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Identification des fonctions de réaction de la Banque Centrale

( Télécharger le fichier original )
par Roi Carlos ETINZOH EKAMBA
Université de Douala - Diplôme d'études approfondies 2011
  

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ANNEXES

ESTIMATIONS DES MODELES
CHAPITRE 2
: ESTIMATIONS DE LA REGLE TRADITIONNELLE DE TAYLOR

POUR LA BEAC

PERIODE 1993 :1 A 2008 :4
Long terme

Dependent Variable: TIAO Method: Least Squares

Date: 09/30/10 Time: 11:51

Sample: 1993:1 2008:4

Included observations: 64 TIAO=C(1)+C(2)*OPG+C(3)*EICEMAC

 
 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

C(2)

C(3)

7.122491
0.005874
0.072304

0.238819 29.82381

0.037526 0.156529

0.089728 0.805815

0.0000
0.8761
0.4235

R-squared

0.011320

Mean dependent var

7.000516

Adjusted R-squared

-0.021096

S.D. dependent var

1.466314

S.E. of regression

1.481699

Akaike info criterion

3.669997

Sum squared resid

133.9214

Schwarz criterion

3.771195

Log likelihood

-114.4399

F-statistic

0.349219

Durbin-Watson stat

0.121209

Prob(F-statistic)

0.706639

Court terme

Dependent Variable: TIAO1

Method: Least Squares

Date: 09/30/10 Time: 12:24

Sample(adjusted): 1993:2 2008:4

Included observations: 63 after adjusting endpoints TIAO1=C(1)*OPG1+C(2)*EICEMAC1+C(3)*YT

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

C(2)

C(3)

0.012109 -0.323498 -0.021494

0.014723 0.822438

0.036647 -8.827363

0.026528 -0.810258

0.4141
0.0000
0.4210

R-squared

0.595016

Mean dependent var

-0.091270

Adjusted R-squared

0.581516

S.D. dependent var

0.441671

S.E. of regression

0.285718

Akaike info criterion

0.378828

Sum squared resid

4.898100

Schwarz criterion

0.480882

Log likelihood

-8.933073

F-statistic

44.07696

Durbin-Watson stat

2.019975

Prob(F-statistic)

0.000000

PERIODE 1999 :1 A 2008 :4
Long terme

Dependent Variable: TIAO Method: Least Squares

Date: 09/30/10 Time: 14:35

Sample: 1999:1 2008:4

Included observations: 40 TIAO=C(1)+C(2)*OPG+C(3)*EICEMAC

 
 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

C(2)

C(3)

4.200843 0.010501 -0.841308

0.582909 7.206686

0.021864 0.480262

0.247321 -3.401681

0.0000
0.6339
0.0016

R-squared

0.245683

Mean dependent var

6.151250

Adjusted R-squared

0.204909

S.D. dependent var

0.761670

S.E. of regression

0.679165

Akaike info criterion

2.136132

Sum squared resid

17.06680

Schwarz criterion

2.262798

Log likelihood

-39.72265

F-statistic

6.025493

Durbin-Watson stat

0.107989

Prob(F-statistic)

0.005429

TEST DE STATIONNARITE DU RESIDU (ET) ISSU DE L'ESTIMATION DE LONG TERME

ADF Test Statistic -2.878557 1% Critical Value* -4.2242

5% Critical Value -3.5348

10% Critical Value -3.1988

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(ET)

Method: Least Squares

Date: 09/30/10 Time: 14:40

Sample(adjusted): 1999:4 2008:4

Included observations: 37 after adjusting endpoints

Variable

Coefficient

Std. Error t-Statistic

Prob.

ET(-1)

-0.322501

0.112036 -2.878557

0.0071

D(ET(-1))

0.434122

0.176984 2.452896

0.0198

D(ET(-2))

0.304418

0.180334 1.688082

0.1011

C

0.284605

0.146485 1.942889

0.0609

@TREND(1999:1)

-0.014816

0.006825 -2.170807

0.0375

R-squared

0.300283

Mean dependent var

-0.031037

Adjusted R-squared

0.212818

S.D. dependent var

0.212073

S.E. of regression

0.188158

Akaike info criterion

-0.377980

Sum squared resid

1.132911

Schwarz criterion

-0.160288

Log likelihood

11.99263

F-statistic

3.433192

Durbin-Watson stat

1.920704

Prob(F-statistic)

0.019166

Le résidu n'étant pas stationnaire, on s'arrête ici et il n'est pas question de tester le court terme.

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