ANNEXE VI TEST DE COINTEGRATION
ET ESTIMATION DU MODÈLE À LONG TERME
Tableau V 1 Résultat du test de
cointégration des différentes séries.
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Sample: 1977 2005
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Included observations: 27
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Test assumption: No deterministic trend in the data
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Series:  LNY LNK LNG
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Lags interval: 1 to 1
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Likelihood
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5 Percent
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1 Percent
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Hypothesized
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Eigenvalue
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Ratio
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Critical Value
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Critical Value
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No. of CE(s)
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0.511845
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41.52297
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39.89
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45.58
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None *
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0.474618
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22.16067
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24.31
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29.75
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At most 1
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0.154679
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4.782680
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12.53
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16.31
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At most 2
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0.009057
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0.245645
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3.84
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6.51
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At most 3
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*(**) denotes rejection of the hypothesis at 5%(1%)
significance level
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L.R. test indicates 1 cointegrating equation(s) at 5%
significance level
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Sources : Banque Mondiale, World
Developpment Indicator 2007 et nos calculs.
Tableau V.2 Résultat de la
régression
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Dependent Variable: LNY
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Method: Least Squares
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Date: 03/15/08 Time: 23:10
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Sample: 1977 2005
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Included observations: 29
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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5.365895
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0.796315
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6.738408
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0.0000
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LNG
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0.204742
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0.035967
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5.692511
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0.0000
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LNK
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0.063954
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0.127516
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0.501538
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0.6204
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38.15883
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9.961010
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3.830819
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0.0008
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R-squared
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0.662841
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Mean dependent var
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7.523665
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Adjusted R-squared
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0.622382
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S.D. dependent var
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0.260763
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S.E. of regression
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0.160241
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Akaike info criterion
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-0.696838
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Sum squared resid
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0.641927
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Schwarz criterion
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-0.508246
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Log likelihood
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14.10415
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F-statistic
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16.38301
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Durbin-Watson stat
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1.026129
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Prob(F-statistic)
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0.000004
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Tableau V-3 résultat test de Ramsey
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Ramsey RESET Test:
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F-statistic
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0.617905
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Probability
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0.547783
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Log likelihood ratio
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1.517776
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Probability
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0.468187
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Graphique V.1 Test de
stabilité Graphique
Test de stabilité ponctuelle
structurelle des coefficients (CUSUM)
des coefficients (CUSUM carré)
 
ANNEXE VII :
RÉCAPITULATIF DES TESTS SUR LES RÉSIDUS DE LA RÉGRESSION
DE LONG TERME
VI-1 test de normalité des résidus
VI-2 test de stationnarité des résidus
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ADF Test Statistic
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-3.778755
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1% Critical Value*
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-2.6522
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5% Critical Value
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-1.9540
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10% Critical Value
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-1.6223
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*MacKinnon critical values for rejection of hypothesis of a unit
root.
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Augmented Dickey-Fuller Test Equation
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Dependent Variable: D(RED)
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Method: Least Squares
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Date: 03/15/08 Time: 23:43
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Sample(adjusted): 1979 2005
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Included observations: 27 after adjusting endpoints
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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RED(-1)
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-1.004558
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0.265844
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-3.778755
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0.0009
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D(RED(-1))
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0.201291
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0.191414
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1.051601
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0.3030
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R-squared
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0.389912
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Mean dependent var
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0.022176
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Adjusted R-squared
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0.365509
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S.D. dependent var
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0.153834
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S.E. of regression
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0.122536
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Akaike info criterion
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-1.289635
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Sum squared resid
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0.375377
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Schwarz criterion
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-1.193647
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Log likelihood
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19.41008
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Durbin-Watson stat
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1.933503
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VI-3 Test d'autocorélation des
résidus
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Breusch-Godfrey Serial Correlation LM Test:
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F-statistic
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1.288839
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Probability
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0.296512
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Obs*R-squared
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3.061157
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Probability
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0.216410
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