ANNEXES
Annexe n°1 : test de cointégration de
JOHANSEN(1988)
Date: 09/03/10 Time: 22:41
Sample (adjusted): 1992 2009
Included observations: 18 after adjustments Trend assumption: No
deterministic trend Series: FB SB DP TX
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
|
Hypothesize
|
|
|
|
|
|
d
|
|
Trace
|
0.05
|
|
|
|
|
Critical
|
|
|
No. of CE(s)
|
Eigenvalue
|
Statistic
|
Value
|
Prob.**
|
|
None *
|
0.922784
|
65.67152
|
40.17493
|
0.0000
|
|
At most 1
|
0.626798
|
19.57094
|
24.27596
|
0.1750
|
|
At most 2
|
0.091776
|
1.829500
|
12.32090
|
0.9626
|
|
At most 3
|
0.005360
|
0.096739
|
4.129906
|
0.7982
|
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level *
denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis
(1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
|
Hypothesize
|
|
|
|
|
|
d
|
|
Max-Eigen
|
0.05
|
|
|
|
|
Critical
|
|
|
No. of CE(s)
|
Eigenvalue
|
Statistic
|
Value
|
Prob.**
|
|
None *
|
0.922784
|
46.10058
|
24.15921
|
0.0000
|
|
At most 1
|
0.626798
|
17.74144
|
17.79730
|
0.0510
|
42
At most 2
|
0.091776
|
1.732761
|
11.22480
|
0.9494
|
|
At most 3
|
0.005360
|
0.096739
|
4.129906
|
0.7982
|
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05
level
* denotes rejection of the hypothesis at the 0.05 le vel
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by
b'*S11*b=I):
FB SB DP TX
|
9.693722
|
-14.78946
|
-53.03924
|
4.052142
|
|
-3.650010
|
-57.43034
|
88.45739
|
-1.717321
|
|
-0.222474
|
-23.03022
|
-19.75104
|
6.637092
|
|
0.916212
|
11.29542
|
25.34378
|
-3.213381
|
Unrestricted Adjustment Coefficients (alpha):
|
|
|
|
-
0.00318
|
|
D(FB)
|
-0.066472
|
-0.024179
|
0.005077
|
5
|
|
|
|
|
0.00039
|
|
D(SB)
|
-0.005379
|
0.020065
|
0.000530
|
6
|
|
|
|
|
0.00046
|
|
D(DP)
|
-0.003629
|
-0.001428
|
-0.000205
|
3
|
|
|
|
|
0.00138
|
|
D(TX)
|
-0.024760
|
0.009240
|
-0.032084
|
0
|
|
1
|
Cointegrating Log
|
|
|
|
Equation(s):
|
|
likelihood
|
158.9035
|
|
|
Normalized parentheses)
|
cointegrating
|
coefficients
|
(standard
|
error in
|
|
FB
|
SB
|
DP
|
TX
|
|
1.000000 -1.525674 -5.471504 0.418017
|
(0.53080)
|
(0.62014)
|
(0.06309)
|
|
|
Adjustment parentheses)
|
coefficients
|
(standard
|
error
|
in
|
|
D(FB)
|
-0.644358
|
|
|
|
|
(0.15852)
|
|
|
|
|
D(SB)
|
-0.052144
|
|
|
|
|
(0.06996)
|
|
|
|
|
D(DP)
|
-0.035175
|
|
|
|
|
(0.01800)
|
|
|
|
|
D(TX)
|
-0.240020
|
|
|
|
|
(0.29154)
|
|
|
|
|
2 Equation(s):
|
Cointegrating Log
likelihood
|
167.7742
|
|
|
|
Normalized parentheses)
|
cointegrating
|
coefficients
|
(standard
|
error
|
in
|
|
FB
|
SB
|
DP
|
TX
|
|
|
|
1.000000
|
0.000000
|
-7.130066
|
0.422656
|
|
|
|
|
(0.54218)
|
(0.06479)
|
|
|
|
0.000000
|
1.000000
|
-1.087101
|
0.003041
|
|
|
|
|
(0.20321)
|
(0.02428)
|
|
|
|
Adjustment parentheses)
|
coefficients
|
(standard
|
error
|
in
|
|
|
D(FB)
|
-0.556105
|
2.371676
|
|
|
|
|
(0.15448)
|
(0.88448)
|
|
|
|
|
D(SB)
|
-0.125380
|
-1.072761
|
|
|
|
|
(0.04759)
|
(0.27248)
|
|
|
|
|
D(DP)
|
-0.029964
|
0.135657
|
|
|
|
|
(0.01879)
|
(0.10758)
|
|
|
|
|
D(TX)
|
-0.273747
|
-0.164471
|
|
|
|
|
(0.31039)
|
(1.77711)
|
|
|
|
44
3 Equation(s):
|
Cointegrating Log
likelihood
|
168.6406
|
|
|
|
Normalized parentheses)
|
cointegrating
|
coefficients
|
(standard
|
error
|
in
|
|
FB
|
SB
|
DP
|
TX
|
|
|
|
1.000000
|
0.000000
|
0.000000
|
-0.623042
|
|
|
|
|
|
(0.27414)
|
|
|
|
0.000000
|
1.000000
|
0.000000
|
-0.156394
|
|
|
|
|
|
(0.04177)
|
|
|
|
0.000000
|
0.000000
|
1.000000
|
-0.146660
|
|
|
|
|
|
(0.03847)
|
|
|
|
Adjustment parentheses)
|
coefficients
|
(standard
|
error
|
in
|
|
|
D(FB)
|
-0.557234
|
2.254742
|
1.286527
|
|
|
|
(0.15383)
|
(0.94460)
|
(1.55922)
|
|
|
|
D(SB)
|
-0.125498
|
-1.084969
|
2.049696
|
|
|
|
(0.04758)
|
(0.29216)
|
(0.48226)
|
|
|
|
D(DP)
|
-0.029918
|
0.140376
|
0.070216
|
|
|
|
(0.01879)
|
(0.11535)
|
(0.19041)
|
|
|
|
D(TX)
|
-0.266609
|
0.574421
|
2.764311
|
|
|
|
(0.29646)
|
(1.82042)
|
(3.00493)
|
|
|
46
| 
