ANNEXES
ANNEXES 1 : SERIES UTILISEES POUR
L'ESTIMATION
|
Année
|
RATIO ENDETTEM EN % PIB
|
RATIO ENDETT/PIB
|
DEFICIT BUDG
|
TAUX EPARGNE EN % PIB
|
RES
|
|
1970
|
6,995482075
|
0,06995482
|
14,10108769
|
12,15849097
|
0,405495461
|
|
1971
|
7,199480819
|
0,07199481
|
13,21189591
|
11,99559389
|
0,479821003
|
|
1972
|
10,82597475
|
0,10825975
|
11,30729414
|
14,12056765
|
0,548769802
|
|
1973
|
13,18545116
|
0,13185451
|
10,45303184
|
14,28553271
|
0,635454996
|
|
1974
|
15,93259642
|
0,15932596
|
11,74263432
|
14,24454663
|
0,723916918
|
|
1975
|
19,8141948
|
0,19814195
|
11,62822152
|
12,69285509
|
-1,42744563
|
|
1976
|
30,20947876
|
0,30209479
|
9,587341332
|
6,974720702
|
-5,98566256
|
|
1977
|
29,64933247
|
0,29649332
|
9,638891516
|
12,04906805
|
3,372594883
|
|
1978
|
29,19751697
|
0,29197517
|
9,174648874
|
15,08182696
|
2,589487798
|
|
1979
|
30,04069869
|
0,30040699
|
9,41095154
|
15,34713127
|
2,799495231
|
|
1980
|
33,16405937
|
0,33164059
|
8,368283906
|
10,08313406
|
-4,00197184
|
|
1981
|
40,61867378
|
0,40618674
|
10,0169254
|
7,499949304
|
-3,47691995
|
|
1982
|
37,20802589
|
0,37208026
|
9,458459618
|
6,516308158
|
-2,96969045
|
|
1983
|
48,48640579
|
0,48486406
|
7,53112706
|
8,272112785
|
1,030569024
|
|
1984
|
67,33470571
|
0,67334706
|
6,557775578
|
10,38786423
|
2,577250737
|
|
1985
|
85,95894717
|
0,85958947
|
7,688962847
|
14,37892553
|
5,438941525
|
|
1986
|
88,84462208
|
0,88844622
|
7,993717091
|
13,87834902
|
1,535859718
|
|
1987
|
114,5750831
|
1,14575083
|
9,925065625
|
11,28301404
|
-0,99410041
|
|
1988
|
96,64469853
|
0,96644699
|
12,73688847
|
12,10562796
|
0,5322187
|
|
1989
|
102,5675286
|
1,02567529
|
10,07091786
|
14,9537863
|
2,731045971
|
|
1990
|
109,74431
|
1,0974431
|
11,51092049
|
9,349272819
|
-4,12587298
|
|
1991
|
119,308236
|
1,19308236
|
13,30740111
|
1,831113548
|
-7,36344477
|
|
1992
|
133,7092681
|
1,33709268
|
21,73946996
|
6,053824154
|
1,269997102
|
|
1993
|
105,2803487
|
1,05280349
|
15,42892873
|
3,981896738
|
-2,82611801
|
|
1994
|
211,8370988
|
2,11837099
|
4,363883607
|
10,63388204
|
8,171107453
|
|
1995
|
234,6054855
|
2,34605486
|
4,913705652
|
14,12964704
|
5,108087783
|
|
1996
|
222,2991546
|
2,22299155
|
6,200801268
|
27,54108781
|
17,08041932
|
|
1997
|
202,02165
|
2,0202165
|
7,8012496
|
6,26
|
-16,2399232
|
|
1998
|
214,6663179
|
2,14666318
|
8,172052538
|
1,308403539
|
-7,54766437
|
|
1999
|
254,8636538
|
2,54863654
|
5,961538462
|
9,038461538
|
2,616826552
|
|
2000
|
240,8816851
|
2,40881685
|
6,655020534
|
4,26113108
|
-3,883846
|
|
2001
|
222,0715704
|
2,2207157
|
4,66742812
|
6,184536246
|
4,964644723
|
|
2002
|
152,9070028
|
1,52907003
|
3,675360951
|
3,99874163
|
-2,33525823
|
ANNEXE 2 : RESULTAT DU TEST DE RACINE UNITAIRE SUR
LES VARIABLES DU MODELE
RATENDT
|
1. ADF Test Statistic
|
-0.045124
|
1% Critical Value*
|
-2.6395
|
|
|
5% Critical Value
|
-1.9521
|
|
|
10% Critical Value
|
-1.6214
|
|
2. ADF Test Statistic
|
-3.360958
|
1% Critical Value*
|
-2.6423
|
|
|
5% Critical Value
|
-1.9526
|
|
|
10% Critical Value
|
-1.6216
|
|
|
|
|
|
DBUD
|
1. ADF Test Statistic
|
-3.116316
|
1% Critical Value*
|
-3.6576
|
|
|
5% Critical Value
|
-2.9591
|
|
|
10% Critical Value
|
-2.6181
|
|
2. ADF Test Statistic
|
-5.609142
|
1% Critical Value*
|
-2.6423
|
|
|
5% Critical Value
|
-1.9526
|
|
|
10% Critical Value
|
-1.6216
|
|
|
|
|
|
EPARGNE
|
1. ADF Test Statistic
|
-4.321884
|
1% Critical Value*
|
-4.2826
|
|
|
5% Critical Value
|
-3.5614
|
|
|
10% Critical Value
|
-3.2138
|
|
2. ADF Test Statistic
|
-5.605611
|
1% Critical Value*
|
-2.6423
|
|
|
5% Critical Value
|
-1.9526
|
|
|
10% Critical Value
|
-1.6216
|
|
|
|
|
|
ANNEXE 3 : RESULTATS DU TEST DE COINTEGRATION DES
SERIES DU MODELE
|
Sample: 1970 2002
|
|
Included observations: 31
|
|
Series: RATENDT DBUD EPARGNE
|
|
Lags interval: 1 to 1
|
|
Data Trend:
|
None
|
None
|
Linear
|
Linear
|
Quadratic
|
|
----
|
|
|
|
|
|
|
Rank or
|
No Intercept
|
Intercept
|
Intercept
|
Intercept
|
Intercept
|
|
No. of CEs
|
No Trend
|
No Trend
|
No Trend
|
Trend
|
Trend
|
|
|
Log Likelihood by Model and Rank
|
|
|
|
|
0
|
-605.3456
|
-605.3456
|
-598.6605
|
-598.6605
|
-596.3062
|
|
1
|
-587.5145
|
-584.9582
|
-579.7727
|
-579.5352
|
-577.3288
|
|
2
|
-580.1893
|
-572.1504
|
-567.3866
|
-562.8500
|
-560.6460
|
|
3
|
-575.0437
|
-565.8666
|
-562.5153
|
-554.9735
|
-553.5740
|
|
4
|
-572.3905
|
-561.6637
|
-560.4179
|
-550.3311
|
-549.1041
|
|
5
|
-571.8452
|
-560.0774
|
-560.0774
|
-548.3039
|
-548.3039
|
|
Akaike Information Criteria by Model and Rank
|
|
|
|
|
|
0
|
40.66746
|
40.66746
|
40.55874
|
40.55874
|
40.72943
|
|
1
|
40.16222
|
40.06182
|
39.98533
|
40.03453
|
40.15024
|
|
2
|
40.33479
|
39.94519
|
39.83140
|
39.66775
|
39.71910
|
|
3
|
40.64798
|
40.24946
|
40.16228
|
39.86926
|
39.90800
|
|
4
|
41.12197
|
40.68798
|
40.67212
|
40.27943
|
40.26478
|
|
5
|
41.73195
|
41.29532
|
41.29532
|
40.85832
|
40.85832
|
|
|
Schwarz Criteria by Model and Rank
|
|
|
|
|
0
|
41.82390
|
41.82390
|
41.94647
|
41.94647
|
42.34845
|
|
1
|
41.78124
|
41.72709
|
41.83564
|
41.93109
|
42.23184
|
|
2
|
42.41638
|
42.11930
|
42.14428
|
42.07314
|
42.26327
|
|
3
|
43.19215
|
42.93240
|
42.93774
|
42.78349
|
42.91474
|
|
4
|
44.12871
|
43.87976
|
43.91016
|
43.70249
|
43.73410
|
|
5
|
45.20127
|
44.99593
|
44.99593
|
44.79022
|
44.79022
|
|
L.R. Test:
|
Rank = 1
|
Rank = 1
|
Rank = 1
|
Rank = 1
|
Rank = 2
|
|
Date: 04/19/09 Time: 11:22
|
|
|
|
|
Sample: 1970 2002
|
|
|
|
|
|
Included observations: 31
|
|
|
|
|
Test assumption: Linear deterministic trend in the data
|
|
|
Series: RATENDT DBUD DEXP SEXP EPARGNE
|
|
|
|
Lags interval: 1 to 1
|
|
|
|
|
|
|
|
|
|
|
|
Likelihood
|
5 Percent
|
1 Percent
|
Hypothesized
|
|
Eigenvalue
|
Ratio
|
Critical Value
|
Critical Value
|
No. of CE(s)
|
|
|
|
|
|
|
|
|
0.708843
|
100.7133
|
87.31
|
96.58
|
None **
|
|
|
0.659200
|
62.46261
|
62.99
|
70.05
|
At most 1
|
|
|
0.398402
|
29.09232
|
42.44
|
48.45
|
At most 2
|
|
|
0.258818
|
13.33921
|
25.32
|
30.45
|
At most 3
|
|
|
0.122596
|
4.054414
|
12.25
|
16.26
|
At most 4
|
|
|
|
|
|
|
|
|
*(**) denotes rejection of the hypothesis at 5%(1%) significance
level
|
|
L.R. test indicates 1 cointegrating equation(s) at 5%
significance level
|
ANNEXE 4 : RESULTAT DU TEST DE CAUSALITE
|
Pairwise Granger Causality Tests
|
|
Date: 01/29/09 Time: 14:29
|
|
Sample: 1970 2002
|
|
Lags: 1
|
|
|
|
|
|
Null Hypothesis:
|
Obs
|
F-Statistic
|
Probability
|
|
|
|
|
|
D(EPARGNE) does not Granger Cause D(RATENDT)
|
31
|
2.17076
|
0.15181
|
|
D(RATENDT) does not Granger Cause D(EPARGNE)
|
2.45054
|
0.12872
|
|
D(EPARGNE) does not Granger Cause D(DBUD)
|
31
|
0.06946
|
0.79405
|
|
D(DBUD) does not Granger Cause D(EPARGNE)
|
1.69876
|
0.20307
|
|
D(EPARGNE) does not Granger Cause D(DEXP)
|
31
|
1.60134
|
0.21614
|
|
D(DEXP) does not Granger Cause D(EPARGNE)
|
0.09313
|
0.76250
|
|
D(EPARGNE) does not Granger Cause D(SEXP)
|
31
|
0.28957
|
0.59475
|
|
D(SEXP) does not Granger Cause D(EPARGNE)
|
0.50292
|
0.48408
|
|
Pairwise Granger Causality Tests
|
|
Date: 01/29/09 Time: 14:30
|
|
Sample: 1970 2002
|
|
Lags: 2
|
|
|
|
|
|
Null Hypothesis:
|
Obs
|
F-Statistic
|
Probability
|
|
|
|
|
|
D(EPARGNE) does not Granger Cause D(RATENDT)
|
30
|
0.80717
|
0.45741
|
|
D(RATENDT) does not Granger Cause D(EPARGNE)
|
6.78712
|
0.00442
|
|
D(EPARGNE) does not Granger Cause D(DBUD)
|
30
|
0.32915
|
0.72261
|
|
D(DBUD) does not Granger Cause D(EPARGNE)
|
3.50443
|
0.04554
|
|
D(EPARGNE) does not Granger Cause D(DEXP)
|
30
|
1.23691
|
0.30744
|
|
D(DEXP) does not Granger Cause D(EPARGNE)
|
3.11500
|
0.06196
|
|
D(EPARGNE) does not Granger Cause D(SEXP)
|
30
|
0.07845
|
0.92477
|
|
D(SEXP) does not Granger Cause D(EPARGNE)
|
1.70608
|
0.20205
|
ANNEXE 5 : MATRICE DES COEFFICIENTS DE
CORRELATION
|
RATENDT
|
DBUD
|
DEXP
|
SEXP
|
EPARGNEE
|
|
|
|
|
|
|
|
RATENDT
|
1.000000
|
-0.452157
|
0.771360
|
-0.151793
|
-0.201297
|
|
DBUD
|
-0.452157
|
1.000000
|
-0.179107
|
-0.227749
|
-0.111839
|
|
DEXP
|
0.771360
|
-0.179107
|
1.000000
|
-0.309510
|
-0.240500
|
|
SEXP
|
-0.151793
|
-0.227749
|
-0.309510
|
1.000000
|
-0.094914
|
|
EPARGNE
|
-0.201297
|
-0.111839
|
-0.240500
|
-0.094914
|
1.000000
|
ANNEXE 6 : ESTIMATION DES MODELES A CORRECTION
D'ERREURS
|
DEFICIT BUDGETAIRE=f(EPARGNE)
Dependent Variable: D(LDBUD)Method: Least SquaresDate: 04/20/09
Time: 05:22Sample(adjusted): 1971 2002Included observations: 32 after adjusting
endpoints
Variable
CoefficientStd. Errort-StatisticProb.
C
0.2763380.4035380.6847870.0493
D(LEPARGNE)
-0.0669880.1360200.4924840.0264
LDBUD(-1)
-0.7139470.1466244.8692220.0000
LEPARGNE(-1)
0.0765800.1113410.6877930.0274
RES
-0.0167880.015105-1.1113670.2762
R-squared
0.534155
Mean dependent var
2.172272
Adjusted R-squared
0.505141
S.D. dependent var
0.381711
S.E. of regression
0.279161
Akaike info criterion
0.428543
Sum squared resid
2.104129
Schwarz criterion
0.657564
Log likelihood
-1.856683
F-statistic
7.739800
Durbin-Watson stat
1.790398
Prob(F-statistic)
0.000273
EPARGNE=f(DEFICIT BUDGETAIRE)
Dependent Variable: D(LEPARGNE)
|
|
|
Method: Least Squares
|
|
Date: 04/17/09 Time: 06:16
|
|
Sample(adjusted): 1974 2002
|
|
Included observations: 29 after adjusting endpoints
|
|
Convergence achieved after 10 iterations
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
C
|
0.106928
|
0.507386
|
0.210744
|
0.0351
|
|
D(LDBUD)
|
0.132983
|
0.157562
|
0.844005
|
0.0482
|
|
LEPARGNE(-1)
|
-0.436282
|
0.084361
|
-5.171635
|
0.0000
|
|
LDBUD(-1)
|
0.358528
|
0.184443
|
1.943844
|
0.0354
|
|
RES
|
0.100880
|
0.009147
|
11.02873
|
0.0000
|
|
AR(1)
|
-0.523008
|
0.204171
|
-2.561623
|
0.0182
|
|
AR(2)
|
0.437102
|
0.218755
|
1.998137
|
0.0588
|
|
AR(3)
|
0.440415
|
0.206786
|
2.129808
|
0.0552
|
|
|
|
|
|
|
R-squared
|
0.862908
|
Mean dependent var
|
-0.043906
|
|
Adjusted R-squared
|
0.817210
|
S.D. dependent var
|
0.767825
|
|
S.E. of regression
|
0.328275
|
Akaike info criterion
|
0.839020
|
|
Sum squared resid
|
2.263054
|
Schwarz criterion
|
1.216206
|
|
Log likelihood
|
-4.165797
|
F-statistic
|
18.88308
|
|
Durbin-Watson stat
|
1.695481
|
Prob(F-statistic)
|
0.000000
|
|
|
|
|
|
|
Inverted AR Roots
|
.77
|
-.65 -.38i
|
-.65+.38i
|
|
|
|
|
|
|
|
