ANNEXES
ANNEXES 3 : résultats des estimations et test
de validation
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Date: 07/24/05 Time: 13:14
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Sample(adjusted): 1972 2003
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Included observations: 32 after adjusting endpoints
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Trend assumption: No deterministic trend
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Series: DBP IPF PRH
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Lags interval (in first differences): 1 to 1
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Unrestricted Cointegration Rank Test
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Hypothesized
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Trace
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5 Percent
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1 Percent
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No. of CE(s)
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Eigenvalue
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Statistic
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Critical Value
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Critical Value
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None
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0.260778
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11.14384
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24.31
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29.75
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At most 1
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0.044681
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1.474834
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12.53
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16.31
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At most 2
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0.000379
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0.012115
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3.84
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6.51
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*(**) denotes rejection of the hypothesis at the 5%(1%)
level
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Trace test indicates no cointegration at both 5% and 1%
levels
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Method: Least Squares
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Date: 07/21/05 Time: 11:46
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Sample(adjusted): 1975 2002
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Included observations: 28 after adjusting endpoints
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Convergence achieved after 15 iterations
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Newey-West HAC Standard Errors & Covariance (lag
truncation=3)
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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D(LOG(IPF))
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0.107282
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0.050923
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2.106730
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0.0494
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D(LOG(PRH))
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0.002161
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0.077636
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0.027840
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0.9781
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TCRE
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-2.075139
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0.539634
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-3.845454
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0.0012
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C
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0.181314
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0.042870
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4.229432
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0.0005
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INFL
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-2.348638
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0.598107
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-3.926787
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0.0010
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D(LOG(PRH(-1)))
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0.208895
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0.049707
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4.202540
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0.0005
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D(LOG(IPF(-1)))
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-0.060772
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0.032468
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-1.871765
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0.0776
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AR(1)
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-1.046933
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0.136297
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-7.681241
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0.0000
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AR(2)
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-0.993087
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0.235064
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-4.224747
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0.0005
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AR(3)
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-0.619111
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0.265611
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-2.330890
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0.0316
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R-squared
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0.602178
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Mean dependent var
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0.010650
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Adjusted R-squared
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0.403268
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S.D. dependent var
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0.245088
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S.E. of regression
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0.189327
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Akaike info criterion
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-0.218228
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Sum squared resid
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0.645205
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Schwarz criterion
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0.257559
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Log likelihood
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13.05520
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F-statistic
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3.027379
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Durbin-Watson stat
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2.039324
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Prob(F-statistic)
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0.021746
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Inverted AR Roots
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-.13 -.88i
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-.13+.88i
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-.79
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White Heteroskedasticity Test:
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F-statistic
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0.549261
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Probability
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0.849503
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Obs*R-squared
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8.547569
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Probability
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0.741011
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Test Equation:
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Dependent Variable: RESID^2
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Method: Least Squares
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Date: 07/26/05 Time: 10:50
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Sample: 1975 2002
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Included observations: 28
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Newey-West HAC Standard Errors & Covariance (lag
truncation=3)
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Date: 07/24/05 Time: 13:39
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Sample(adjusted): 1972 2003
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Included observations: 32 after adjusting endpoints
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Trend assumption: No deterministic trend
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Series: FB CRI INSTA IPF PRH
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Lags interval (in first differences): 1 to 1
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Unrestricted Cointegration Rank Test
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Hypothesized
|
|
Trace
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5 Percent
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1 Percent
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|
No. of CE(s)
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Eigenvalue
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Statistic
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Critical Value
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Critical Value
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None
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0.422889
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42.61377
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59.46
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66.52
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At most 1
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0.303502
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25.02272
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39.89
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45.58
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At most 2
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0.285725
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13.44863
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24.31
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29.75
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At most 3
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0.080271
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2.681056
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12.53
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16.31
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At most 4
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0.000107
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0.003421
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3.84
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6.51
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*(**) denotes rejection of the hypothesis at the 5%(1%)
level
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Trace test indicates no cointegration at both 5% and 1%
levels
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Dependent Variable: D(LOG(FB))
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Method: Least Squares
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Date: 07/07/05 Time: 19:15
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Sample(adjusted): 1993 2003
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Included observations: 11 after adjusting endpoints
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Convergence achieved after 12 iterations
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Newey-West HAC Standard Errors & Covariance (lag
truncation=2)
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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LOG(INSTA)
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-0.047331
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0.008102
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-5.841781
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0.0281
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D(LOG(IPF))
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-0.062008
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0.004956
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-12.51219
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0.0063
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D(LOG(PRH))
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-0.663499
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0.089027
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-7.452776
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0.0175
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D(LOG(CRI))
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0.022462
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0.002617
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8.581704
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0.0133
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TDRE
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0.514929
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0.044019
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11.69778
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0.0072
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C
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-0.114341
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0.005520
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-20.71316
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0.0023
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AR(3)
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-0.119872
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0.034805
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-3.444102
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0.0749
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AR(1)
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-1.544709
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0.073251
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-21.08794
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0.0022
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AR(2)
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-0.858790
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0.103917
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-8.264228
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0.0143
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R-squared
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0.999630
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Mean dependent var
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-0.076426
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Adjusted R-squared
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0.998149
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S.D. dependent var
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0.086877
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S.E. of regression
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0.003738
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Akaike info criterion
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-8.409076
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Sum squared resid
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2.79E-05
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Schwarz criterion
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-8.083525
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Log likelihood
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55.24992
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F-statistic
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675.0753
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Durbin-Watson stat
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1.868593
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Prob(F-statistic)
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0.001480
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Inverted AR Roots
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-.21
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-.67+.37i
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-.67 -.37i
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White Heteroskedasticity Test:
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F-statistic
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4.134383
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Probability
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0.365372
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Obs*R-squared
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10.71211
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Probability
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0.295959
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Test Equation:
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Dependent Variable: RESID^2
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Method: Least Squares
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Date: 07/26/05 Time: 10:53
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Sample: 1993 2003
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Included observations: 11
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Newey-West HAC Standard Errors & Covariance (lag
truncation=2)
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