Analyse des déterminants de la sur liquidité bancaire dans l'UEMOA.

ANNEXES

ANALYSE DES DETERMINANTS DE LA SURLIQUIDITE BANCAIRE DANS L'UEMOA

Annexe 1: Tests économétriques

Test de Fischer

. ^{xtreg rem2 dav dat txt exp dummy,fe}

^{Fixed-effects (within) regression Number of obs} = ¹⁹⁶

^{Group variable: code Number of groups} = ⁷

^{R-sq: within} = ^{0.5880 Obs per group: min} = ²⁸

^between = ^{0.0777 avg} = ^28.0

^overall = ^{0.4223 max} = ²⁸

^F(5,184) = ^52.52

^{corr(u_i, Xb)} = ^{-0.2447 Prob} > ^F = ^0.0000

^{Coef. Std. Err. t P>|t| [95% Conf. Interval]}

^rem2

^{dav dat txt exp}

^{.0425635 .0146717 2.90 0.004 .013617 .07151}

^{.2799292 .0305356 9.17 0.000 .2196843 .3401742}

^dummy

^_cons

^.06672601

^.06841039

^{.48753764 (fraction of variance due to u_i)}

^sigma_u

^sigma_e

^rho

^{F test that all u_i=0: F(6, 184)} = ^{17.09 Prob} > ^F = ^0.0000

Réalisé par OUONOGO Souleymane 58

ANALYSE DES DETERMINANTS DE LA SURLIQUIDITE BANCAIRE DANS L'UEMOA

Test de Breusch et Pagan (LM-test) : le modèle à effets aléatoires

. ^{xtreg rem2 dav dat txt exp dummy,re}

^{Random-effects GLS regression Number of obs} = ¹⁹⁶

^{Group variable: code Number of groups} = ⁷

^{R-sq: within} = ^{0.5868 Obs per group: min} = ²⁸

^between = ^{0.1098 avg} = ^28.0

^overall = ^{0.4639 max} = ²⁸

^{Wald chi2(5)} = ^262.74

^{corr(u_i, X)} = ^{0 (assumed) Prob} > ^chi2 = ^0.0000

^{Coef. Std. Err. z P>|z| [95% Conf. Interval]}

^{-1.23e-07 9.59e-08 -1.28 0.199 -3.11e-07 6.48e-08}

^{1.63e-07 9.94e-08 1.64 0.101 -3.17e-08 3.58e-07}

^{-.2410555 .0229031 -10.52 0.000 -.2859448 -.1961662}

^{-.0000162 .000013 -1.25 0.211 -.0000417 9.21e-06}

^{.0412391 .014601 2.82 0.005 .0126218 .0698565}

^{.2678552 .0371942 7.20 0.000 .1949559 .3407545}

^dav

^sigma_u

^dat

^sigma_e

^.06292411

^.06841039

^{.45829941 (fraction of variance due to u_i)}

^txt

^exp

^dummy

^rem2

^_cons

Breusch and Pagan Lagrangianmultiplier test for randomeffects

rem2[code,t] = Xb + u[code] + e[code,t]

^rho

Estimated results:

| Varsd = sqrt(Var)

+
rem2 | 0, 0138854 0, 1178363

e | 0,00468 0,0684104

u | 0,0039594 0,0629241

Test: Var(u) = 0 chibar2(01) = 250,82 Prob> chibar2 = 0,0000

Réalisé par OUONOGO Souleymane 59

ANALYSE DES DETERMINANTS DE LA SURLIQUIDITE BANCAIRE DANS L'UEMOA

Test d'Hausman

^Coefficients

^{(b) (B) (b-B) sqrt(diag(V_b-V_B))}

^eq1 .

^{Difference S.E.}

^dav

^dat

^txt

^exp

^dummy

^{-1.07e-07 -1.23e-07 1.67e-08 1.51e-08}

^{1.57e-07 1.63e-07 -6.41e-09 1.30e-08}

^{-.2455846 -.2410555 -.004529 .0047355}

^{-.0000271 -.0000162 -.0000108 8.54e-06}

^{.0425635 .0412391 .0013244 .0014394}

^b = ^{consistent under Ho and Ha; obtained from xtreg B} = ^{inconsistent under Ha, efficient under Ho; obtained from xtreg}

^{Test: Ho: difference in coefficients not systematic}

^chi2(3) = ^{(b-B)'[(V_b-V_B)A(-1)](b-B)}

= ^2.20

^Prob>chi2 = ^0.5324

Réalisé par OUONOGO Souleymane 60

ANALYSE DES DETERMINANTS DE LA SURLIQUIDITE BANCAIRE DANS L'UEMOA

Test d'hétéroscédasticité

. ^{xtgls rem2 dav dat txt exp dummy,panel (hetero)}

^{Cross-sectional time-series FGLS regression}

^{Coefficients: generalized least squares}

^{Panels: heteroskedastic}

^{Correlation: no autocorrelation}

^Estimated covariances = ^Estimated autocorrelations =			^7 ^0 ^6		^Number of obs ^Number of groups ^Wald chi2(5) ^Prob > ^chi2			= =
				^z			=
	^-2.44e-07	^8.63e-08		^-2.82		^0.005	^-4.13e-07
^rem2	^Coef. ^2.48e-07	^Std. Err. ^8.94e-08		^2.78		^P>|z| ^0.005	^7.31e-08
	^-.2030084	^.0251287		^-8.08		^0.000	^-.2522596
^dav	^6.38e-06	^6.56e-06		^0.97		^0.331	^-6.48e-06
^dat	^.0473158	^.0164051		^2.88		^0.004	^.0151623
^txt ^exp	^.2159936	^.0287288		^7.52		^0.000	^.1596863

^172.77

^0.0000

^{[95% Conf. Interval]}

^-7.46e-08

^4.23e-07

^-.1537571

^.0000192

^.0794693

^.272301

Réalisé par OUONOGO Souleymane 61

ANALYSE DES DETERMINANTS DE LA SURLIQUIDITE BANCAIRE DANS L'UEMOA

Test de RAMSEY des erreurs

. ^{quietly reg rem2 dav dat txt exp dummy,robust}

. ^ovtest

^{Ramsey RESET test using powers of the fitted values of rem2}

^{Ho: model has no omitted variables}

^{F(3, 187)} = ^5.84

^Prob > ^F = ^0.0008

Réalisé par OUONOGO Souleymane 62

Réalisé par OUONOGO Souleymane 63

ANALYSE DES DETERMINANTS DE LA SURLIQUIDITE BANCAIRE DANS L'UEMOA

Test d'autocorrélation des erreurs

. ^{xtregar rem2 dav dat txt exp dummy,fe lbi}

^{FE (within) regression with AR(1) disturbances Number of obs} = ¹⁸⁹

^{Group variable: code Number of groups} = ⁷

^R-sq: within = ^0.3153 ^between = ^0.3498
^overall = ^0.4269
^corr(u_i, Xb) = ^0.0554
	^-9.98e-08
^rem2	^Coef. ^1.32e-07
	^-.1511343
^dav	^3.65e-07
^dat	^.0825436
^txt	^.1467485
^exp ^dummy
^_cons
^rho_ar	^.62140122

^{Obs per group: min} = ²⁷

^avg = ^27.0

^max = ²⁷

^F(5,177) = ^16.30

^Prob > ^F = ^0.0000

^{Std. Err. t P>|t| [95% Conf. Interval]}

^{7.20e-08 -1.39 0.168 -2.42e-07 4.24e-08}

^{8.07e-08 1.64 0.103 -2.68e-08 2.92e-07}

^{.0272805 -5.54 0.000 -.2049712 -.0972973}

^{.0000246 0.01 0.988 -.0000483 .000049}

^{.0189599 4.35 0.000 .0451271 .1199601}

^{.0093105 15.76 0.000 .1283745 .1651224}

^.77584666

^sigma_u

^.05690094

^sigma_e

^.04441432

^{(fraction of variance because of u_i)}

^{F test that all u_i=0: F(6,177)} = ^{2.65 Prob} > ^F = ^0.0174

^rho_fov

^{modified Bhargava et al. Durbin-Watson} = .^52853967

.

^{Baltagi-Wu LBI} = .^64533895

Réalisé par OUONOGO Souleymane 64

ANALYSE DES DETERMINANTS DE LA SURLIQUIDITE BANCAIRE DANS L'UEMOA

Test d'endogénéité :

	^(b) ^eq1	^(B)	^(b-B) ^Difference
	^-2.41e-07	^-2.41e-07	^-5.88e-21
	^2.32e-07	^2.32e-07	^6.75e-21
	^-.2541704	^-.2541704	^1.11e-16
	^7.21e-06	^7.21e-06
	.^0382232	^Coefficients ^.0382232	^2.29e-16

.

^{sqrt(diag(V_b-V_B))}

^S.E.

^1.45e-14

^1.40e-14

^6.59e-10

.

⁰

^b = ^{consistent under Ho and Ha; obtained from ivreg}

^dav

^dat

^txt

^exp

^dummy

^B = ^{inconsistent under Ha, efficient under Ho; obtained from regress}

^{Test: Ho: difference in coefficients not systematic}

^-1.56e-19

^chi2(3) = ^{(b-B)'[(V_b-V_B)A(-1)](b-B)}

^0.00

^Prob>chi2 = ^1.0000

^{(V_b-V_B is not positive definite)}

ANALYSE DES DETERMINANTS DE LA SURLIQUIDITE BANCAIRE DANS L'UEMOA

Estimation du Modèle par les Moindre Carrés Généralisés

^{Cross-sectional time-series FGLS regression}

^{Coefficients: generalized least squares}

^{Panels: heteroskedastic}

^{Correlation: no autocorrelation}

^{Estimated covariances} = ⁷

^{Estimated autocorrelations} = ⁰

^{Estimated coefficients} = ⁶

^Number of obs
^Number of groups
	=
^Wald chi2(5)	=
^Time periods ^Prob > ^chi2	=

¹⁹⁶

⁷

²⁸

^172.77

^0.0000

=

^{rem2 Coef. Std. Err. z P>|z| [95% Conf. Interval]}

^dav

^dat

^txt

^exp

^{-2.44e-07 8.63e-08 -2.82 0.005 -4.13e-07 -7.46e-08}

^{2.48e-07 8.94e-08 2.78 0.005 7.31e-08 4.23e-07}

^{-.2030084 .0251287 -8.08 0.000 -.2522596 -.1537571}

^{6.38e-06 6.56e-06 0.97 0.331 -6.48e-06 .0000192}

^dummy

^_cons

^{.0473158 .0164051 2.88 0.004 .0151623 .0794693}

^{.2159936 .0287288 7.52 0.000 .1596863 .272301}

Réalisé par OUONOGO Souleymane 65

ANALYSE DES DETERMINANTS DE LA SURLIQUIDITE BANCAIRE DANS L'UEMOA