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Fondamentaux du taux de change réel et mésalignements du franc CFA dans l'UEMOA

( Télécharger le fichier original )
par Kwami Ossadzifo WONYRA
Université de Lomé Togo - Master en économie internationale 2012
  

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Annexes

ANNEXE 1 : Résultats des tests de racine unitaire en panel sous Eviews 7

Panel unit root test: Summary 

 

Series: D(LBC)

 
 

Date: 12/10/11 Time: 10:20

 

Sample: 1984 2010

 
 

Exogenous variables: Individual effects, individual linear trends

User-specified lags: 1

 
 

Newey-West automatic bandwidth selection and Bartlett kernel

Balanced observations for each test 

 
 
 
 
 
 
 
 
 
 
 
 
 
 

Cross-

 

Method

Statistic

Prob.**

sections

Obs

Null: Unit root (assumes common unit root process) 

Levin, Lin & Chu t*

-6.17890

 0.0000

 7

 168

Breitung t-stat

-3.82736

 0.0001

 7

 161

 
 
 
 
 

Null: Unit root (assumes individual unit root process) 

Im, Pesaran and Shin W-stat 

-7.10548

 0.0000

 7

 168

ADF - Fisher Chi-square

 70.6214

 0.0000

 7

 168

PP - Fisher Chi-square

 432.809

 0.0000

 7

 175

 
 
 
 
 
 
 
 
 
 

** Probabilities for Fisher tests are computed using an asymptotic Chi

        -square distribution. All other tests assume asymptotic normality.

Panel unit root test: Summary 

 

Series: D(LGOUV)

 
 

Date: 12/10/11 Time: 10:12

 

Sample: 1984 2010

 
 

Exogenous variables: None

 
 

User-specified lags: 1

 
 

Newey-West automatic bandwidth selection and Bartlett kernel

Balanced observations for each test 

 
 
 
 
 
 
 
 
 
 
 
 
 
 

Cross-

 

Method

Statistic

Prob.**

Sections

Obs

Null: Unit root (assumes common unit root process) 

Levin, Lin & Chu t*

-11.2131

 0.0000

 7

 168

 
 
 
 
 

Null: Unit root (assumes individual unit root process) 

ADF - Fisher Chi-square

 124.757

 0.0000

 7

 168

PP - Fisher Chi-square

 264.459

 0.0000

 7

 175

 
 
 
 
 
 
 
 
 
 

** Probabilities for Fisher tests are computed using an asymptotic Chi

        -square distribution. All other tests assume asymptotic normality.

Panel unit root test: Summary 

 

Series: D(LINV)

 
 

Date: 12/10/11 Time: 10:05

 

Sample: 1984 2010

 
 

Exogenous variables: None

 
 

User-specified lags: 1

 
 

Newey-West automatic bandwidth selection and Bartlett kernel

Balanced observations for each test 

 
 
 
 
 
 
 
 
 
 
 
 
 
 

Cross-

 

Method

Statistic

Prob.**

sections

Obs

Null: Unit root (assumes common unit root process) 

Levin, Lin & Chu t*

-11.0383

 0.0000

 7

 168

 
 
 
 
 

Null: Unit root (assumes individual unit root process) 

ADF - Fisher Chi-square

 121.700

 0.0000

 7

 168

PP - Fisher Chi-square

 276.858

 0.0000

 7

 175

 
 
 
 
 
 
 
 
 
 

** Probabilities for Fisher tests are computed using an asymptotic Chi

        -square distribution. All other tests assume asymptotic normality.

Panel unit root test: Summary 

 

Series: D(LOUV)

 
 

Date: 12/10/11 Time: 09:57

 

Sample: 1984 2010

 
 

Exogenous variables: Individual effects, individual linear trends

User-specified lags: 1

 
 

Newey-West automatic bandwidth selection and Bartlett kernel

Balanced observations for each test 

 
 
 
 
 
 
 
 
 
 
 
 
 
 

Cross-

 

Method

Statistic

Prob.**

sections

Obs

Null: Unit root (assumes common unit root process) 

Levin, Lin & Chu t*

-6.78052

 0.0000

 7

 168

Breitung t-stat

-4.48796

 0.0000

 7

 161

 
 
 
 
 

Null: Unit root (assumes individual unit root process) 

Im, Pesaran and Shin W-stat 

-6.60651

 0.0000

 7

 168

ADF - Fisher Chi-square

 65.1881

 0.0000

 7

 168

PP - Fisher Chi-square

 225.300

 0.0000

 7

 175

 
 
 
 
 
 
 
 
 
 

** Probabilities for Fisher tests are computed using an asymptotic Chi

        -square distribution. All other tests assume asymptotic normality.

Panel unit root test: Summary 

 

Series: LPROD

 
 

Date: 12/10/11 Time: 09:45

 

Sample: 1984 2010

 
 

Exogenous variables: Individual effects, individual linear trends

User-specified lags: 1

 
 

Newey-West automatic bandwidth selection and Bartlett kernel

Balanced observations for each test 

 
 
 
 
 
 
 
 
 
 
 
 
 
 

Cross-

 

Method

Statistic

Prob.**

sections

Obs

Null: Unit root (assumes common unit root process) 

Levin, Lin & Chu t*

-4.64167

 0.0000

 7

 175

Breitung t-stat

-7.62524

 0.0000

 7

 168

 
 
 
 
 

Null: Unit root (assumes individual unit root process) 

Im, Pesaran and Shin W-stat 

-3.46625

 0.0003

 7

 175

ADF - Fisher Chi-square

 34.9128

 0.0015

 7

 175

PP - Fisher Chi-square

 63.8712

 0.0000

 7

 182

 
 
 
 
 
 
 
 
 
 

** Probabilities for Fisher tests are computed using an asymptotic Chi

        -square distribution. All other tests assume asymptotic normality.

Panel unit root test: Summary 

 

Series: D(LTCRE)

 
 

Date: 12/10/11 Time: 09:34

 

Sample: 1984 2010

 
 

Exogenous variables: None

 
 

User-specified lags: 1

 
 

Newey-West automatic bandwidth selection and Bartlett kernel

Balanced observations for each test 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Method

Statistic

Prob.**

sections

Obs

Null: Unit root (assumes common unit root process) 

Levin, Lin & Chu t*

-9.09716

 0.0000

 7

 168

 
 
 
 
 

Null: Unit root (assumes individual unit root process) 

ADF - Fisher Chi-square

 102.907

 0.0000

 7

 168

PP - Fisher Chi-square

 166.956

 0.0000

 7

 175

 
 
 
 
 
 
 
 
 
 

** Probabilities for Fisher tests are computed using an asymptotic Chi

        -square distribution. All other tests assume asymptotic normality.

Panel unit root test: Summary Series: D(LTCRE)Date: 12/10/11 Time: 11:44Sample: 1984 2010Exogenous variables: Individual effects, individual linear trendsUser-specified lags: 1Newey-West automatic bandwidth selection and Bartlett kernelBalanced observations for each test Cross-MethodStatisticProb.**sectionsObsNull: Unit root (assumes common unit root process) Levin, Lin & Chu t*-4.01081 0.0000 6 144Breitung t-stat-4.57734 0.0000 6 138Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -4.93073 0.0000 6 144ADF - Fisher Chi-square 45.3630 0.0000 6 144PP - Fisher Chi-square 103.060 0.0000 6 150** Probabilities for Fisher tests are computed using an asymptotic Chi        -square distribution. All other tests assume asymptotic normality.

 

ANNEXE 2: Résultats du test du cointégration des séries

Kao Residual Cointegration Test

 

Series: LTCRE LTDE LPROD LOUV LINV LGOUV LBC 

 

Date: 12/10/11 Time: 10:27

 
 

Sample: 1984 2010

 
 

Included observations: 189

 
 

Null Hypothesis: No cointegration

 

Trend assumption: No deterministic trend

 

User-specified lag length: 1

 
 

Newey-West automatic bandwidth selection and Bartlett kernel

 
 
 
 
 
 
 
 
 
 
 
 
 

t-Statistic

Prob.

ADF

 
 

-3.075414

 0.0011

 
 
 
 
 
 
 
 
 
 

Residual variance

 0.001395

 

HAC variance

 

 0.000934

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

ANNEXE 3 : Résultats des estimations de la relation entre le taux de change réel et ses fondamentaux à l'aide du logiciel STATA 11

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