KHADIJA THIAM MSC2 202688

DEVOIR D’ECONOMETRIE

EXO1

Dependent Variable: CREDIT_AGRICOLE

Method: Least Squares
Date: 02/04/11 Time: 11:34
Sample: 1 60
Included observations: 60
Variable Coefficient Std. Error t-Statistic Prob.
C -12.14795 1.515671 -8.014895 0.0000
CAC40 0.006438 0.000331 19.42710 0.0000
R-squared 0.866793 Mean dependent var 16.64100
Adjusted R-squared 0.864496 S.D. dependent var 6.695464
S.E. of regression 2.464657 Akaike info criterion 4.674747
Sum squared resid 352.3229 Schwarz criterion 4.744559
Log likelihood -138.2424 F-statistic 377.4121
Durbin-Watson stat 0.215928 Prob(F-statistic) 0.000000

Prob=0.000 < à 5% ce qui veut dire que c’est significatif

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KHADIJA THIAM MSC2 202688

EXERCICE 2

Dependent Variable: AIRLI

Method: Least Squares
Date: 02/03/11 Time: 11:25
Sample(adjusted): 1 10
Included observations: 10 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 0.070076 0.032268 2.171698 0.0617
S_P01 0.262188 0.142497 1.839954 0.1031
R-squared 0.297348 Mean dependent var 0.102540
Adjusted R-squared 0.209516 S.D. dependent var 0.096091
S.E. of regression 0.085434 Akaike info criterion -1.905289
Sum squared resid 0.058392 Schwarz criterion -1.844772
Log likelihood 11.52644 F-statistic 3.385430
Durbin-Watson stat 1.245937 Prob(F-statistic) 0.103053

29% de la variation d’airli est expliquée par une variation du S&P

20,9% de la variation corrigée d’airli est expliquée par la variation du S&P

Prob=0,1031>0,05 donc ce n’est pas significatif

Estimation de la prime de risque

Dependent Variable: ALSTOM

Method: Least Squares
Date: 02/04/11 Time: 11:59
Sample: 1 10
Included observations: 10
Variable Coefficient Std. Error t-Statistic Prob.
C 0.019704 0.150487 0.130933 0.8991
S_P01 1.482040 0.664565 2.230092 0.0563
R-squared 0.383349 Mean dependent var 0.203210
Adjusted R-squared 0.306268 S.D. dependent var 0.478372
S.E. of regression 0.398438 Akaike info criterion 1.174329
Sum squared resid 1.270026 Schwarz criterion 1.234846
Log likelihood -3.871645 F-statistic 4.973309
Durbin-Watson stat 1.758615 Prob(F-statistic) 0.056289

Dependent Variable: CAC

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KHADIJA THIAM MSC2 202688

Method: Least Squares

Date: 02/04/11 Time: 12:00
Sample: 1 10
Included observations: 10
Variable Coefficient Std. Error t-Statistic Prob.
C 0.059847 0.073685 0.812204 0.4402
S_P01 0.493883 0.325400 1.517771 0.1675
R-squared 0.223575 Mean dependent var 0.121000
Adjusted R-squared 0.126521 S.D. dependent var 0.208745
S.E. of regression 0.195093 Akaike info criterion -0.253823
Sum squared resid 0.304491 Schwarz criterion -0.193306
Log likelihood 3.269116 F-statistic 2.303630
Durbin-Watson stat 0.991274 Prob(F-statistic) 0.167550

Dependent Variable: MICH

Method: Least Squares
Date: 02/04/11 Time: 12:02
Sample: 1 10
Included observations: 10
Variable Coefficient Std. Error t-Statistic Prob.
C -0.012177 0.066737 -0.182466 0.8598
S_P01 1.310670 0.294716 4.447230 0.0021
R-squared 0.712001 Mean dependent var 0.150110
Adjusted R-squared 0.676001 S.D. dependent var 0.310425
S.E. of regression 0.176696 Akaike info criterion -0.451910
Sum squared resid 0.249773 Schwarz criterion -0.391393
Log likelihood 4.259551 F-statistic 19.77786
Durbin-Watson stat 1.500938 Prob(F-statistic) 0.002147

Dependent Variable: SED

Method: Least Squares
Date: 02/04/11 Time: 12:03
Sample: 1 10
Included observations: 10
Variable Coefficient Std. Error t-Statistic Prob.
C -0.081070 0.081010 -1.000739 0.3463
S_P01 1.083910 0.357747 3.029824 0.0163
R-squared 0.534338 Mean dependent var 0.053140
Adjusted R-squared 0.476130 S.D. dependent var 0.296338
S.E. of regression 0.214486 Akaike info criterion -0.064285
Sum squared resid 0.368035 Schwarz criterion -0.003768
Log likelihood 2.321425 F-statistic 9.179836
Durbin-Watson stat 2.509912 Prob(F-statistic) 0.016314

Dependent Variable: TOTAL

Method: Least Squares
Date: 02/04/11 Time: 12:03
Sample: 1 10

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KHADIJA THIAM MSC2 202688

Included observations: 10
Variable Coefficient Std. Error t-Statistic Prob.
C -0.007986 0.261284 -0.030563 0.9764
S_P01 1.299108 1.153852 1.125888 0.2929
R-squared 0.136780 Mean dependent var 0.152870
Adjusted R-squared 0.028877 S.D. dependent var 0.702000
S.E. of regression 0.691790 Akaike info criterion 2.277787
Sum squared resid 3.828585 Schwarz criterion 2.338304
Log likelihood -9.388936 F-statistic 1.267624
Durbin-Watson stat 1.403457 Prob(F-statistic) 0.292852

 LES BETA

BETA AIRLI=0.262188

BETA ALSTOM=1.482040

BETA CAC=0.493883

BETA MICH=1.310670

BETA SED=1.083910

BETA TOTAL=1.299108

 LES RENDEMENTS MOYENS

TITRES AIRLI ALSTOM CAC MICH SED TOTAL

Mean 0.102540 0.203210 0.121000 0.150110 0.053140 0.152870

Median 0.109450 0.089350 0.151750 0.172400 -0.014700 -0.007250
Maximum 0.224300 1.064200 0.365700 0.696800 0.475100 1.868200
Minimum -0.075800 -0.350500 -0.272100 -0.424600 -0.427100 -0.742700
Std. Dev. 0.096091 0.478372 0.208745 0.310425 0.296338 0.702000
Skewness -0.376469 0.595288 -0.580605 -0.103842 0.011412 1.433777
Kurtosis 2.214175 2.044446 2.313975 2.755084 1.804984 4.778101

Jarque-Bera 0.493515 0.971064 0.757933 0.042965 0.595244 4.743545

Probability 0.781330 0.615370 0.684569 0.978746 0.742582 0.093315

Observations 10 10 10 10 10 10

AIRLI= 0.102540

ALSTOM=0.203210

CAC= 0.121000

MICH= 0.150110

SED= 0.053140

TOTAL= 0.152870

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KHADIJA THIAM MSC2 202688

Dependent Variable: RMOY

Method: Least Squares
Date: 02/04/11 Time: 12:22
Sample(adjusted): 1 6
Included observations: 6 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 0.076592 0.047578 1.609802 0.1827
COEF 0.054506 0.043770 1.245279 0.2810
R-squared 0.279373 Mean dependent var 0.130478
Adjusted R-squared 0.099216 S.D. dependent var 0.051046
S.E. of regression 0.048447 Akaike info criterion -2.955481
Sum squared resid 0.009389 Schwarz criterion -3.024894
Log likelihood 10.86644 F-statistic 1.550719
Durbin-Watson stat 1.822694 Prob(F-statistic) 0.280997

LA PRIME=0.054506

LE TAUX SANS RISQUE=0.076592

LEUR SOMME( 0.054506+0.076592) 0.131098 REPRESENTE L’ESPERANCE.

EXERCICE 3
 EN -1

Dependent Variable: TX_EPARGNE01

Method: Least Squares
Date: 02/04/11 Time: 11:00
Sample(adjusted): 2 61
Included observations: 60 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 1.025120 0.431854 2.373767 0.0209
TX_EPARGNE01(-1) 0.839712 0.068555 12.24880 0.0000
R-squared 0.721198 Mean dependent var 6.238333
Adjusted R-squared 0.716391 S.D. dependent var 1.064224
S.E. of regression 0.566752 Akaike info criterion 1.734975
Sum squared resid 18.63005 Schwarz criterion 1.804786
Log likelihood -50.04925 F-statistic 150.0331
Durbin-Watson stat 2.052441 Prob(F-statistic) 0.000000

C=1.025120

TAUX D’EPARGNE(-1)=0.839712

AKAIKE(-1)=1.734975

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KHADIJA THIAM MSC2 202688

 EN -2

Dependent Variable: TX_EPARGNE01

Method: Least Squares
Date: 02/04/11 Time: 11:03
Sample(adjusted): 3 61
Included observations: 59 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 0.982239 0.461193 2.129779 0.0376
TX_EPARGNE01(-1) 0.807164 0.134288 6.010707 0.0000
TX_EPARGNE01(-2) 0.039524 0.133758 0.295492 0.7687
R-squared 0.717046 Mean dependent var 6.255932
Adjusted R-squared 0.706941 S.D. dependent var 1.064517
S.E. of regression 0.576276 Akaike info criterion 1.785049
Sum squared resid 18.59726 Schwarz criterion 1.890686
Log likelihood -49.65893 F-statistic 70.95609
Durbin-Watson stat 1.953037 Prob(F-statistic) 0.000000

C=0.982239

TAUX D’EPARGNE=0.039524

AKAIKE=1.785049

 EN -3

Dependent Variable: TX_EPARGNE01

Method: Least Squares
Date: 02/04/11 Time: 11:07
Sample(adjusted): 4 61
Included observations: 58 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 1.286542 0.448839 2.866374 0.0059
TX_EPARGNE01(-1) 0.828243 0.125197 6.615512 0.0000
TX_EPARGNE01(-2) 0.368584 0.160402 2.297875 0.0255
TX_EPARGNE01(-3) -0.403288 0.125947 -3.202044 0.0023
R-squared 0.762488 Mean dependent var 6.265517
Adjusted R-squared 0.749293 S.D. dependent var 1.071243
S.E. of regression 0.536379 Akaike info criterion 1.658520
Sum squared resid 15.53592 Schwarz criterion 1.800619
Log likelihood -44.09708 F-statistic 57.78556
Durbin-Watson stat 2.093100 Prob(F-statistic) 0.000000

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KHADIJA THIAM MSC2 202688

C=1.286542

TAUX D’EPARGNE=-0.403288

AKAIKE=1.658520

 EN -4

Dependent Variable: TX_EPARGNE01

Method: Least Squares
Date: 02/04/11 Time: 11:10
Sample(adjusted): 5 61
Included observations: 57 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 1.514696 0.496102 3.053198 0.0036
TX_EPARGNE01(-1) 0.779230 0.137034 5.686411 0.0000
TX_EPARGNE01(-2) 0.419140 0.169929 2.466556 0.0170
TX_EPARGNE01(-3) -0.295087 0.169868 -1.737153 0.0883
TX_EPARGNE01(-4) -0.147299 0.144629 -1.018461 0.3132
R-squared 0.766942 Mean dependent var 6.275439
Adjusted R-squared 0.749015 S.D. dependent var 1.078074
S.E. of regression 0.540098 Akaike info criterion 1.689499
Sum squared resid 15.16870 Schwarz criterion 1.868714
Log likelihood -43.15071 F-statistic 42.78018
Durbin-Watson stat 1.896035 Prob(F-statistic) 0.000000

C=1.514696

TAUX D’EPARGNE=-0.147299

AKAIKE=1.689499

CORRELOGRAMME

Date: 02/04/11 Time: 11:16

Sample: 1 61
Included observations: 61
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
. |****** | . |****** | 1 0.837 0.837 44.834 0.000
. |***** | .|. | 2 0.707 0.024 77.409 0.000
. |**** | ***| . | 3 0.492 -0.353 93.433 0.000
. |** | .*| . | 4 0.297 -0.130 99.387 0.000
. |** | . |** | 5 0.202 0.307 102.18 0.000
. |*. | .|. | 6 0.118 0.015 103.15 0.000
. |*. | . |*. | 7 0.140 0.101 104.53 0.000
. |*. | . |*. | 8 0.174 0.070 106.72 0.000
. |** | .*| . | 9 0.204 -0.063 109.79 0.000
. |** | .*| . | 10 0.211 -0.118 113.15 0.000
. |*. | .|. | 11 0.170 -0.023 115.37 0.000
. |*. | .*| . | 12 0.074 -0.170 115.79 0.000
.|. | .|. | 13 -0.008 0.055 115.80 0.000
.*| . | .*| . | 14 -0.125 -0.096 117.09 0.000

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KHADIJA THIAM MSC2 202688

.*| . | . |** | 15 -0.141 0.198 118.74 0.000

.*| . | .|. | 16 -0.146 -0.010 120.57 0.000
.*| . | .*| . | 17 -0.134 -0.169 122.13 0.000
.*| . | .*| . | 18 -0.095 -0.087 122.94 0.000
.*| . | **| . | 19 -0.149 -0.211 124.96 0.000
.*| . | .|. | 20 -0.165 0.004 127.50 0.000
**| . | .*| . | 21 -0.260 -0.071 133.98 0.000
**| . | . |*. | 22 -0.315 0.085 143.77 0.000
***| . | **| . | 23 -0.398 -0.227 159.82 0.000
***| . | .|. | 24 -0.439 -0.007 179.88 0.000
***| . | .|. | 25 -0.440 -0.035 200.56 0.000
***| . | .|. | 26 -0.417 -0.047 219.67 0.000
**| . | . |** | 27 -0.304 0.259 230.14 0.000
**| . | . |*. | 28 -0.208 0.068 235.16 0.000

Nous constatons que L’ AKAIKE (-3) est plus faible, ce qui prouve que c’est un modèle à 3 retards.

AR(2)