse des prix: Cas de la Tunisie

Annexe IV

Test de cointegration de Johansen pour les séries annuelles :

Sample(adjusted): 1972 2006
Included observations: 35 after adjusting endpoints
Trend assumption: Linear deterministic trend
Series: LINF LPP IMEX LPPIMP LPPEXP
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test
Hypothesized No. of CE(s)	Eigenvalue	Trace Statistic	5 Percent Critical Value	1 Percent Critical Value
None	0.458224	57.82384	68.52	76.07
At most 1	0.310450	36.37224	47.21	54.46
At most 2	0.256802	23.36218	29.68	35.65
At most 3	0.210856	12.97443	15.41	20.04
At most 4 *	0.125315	4.686198	3.76	6.65
*(**) denotes rejection of the hypothesis at the 5%(1%) level
Trace test indicates no cointegration at both 5% and 1% levels
Hypothesized No. of CE(s)	Eigenvalue	Max-Eigen Statistic	5 Percent Critical Value	1 Percent Critical Value
None	0.458224	21.45160	33.46	38.77
At most 1	0.310450	13.01006	27.07	32.24
At most 2	0.256802	10.38775	20.97	25.52
At most 3	0.210856	8.288228	14.07	18.63
At most 4 *	0.125315	4.686198	3.76	6.65
*(**) denotes rejection of the hypothesis at the 5%(1%) level
Max-eigenvalue test indicates no cointegration at both 5% and 1% levels

Estimation du modèle VAR(1) pour les séries annuelles :

Vector Autoregression Estimates
Date: 09/19/07 Time: 11:27
Sample(adjusted): 1972 2006
Included observations: 35 after adjusting endpoints
Standard errors in ( ) & t-statistics in [ ]
	D(LINF)	D(LPP)	D(IMEX)	D(LPPIMP)	D(LPPEXP)
D(LINF(-1))	-0.673783	0.146250	-0.044063	0.020177	0.042643
	(0.08148)	(0.11311)	(0.03657)	(0.09316)	(0.06803)
	[-8.26944]	[ 1.29299]	[-1.20481]	[ 0.21659]	[ 0.62678]
D(LPP(-1))	0.556400	0.116582	-0.056557	0.132894	0.217385
	(0.18156)	(0.25205)	(0.08150)	(0.20758)	(0.15160)
	[ 3.06450]	[ 0.46254]	[-0.69397]	[ 0.64020]	[ 1.43390]
D(IMEX(-1))	-1.461713	-0.076578	-0.199980	0.617312	0.663078
	(0.47499)	(0.65938)	(0.21320)	(0.54306)	(0.39661)
	[-3.07737]	[-0.11614]	[-0.93797]	[ 1.13673]	[ 1.67186]
D(LPPIMP(-1))	0.343766	-0.051400	-0.028818	-0.558920	-0.334210
	(0.27220)	(0.37787)	(0.12218)	(0.31121)	(0.22729)
	[ 1.26291]	[-0.13603]	[-0.23586]	[-1.79595]	[-1.47043]
D(LPPEXP(-1))	-1.260647	-0.139653	0.235840	0.212745	0.040447
	(0.33727)	(0.46820)	(0.15139)	(0.38560)	(0.28162)
	[-3.73782]	[-0.29828]	[ 1.55785]	[ 0.55172]	[ 0.14363]
C	-0.093508	0.077769	0.038896	0.007921	-0.068061
	(0.04723)	(0.06556)	(0.02120)	(0.05399)	(0.03943)
	[-1.98000]	[ 1.18622]	[ 1.83488]	[ 0.14670]	[-1.72596]
R-squared	0.750562	0.071027	0.201073	0.132070	0.144974
Adj. R-squared	0.707555	-0.089141	0.063327	-0.017573	-0.002445
Sum sq. resids	1.595439	3.074637	0.321448	2.085497	1.112362
S.E. equation	0.234553	0.325610	0.105283	0.268167	0.195850
F-statistic	17.45226	0.443453	1.459735	0.882564	0.983416
Log likelihood	4.380633	-7.100023	32.41681	-0.306882	10.69225
Akaike AIC	0.092535	0.748573	-1.509532	0.360393	-0.268128
Schwarz SC	0.359166	1.015204	-1.242901	0.627024	-0.001497
Mean dependent	-0.006977	0.096363	0.019334	0.012237	-0.044158
S.D. dependent	0.433730	0.312001	0.108783	0.265842	0.195611
Determinant Residual Covariance		2.15E-08
Log Likelihood (d.f. adjusted)		60.66293
Akaike Information Criteria		-1.752167
Schwarz Criteria		-0.419012

Test de non causalité au sens de Granger pour les séries annuelles :

Pairwise Granger Causality Tests
Date: 09/19/07 Time: 22:36
Sample: 1970 2006
Lags: 1
Null Hypothesis:	Obs	F-Statistic	Probability
D(LPP) does not Granger Cause D(LINF)	35	3.65538	0.06488
D(LINF) does not Granger Cause D(LPP)		1.95396	0.17178
D(IMEX) does not Granger Cause D(LINF)	35	5.46758	0.02578
D(LINF) does not Granger Cause D(IMEX)		1.85596	0.18260
D(LPPIMP) does not Granger Cause D(LINF)	35	0.04212	0.83869
D(LINF) does not Granger Cause D(LPPIMP)		0.04134	0.84018
D(LPPEXP) does not Granger Cause D(LINF)	35	0.99245	0.32662
D(LINF) does not Granger Cause D(LPPEXP)		0.41768	0.52270
D(IMEX) does not Granger Cause D(LPP)	35	0.03407	0.85472
D(LPP) does not Granger Cause D(IMEX)		0.02037	0.88739
D(LPPIMP) does not Granger Cause D(LPP)	35	0.21867	0.64322
D(LPP) does not Granger Cause D(LPPIMP)		0.19343	0.66304
D(LPPEXP) does not Granger Cause D(LPP)	35	0.37431	0.54498
D(LPP) does not Granger Cause D(LPPEXP)		0.84575	0.36464
D(LPPIMP) does not Granger Cause D(IMEX)	35	0.60872	0.44100
D(IMEX) does not Granger Cause D(LPPIMP)		0.64501	0.42783
D(LPPEXP) does not Granger Cause D(IMEX)	35	2.66012	0.11270
D(IMEX) does not Granger Cause D(LPPEXP)		0.96721	0.33275
D(LPPEXP) does not Granger Cause D(LPPIMP)	35	0.06192	0.80507
D(LPPIMP) does not Granger Cause D(LPPEXP)		0.09538	0.75945

Fonctions de réponse impulsionnelles pour les séries annuelles :

Décomposition de la variance pour les séries annuelles :

Variance Decomposition of D(LINF):
Period	S.E.	D(LINF)	D(LPP)	D(IMEX)	D(LPPIMP)	D(LPPEXP)
1	0.234553	100.0000	0.000000	0.000000	0.000000	0.000000
2	0.336730	56.85692	4.764127	14.91821	1.328016	22.13273
3	0.366532	52.29157	8.428892	16.13626	2.092500	21.05078
4	0.386544	50.31889	8.893047	17.08671	2.450847	21.25050
5	0.398763	49.05070	9.328837	17.60375	2.698246	21.31846
6	0.406246	48.38135	9.550380	17.87605	2.852615	21.33961
7	0.410975	47.97151	9.675225	18.03845	2.951190	21.36362
8	0.413950	47.72057	9.751919	18.13457	3.014852	21.37809
9	0.415832	47.56506	9.798246	18.19292	3.055809	21.38797
10	0.417024	47.46752	9.826915	18.22883	3.082181	21.39455
Cholesky Ordering: D(LINF) D(LPP) D(IMEX) D(LPPIMP) D(LPPEXP)