Annexe V
Estimation du modèle VAR(5) pour les
séries mensuelles :
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Vector Autoregression Estimates
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Date: 09/25/07 Time: 15:57
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Sample(adjusted): 1974:04 2007:02
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Included observations: 395 after adjusting
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endpoints
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Standard errors in ( ) & t-statistics in [ ]
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D(INFM)
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D(LPPM)
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D(INFM(-1))
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-0.737650
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0.000599
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(0.04779)
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(0.00427)
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[-15.4339]
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[ 0.14032]
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D(INFM(-2))
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-0.466546
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-0.001034
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(0.05419)
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(0.00484)
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[-8.60993]
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[-0.21364]
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D(INFM(-3))
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-0.461900
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-0.001030
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(0.05224)
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(0.00467)
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[-8.84215]
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[-0.22076]
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D(INFM(-4))
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-0.268127
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0.000261
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(0.05102)
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(0.00456)
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[-5.25528]
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[ 0.05730]
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D(INFM(-5))
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-0.245578
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-0.000310
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(0.04263)
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(0.00381)
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[-5.76125]
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[-0.08145]
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D(LPPM(-1))
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0.132130
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0.515062
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(0.57198)
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(0.05109)
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[ 0.23101]
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[ 10.0818]
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D(LPPM(-2))
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-0.279399
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-0.097007
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(0.64008)
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(0.05717)
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[-0.43651]
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[-1.69680]
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D(LPPM(-3))
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-0.059258
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0.009601
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(0.62095)
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(0.05546)
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[-0.09543]
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[ 0.17311]
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D(LPPM(-4))
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0.462892
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-0.138268
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(0.61245)
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(0.05470)
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[ 0.75581]
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[-2.52764]
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D(LPPM(-5))
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-0.370285
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0.067562
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(0.53659)
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(0.04793)
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[-0.69007]
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[ 1.40968]
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C
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0.001723
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0.002539
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(0.03364)
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(0.00300)
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[ 0.05122]
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[ 0.84525]
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R-squared
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0.450381
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0.241885
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Adj. R-squared
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0.436068
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0.222142
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Sum sq. resids
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168.9492
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1.347830
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S.E. equation
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0.663304
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0.059245
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F-statistic
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31.46653
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12.25193
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Log likelihood
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-392.7464
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561.3963
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Akaike AIC
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2.044286
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-2.786817
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Schwarz SC
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2.155090
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-2.676012
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Mean dependent
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0.007529
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0.003793
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S.D. dependent
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0.883281
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0.067174
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Determinant Residual Covariance
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0.001534
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Log Likelihood (d.f. adjusted)
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158.7929
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Akaike Information Criteria
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-0.692622
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Schwarz Criteria
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-0.471013
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Fonction de réponse impulsionnelle pour les
séries mensuelles : 
Décomposition de la variance pour les
séries mensuelles :
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Variance Decomposition of D(INFM):
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Period
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S.E.
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D(INFM)
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D(LPPM)
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1
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0.663304
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100.0000
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0.000000
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2
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0.823902
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99.99103
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0.008968
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3
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0.825621
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99.94229
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0.057714
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4
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0.833784
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99.94330
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0.056699
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5
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0.841810
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99.82846
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0.171536
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6
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0.846341
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99.74636
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0.253641
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7
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0.863025
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99.75502
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0.244978
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8
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0.871110
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99.75955
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0.240452
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9
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0.872315
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99.75997
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0.240028
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10
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0.874499
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99.76116
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0.238839
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11
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0.876214
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99.75638
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0.243622
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12
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0.877241
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99.75378
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0.246219
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13
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0.878720
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99.75439
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0.245606
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14
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0.879533
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99.75450
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0.245495
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15
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0.879865
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99.75459
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0.245405
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16
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0.880244
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99.75472
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0.245277
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17
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0.880519
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99.75448
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0.245516
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18
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0.880697
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99.75441
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0.245590
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19
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0.880872
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99.75446
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0.245542
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20
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0.880981
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99.75445
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0.245547
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21
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0.881045
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99.75446
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0.245544
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22
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0.881104
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99.75446
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0.245538
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23
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0.881146
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99.75445
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0.245551
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24
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0.881174
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99.75445
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0.245554
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25
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0.881198
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99.75445
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0.245551
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26
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0.881214
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99.75445
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0.245552
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27
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0.881225
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99.75445
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0.245552
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28
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0.881234
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99.75445
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0.245552
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29
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0.881240
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99.75445
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0.245553
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30
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0.881244
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99.75445
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0.245553
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31
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0.881248
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99.75445
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0.245553
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32
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0.881250
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99.75445
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0.245553
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33
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0.881252
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99.75445
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0.245553
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34
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0.881253
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99.75445
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0.245553
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35
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0.881254
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99.75445
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0.245553
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36
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0.881255
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99.75445
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0.245553
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Cholesky Ordering: D(INFM) D(LPPM)
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