ANNEXE
ANNEXE 1 : Trimestrialisation
Pour chaque variable Z de notre modele, nous associons une
quantite q telle que :
a = V4. Z~. (0,50. Z~_1 + 3. Zt + 0,50. Z~+1)
Dés lors, les valeurs de la variable Z au premier (Z1),
deuxiéme (Z2), troisieme (Z3) et quatriéme (Z4) trimestres
peuvent êtres estimées comme suit :
|
|
|
|
|
|
Zi = 4
|
Z t)
|
. (4_1
|
+ 0,625Zt -
|
0,6254_1)
|
|
( a
|
|
|
|
|
|
|
Z2 = 4
|
Z t)
.
( a
|
(4_1
|
+ 0,8754) -
|
0,8754_1)
|
Z2 = 4 (Z t). (Zt + 0,1254+1)
- 0,125Zt)
a
Z2 = 4 (Z t). (4 + 0,3554+1) -
0,375Zt)
a
En utilisant les techniques des series temporelles annuelles,
nous arrivons a determiner les donnees trimestrialisees.
ANNEXE 2 : Représentation d'une
formulation d'HODR1CK et PRESCOTT (1997)
Soit ST l'ensemble des séries finies
paramétrées sur l'ensemble des
indices entiers [- T, T]. Le filtre HP (A) de paramétre A
est une application de
ST dans ST qui a une série chronologique finie
XT E ST associe l'unique série YT E ST minimisant l'expression suivante
:
2
,
-
1
)
min Y T T YT
E Y = min V (x k - yk )2
+ë E ( yk+1 - 2y +
y
k k
k- T
k- T
Oa encore selon C. G1ORNO, P. R1CHARD SON, D. RO SEVEARE et P.
VAN DEN NOORD (1995) :
T T
( InY - InYt* )
2 +ëE
* * *
[ InY InY
+ - ) (
- InY In
*
( - ) ]
t 1 t t t - 1
2
ANNEXE 3
Date: 09/27/11 Time: 22:50
Sample: 2000Q1 2010Q4 Included observations: 42 Series: IT ITR
INF LOGY TCER Lags interval: 1 to 1
Selected
(0.05 level*)
Number of
Cointegrating
Relations by
Model
|
Data Trend:
|
None
|
None
|
Linear
|
Linear
|
Quadratic
|
|
Test Type
Trace
Max-Eig
|
No Intercept
No Trend
3
3
|
Intercept
No Trend
3
3
|
Intercept
No Trend
3
3
|
Intercept
Trend
2
2
|
Intercept
Trend
2
3
|
|
Log
Likelihood by
Rank (rows)
and
Model
(columns)
|
|
|
|
|
|
0
|
-156.6906
|
-156.6906
|
-154.7001
|
-154.7001
|
-152.1800
|
|
1
|
-132.3353
|
-132.3141
|
-131.5000
|
-117.7613
|
-115.9242
|
|
2
|
-118.9352
|
-115.0542
|
-114.2479
|
-100.2098
|
-98.37497
|
|
3
|
-109.9833
|
-102.3633
|
-101.5570
|
-87.36438
|
-85.53436
|
|
4
|
-106.6194
|
-98.17066
|
-97.58868
|
-83.33312
|
-82.02747
|
|
5
|
-105.9550
|
-96.46054
|
-96.46054
|
-81.39467
|
-81.39467
|
|
Akaike
|
|
|
|
|
|
Information
|
|
|
|
|
|
Criteria by
|
|
|
|
|
|
Rank (rows)
and Model
|
|
|
|
|
|
(columns)
|
|
|
|
|
|
0
|
8.651932
|
8.651932
|
8.795242
|
8.795242
|
8.913333
|
|
1
|
7.968346
|
8.014959
|
8.166669
|
7.560061
|
7.663056
|
|
2
|
7.806438
|
7.716868
|
7.821329
|
7.248086
|
7.303570
|
|
3
|
7.856349
|
7.636349
|
7.693192
|
7.160209*
|
7.168303
|
|
4
|
8.172354
|
7.960507
|
7.980413
|
7.492053
|
7.477498
|
|
5
|
8.616907
|
8.402883
|
8.402883
|
7.923556
|
7.923556
|
|
Schwarz
|
|
|
|
|
|
Criteria by
|
|
|
|
|
|
Rank (rows)
and Model
|
|
|
|
|
|
(columns)
|
|
|
|
|
|
0
|
9.686259
|
9.686259
|
10.03643
|
10.03643
|
10.36139
|
|
1
|
9.416404
|
9.504390
|
9.821592
|
9.256357*
|
9.524845
|
|
2
|
9.668227
|
9.661404
|
9.889984
|
9.399486
|
9.579090
|
|
3
|
10.13187
|
10.03599
|
10.17558
|
9.766713
|
9.857554
|
|
4
|
10.86160
|
10.81525
|
10.87653
|
10.55366
|
10.58048
|
|
5
|
11.71989
|
11.71273
|
11.71273
|
11.44027
|
11.44027
|
| 
