3

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2016 /2015 :
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...
 :

. :

Dans la nouvelle économie celle de l’économie du savoir et du numérique, on

observe de plus en plus, l’émergence des technologies, des communications qui
contribuent énormément pour la formation et l’innovation des nouvelles idées. C’est
dans ce contexte le concept de technologie et système d’information a vu le jour pour
améliorer les Marchés des valeurs mobilières. Voilà pourquoi notre problématique
envisage de mette en lumière l’importance du système numérique pour que les
Marchés des valeurs mobilières soit des marchées numérique attaché à un bon
développement, des marchées innovatrice et créatrice de richesse.

Mot-clé : les Marchés des valeurs mobilières, l’efficacité, la technologie de

l’information, la performance.
 :

In the new economy of the knowledge economy and digital technology, there is a
growing, emerging technology, communications that contribute greatly to the training
and innovation of new ideas. In this context the concept of technology and
information system was created to improve the Securities markets. That is why our
problem is considering would highlight the importance of digital system for the
Securities markets to a digital markets is committed to a healthy development, an
innovative and creative wealth.

Keywords: Securities markets, efficiency, information technology, performance.

:
 :

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analaysts journal vol 58 N° 2 Mach -April 2002 p86.

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Xt = 20 – 21 Yt + 21 Yt-1 + 22 Xt-1 + xt…………………(2)

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60
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1
RÉGIS BOURBONNAIS, MICHEL TERRAZA, Analyse des series temporelles en économie.(Paris: presses
universitaires de France, 1er édition, 1999) p 79-80.

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62
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ITC 1.000000 0.043320 0.860019 -0.093134 0.451305

RM 0.043320 1.000000 0.187787 -0.295100 -0.396708
VT 0.860019 0.187787 1.000000 -0.004593 0.535979
VM -0.093134 -0.295100 -0.004593 1.000000 0.538789
IM 0.451305 -0.396708 0.535979 0.538789 1.000000
EVIEWS8 :

: .II
(0.007)
(-0.37)
(0.59) (0.62)

(-0.56) (-0.09)
(-0.67)
.(-0.25) (-0.51)
.(0.94)
:(07 )

IM ITC RM VM VT

IM 1.000000 0.007281 -0.372225 0.627594 0.598739

ITC 0.007281 1.000000 -0.097351 -0.568740 -0.679761
RM -0.372225 -0.097351 1.000000 -0.519113 -0.251862
VM 0.627594 -0.568740 -0.519113 1.000000 0.941189
VT 0.598739 -0.679761 -0.251862 0.941189 1.000000
EVIEWS88 :

. :

67
 :

2009
.2015
: -1

:
. (08)
(Y) ( X)
RM= + ITC+ (ITC) (RM)
RM=F(ITC)
VT= + ITC+ (ITC) (VT)
VT=F(ITC)
VM= + ITC+ (ITC) (VM)
VM=F(ITC)
IM= + ITC+ (ITC) (IM)
IM=F(ITC)
. :
Y
: XI

:
:y t

t 210 :

:
: .2
H0 (yi) (xi)
H1.
:
:

68
 :

H0 : 0 1 = 2 = ………. k =0.
H1 : i : i 0
:T-student .3

:
: =0
: 0
:

:
% (n-k)
:
| |> -

. | |< -
: .1
RM= + ITC+
:
. :(09)

RM =0.56+0.217ITC
Prob 0.92 0.92
T stat 0.095 0.096
R2 =0.0018 2
R = 0.19 F =0.009 DW = 1.01

eviews8 :

69
 :

T STUDENT
2 DW = 1.01 %5
1
.H0 .
:
. :(10)
RM =1.60-0.11ITC
Prob 0.43 0.83
T stat 0.84 - 0.21
R2 =0.009 2
R = -0.18 F =0.04 DW = 0.54

eviews8 :
T STUDENT
2 DW = 0.54 %5
2
.H0 .
: .2
:
VT= + ITC+
:
. :(11)
VT =-1753.47+761.36 ITC
Prob 0.022 0.013
T stat -3.26 3.76
R2 =0.73 2
R = 0.68 F =14.20 DW = 2.99
eviews8 :

ITC %5 T STUDENT
3
.H1 VT ITC

(02) 1

(03) 2

(04) 3

70
 :

:
. :(12)
VT =146101.9-37594.11 ITC
Prob 0.08 0.09
T stat 2.15 -2.07
R2 =0.46 2
R = 0.35 F =4.29 DW = 1.40

eviews8 :

1
.H0 ITC %5 T STUDENT
: .3
VM= + ITC+
:
. :(13)

VM =184.60-18.27 ITC
Prob 0.84 0.46
T stat 0.79 -0.20
2 2
R =-0.18 R = 0.008 F =0.043 DW = 0.67

eviews8 :
T STUDENT
2 DW = 0.67 %5
2
.H0 .
:
. :(14)

VM =103718-20373.79 ITC
Prob 0.08 0.18
T stat 2.1 -1.5
2 2
R =0.32 R = 0.18 F =2.39 DW = 1.20

eviews8 :

(05) 1

(06) 2

71
 :

T STUDENT
2 DW = 1.20 %5
1
.H0 .
: .4
IM= + ITC+
:
. :(15)
IM =44.86+16.38 ITC
Prob 0.30 0.29
T stat 1.16 1.13
R2 =0.2 2
R = 0.04 F =1.27 DW = 1.65
eviews8 :
%5 T STUDENT
2 DW = 1.65
2
.H0 .
:
. :(16)

IM =331.23+6.21 ITC
Prob 0.82 0.98
T stat 0.23 0.016
R2 =0.000053 2
R =- 0.19 F =0.0002 DW = 1.4
eviews8 :
T STUDENT
2 DW = 1.4 %5
3
.H0 .

(07) 1

(08) 2

(09) 3

72
 :

VAR :
: var
: .1
:
AKAIKE INFO CRITERION
SCHWARZ INFO CRITERION
HANNAN – QUINN CRITERION
T- STATISTIC (p-val=0.5)
:(17)
VARBLE AIC SIC HQ T STAT P
ITC 1 1 1 1 1
RM 1 1 1 1 1
VT 1 1 1 1 1
VM 1 1 1 1 1
IM 1 1 1 1 1
.EVIEWS88 :
:(18)
VARBLE AIC SIC HQ T STAT P
ITC 1 1 1 1 1
RM 0 0 0 0 1
VT 1 1 1 1 1
VM 1 1 1 1 1
IM 1 1 1 1 1
.EVIEWS88 :

. ADF
. ADF :ADF .2
: ADF .
:ITC
ITC =a0+ ITC(-1)+a2t+ ITC(-1)+ t

73
 :

:
itc adf : (19)

ITC =4.45-1.51ITC(-1)-0.095t+ . ITC(-1)

T stat pval 5% 1%
-6.25 0.031 -5.33 -8.23
eviews8 :
% 5 ITC
1
.H1 %5 T STUDENT
:VM
VM =a0+ VM(-1)+a2t+ VM(-1)+ t

:
vm adf :(20)
VM =299.81-3.62 VM(-1)+43.42t + 1.80 VM(-1)
T stat pval 5% 1%
-171.44 0.001 -5.33 -8.23

eviews8 :
%5 VM
2
.H1 %5 T STUDENT
. :VT
VT =a0+ VT(-1)+a2t+ VT(-1)+ t

:
VT adf :(21)
VT =933.11- 1.68 VT(-1) – 104.52t + 0.17 VT(-1)
T stat pval 5% 1%
-289.57 0.0001 -5.33 -8.23
eviews8 :
%5 VT
3
.H1 %5 T STUDENT

(10) 1

(11) 2

(12) 3

74
 :

:RM
: .I
RM =a0+ RM(-1)+a2t+ RM(-1)+ t

:
.Rm adf :(22)

RM =5.04 – 2.02 RM(-1) – 0.74t + 1.08 RM(-1)

T stat pval 5% 1%
-1.67 0.65 -5.33 -8.23

eviews8 :
T STUDENT %5 RM
1
.H0 RM(-1)
:
H0= =a2=0
Drm
.ols
. wald
:
.Rm wald :(23)

Df f stat Q3 PVAL

(2,1) 1.93 7.24 0.45

eviews8 :
H0 pval> 5 % f stat < Q3 :
.
.
: .I
:

(12) 1

75
 :

.Rm :(24)

RM =0.79 – 0.91 RM(-1)+ 0.38 RM(-1)

T stat pval 5% 1%
-1.60 0.39 -3.69 -5.60

eviews8 :
1
. =0 H0 :
H0=a0 = =0 : : .II
.
.wald
:
.Rm wald :(25)
Df f stat Q1 PVAL

(2,2) 1.48 5.18 0.31

eviews8 :
H0 5% :
.
: : .I
.Rm :(26)
RM =-0.46 RM(-1)+ 0.125 RM(-1)
T stat pval 5%
-1.37 0.14 -2.04

eviews8 :
PVAL=14.26%
2
. H0
: .I
%05 PVAL 2.96

(13) 1

(13) 2

76
 :

.1 H1
. :IM
IM =a0+ IM(-1)+a2t+ IM(-1)+ t

:
.Im adf :(27)

IM =124.63 – 1.4 IM(-1)+0.52t+ 0.1 IM(-1)

T stat pval 5%
-56 0% -5.33

eviews8 :
%5 IM
2
.H1 %5 T STUDENT
: ADF .
. :ITC .I
ITC =a0+ ITC(-1)+a2t+ ITC(-1)+ t

:
itc adf :(28)
ITC =-3.42+0.99ITC(-1)-0.07t- . ITC(-1)
T stat pval 5% 1%
0.58 0.98 -5.33 -8.23

eviews8 :
T STUDENT %5 RM
3
.H0 ITC(-1)
H0= =a2=0:
.DITC
.ols
. Wald
:

(13) 1

(14) 2

(15) 3

77
 :

.ITC wald :(29)

Df f stat Q3 PVAL

(2,1) 1.44 7.24 0.50

eviews8 :
H0 pval> 5 % f stat < Q3 :
.
1
.
: : .I
ITC =a0+ ITC(-1)+a2t+ ITC(-1)+ t

.ITC :(30)
ITC =3.28 – 0.87ITC(-1)-0.1 ITC(-1)
T stat pval 5%
-1.04 0.63 -3.69

eviews8 :
2
. =0 H0 :
H0=a0 = =0 : : .II
.
.wald
:
.ITC wald :(31)
Df f stat Q1 PVAL

(2,2) 0.55 5.18 0.64

eviews8 :
H0 5% :
3
.

(16) 1

(16) 2

(16) 3

78
 :

: .III
:
.ITC :(32)
ITC =-0.00049 ITC(-1)- 0.17 ITC(-1)
T stat pval 5%
-0.05 -2.04 0.61

eviews8 :
.((16) ) H0
: .IV
PVAL
1
.ITC H0 %05

. ITC
: .3
VT ,VM,RM
.2
: IM
.Im :(33)

ITC = 0.68ITC(-1)-0.02IM(-1)+2.97….(01)
T stat 1.86 -2.36 3.17
pval 0.11 0.05 0.01
IM = 12.06ITC(-1)-0.25 IM(-1) + 78.84.…(02)
T stat 0.52 - 0.39 1.33
pval 0.61 0.70 0.22

eviews8 :
im(-1) (01)
3
IM. ITC %10

(16) 1

(17) 2

(18) 3

79
 :

(02) (02)
.
:
. Im :(34)
ITC= -0.024 IM(-1)+2.97
T stat -2.36 3.17
pval 0.05 0.01

eviews8 :

%2.4 . 0.024
.
.
:
:
: .I
:
.1

. %2.4
.2

.
.3
.
.4

80
 :

.
: .II
:
.1

.
2009 .2

.
.3
.
2011 .4

.
.5
7)
. (

81
 :

82
:
 :

84
 :

.
:

( )
.

85
:

86
:

.
:

87
:

88
:
 :
:
.1
.2007
.2
.2004
.3
.2003
.4
.2004
.5
.2006
.6
.2000
.7
.2008
.2005 .8
- - .9
.2010
- - .10
.2000
( ) .11
.2003
.12
.2003
.13
2001
.14
.2005

90
 .15
.2004
.2004 .16
.17
.2003 30-28
.18
.1998
.19
.2009
: .20
.2005
.21
.2011
.22
.2000
.23
.2014
.2009 .24
.25
.2009
:
- - .26

.2013-2012 ( )
2009-2000 .27

.2012

91
 .28

.2013
.29

.2011
.30
- -

.2014-2013
.31
" DML"
.2006/2005
:
.32

.2005 9-8 ( )
.33
"
.2003 23/22 ( ) "
.34
.2004 ( )
.35

. 2006 18-17 ( )
.36

-12 ( )
.2011 13

92
 .37

.2011 13-12 ( )
.38
- –
.2004 15-14 ( )
:
.39
( )
.75 2013
.40
– ( ) –
.02 ( )
.41
.2009 7 ( )
.42
4
.1998
: .43
. 2008 5296
– .44
( ) 07 -
.2010 -2009
.45

.2003 93 24
) .46
.2010 85 ( ) (

93
 :
.47
.2015
.2011 .48
.2013 .49
.2014 .50
.2013 .51
.2012 .52
5 ( ) .53
.2006 20 ( )
.2014 .54
60 .55
.2010
71 .56
.2012
.57
.2010 61
79 .58
.2014
.2015-2009 .59
:
http://www.sgbv.dz/ar/?page=rubrique&mod=143 .60
http://esm.sca.ae/Arabic/Pages/AboutESM.aspx: .61
: .62
http://www.bahrainbourse.net/bhb/about_us_ar.asp?page=about_us&sec=History
http://www.dse.sy/user/?page=about_market 2016 .63
: .64
http://www.ase.com.jo/ar/%D8%A8%D9%88%D8%B1%D8%B5%D8%A9-
%D8%B9%D9%85%D8%A7%D9%86
.65
http://www.qe.com.qa/pps/qe/qe%20arabic%20portal/Pages/About%20QE/About%20

94
 :
Les ouvrages :
1. jACK JOHNSTON, JOHN DINARDO, méthode économétriques, traduit par Bernard
Guerrien (Paris : économica 4em édition 1999 ),
2. James d .hamilton , time series analasis, united kingdom, rpincton university press, 1994.
3. Mitchell Conover Jerold R.Jensen Robert R. Johnson ; Emerging markers when are the
Worth It? fnancial analaysts journal vol 58 N° 2 Mach -April 2002.
4. Régis bourbonnais, économétrie : cours et exercice courrigé, paris dunod, 3eme édition
2000.
5. RÉGIS BOURBONNAIS, MICHEL TERRAZA, Analyse des series temporelles en
économie.(Paris: presses universitaires de France, 1er édition, 1999.
6. Robert Reix système d’information et management des organisation libraire Vuibert
Paris France 1995.
Les thèses :
66. Daniel Salgado Lemos technologie de l’information et de la communication coordination
des réseaux pour le développement durable des zones enclavées thèse en master of science
institue agronomique méditerranéen de Montpelier n° 59 juillet 2001.

95
:
 :01
PIB ( ) TX % INF % INDX ( ) VM ( ) VT ( )

2009 23,8 5,5 -0,7 405,5 31889 13641

2010 26,4 2,3 5 392,8 30904 9449,2
2011 28,9 2,6 4,4 345,3 27210 4025,8
2012 31 2,7 4,5 353,9 27000 2748,28
2013 33,6 2,8 4,8 369,6 25770 4269,8
2014 35,9 3,1 2,9 397 25500 3192,4
2015 38,2 2,9 0,2 204,5 24361,1 1549,4
2009 254,8 -3,2 1,6 444,3 138296 66005
2010 278,4 3,2 0,9 666,3 131773 25061
2011 348,6 4,9 0,9 574,9 120360 15407
2012 373,4 7,2 0,7 642,3 127170 19294,95
2013 387,2 4,3 1,1 1151,9 187590 66609,8
2014 399,5 4,6 2,3 1211,9 198300 143335,7
2009 23 3,1 2,8 170 16263 473
2010 25,7 4,1 2 110,8 20060 285,6
2011 29 2,1 -0,4 905,1 16590 276,6
2012 30,8 3,6 2,8 85,34 15540 584,8
2013 32,9 5,3 3,3 97,6 18460 599,12
2014 33,9 4,5 2,7 107,6 21090 714,4
2015 30,9 3,4 2 57,1 19920 835
2009 43,4 3,1 3,5 63,8 9237 1360
2010 44 3,1 4,4 95,8 10610 2664,6
2011 46 -1,9 3,5 85,2 9650 1098,2
2012 45,2 3,7 5,1 79,08 8870 1217,16
2013 47 2,3 5,8 71,19 8590 876,6
2014 48,6 2,3 4,9 73,83 9280 798,05
2015 44,3 1 5 83,57 8896,4 202
2009 137,2 -2,4 5,7 85,7 91 162
2010 161,1 3,3 3,9 74,4 106,1 161,5
2011 199,5 2,83 4,5 94,76 135,6 613
2012 209 2,6 8,9 90,31 127,2 279
2013 209,7 2,8 3,3 90,16 124,7 263,2
2014 213,5 3,8 2,9 91,02 185,13 225,5
2015 175,1 3 4,2 91,5 186 144,8
2009 429,1 0,1 5,1 291,5 318750 337041
2010 526,8 4,1 5,4 332 353400 202449
2011 669,5 8,75 3,7 312,7 338870 293022,9
2012 734 5,4 2,9 311,44 373420 514484,9
2013 744,3 2,7 3,5 391,05 467430 365244,2
2014 746,2 3,5 2,7 422,63 483440 572403,2
2015 632,1 3,4 2,1 740,41 444418 746850
2009 60 4,6 11,3 185,9 3033 1006
2010 71,8 6,5 13 146,7 2446 1018
2011 69,7 -1,15 18,2 150,11 2012 118,7
2012 62,6 -3,4 35,6 106,85 2130 120,1
2013 66,6 3,9 36,5 130,35 3200 128,49
2014 74,8 3,6 36,9 123,21 6600 256,91
2015 84,3 3,5 19,8 273,93 10566,9 263,39
2009 35,1 4,5 4,5 176,6 2377 500
2010 38 10,2 4 156,9 2450 451,2
2011 42,7 12,4 2,9 155,9 2780 365,6
2012 11,2 6,3 2,8 152,2 2840 271,25
2013 12,4 2,2 1,7 178,9 3250 340,8
2014 12,7 -0,4 1,7 181,06 3190 353,92
2015 13 2,9 1,6 118,16 3055 486
2009 106 -5,2 4 381,3 93824 103772
2010 119,8 3,4 4,1 283,1 126750 43675,4
2011 160,6 10,2 4,9 237,45 106270 21960,3
2012 174,1 7,7 3,2 246,36 103350 25777,3
2013 175,8 0,8 2,7 415,18 109240 39141,5
2014 172,6 0,1 2,9 399,04 101050 21077,6
2015 123,2 1,2 3,3 330,3 895362 25615
2009 35,1 8,5 1,2 142,8 12843 1038
2010 38 7,5 4,5 229,7 12680 1871
2011 40,1 2 7,2 178,5 10290 515
2012 44,1 2,8 6,6 173,1 10420 383,04
2013 47,6 2,5 4,8 168,6 10550 343,6
2014 50 2 1,9 176,4 11220 606,71
2015 54,4 2 0,1 104,5 11023 160,2
2009 188,5 4,7 11,7 218,4 91092 81173
2010 218,4 5,1 11,4 299,3 84110 55826
2011 235,4 1,8 11,1 82,86 48680 24422,4
2012 262,3 2,2 8,7 107,36 61620 30449,4
2013 271,4 2,1 6,9 121,6 61690 23222,1
2014 286,4 2,2 10,1 143,3 69930 26433,6
2015 298,4 4,2 11 182,98 57361 81090
2009 90,5 4,9 1 446 74186 16226
2010 90,7 3,7 1 583 69390 14249,6
2011 99,2 5 0,9 500,12 60090 8282,72
2012 98,3 3 1,3 400,1 52610 7082,54
2013 107,2 4,7 1,9 393,5 54500 7314,69
2014 110 2,4 0,4 406,84 54470 5783,57
2015 103,1 4,9 1,5 372,17 49072,6 4205
2009 97,8 12 -4,9 369 8793 25317
2010 125,1 16,6 -2,4 631 123640 18451,4
2011 169,8 13,02 1,9 604,8 125600 21287,3
2012 190,3 4,9 1,9 567,6 126300 19410,6
2013 201,9 4,6 3,1 669,3 152600 20567,4
2014 210,1 4 3 1031,34 185830 54720,7
2015 192,1 4,7 1,6 11465,2 166187 43185
2009 48,4 1,1 3,5 111,5 23616 5905
2010 58,6 4,1 3,3 305,3 28310 3207,6
2011 69,5 4,1 4 252 26210 2571,4
2012 75,4 5,8 2,9 257,8 30300 2663,4
2013 77 4,7 1,2 343,2 36800 5735,6
2014 77,8 2,9 1 350 37820 5896,1
2015 60,2 4,4 0,4 645,5 38403 8145
 . :(02)
Variable Coefficient Std. Error t-Statistic Prob.
C 0.566770 5.953925 0.095193 0.9279
ITC 0.217391 2.242153 0.096956 0.9265
R-squared 0.001877 Mean dependent var 1.142857
Adjusted R-squared -0.197748 S.D. dependent var 0.921696
S.E. of regression 1.008720 Akaike info criterion 3.090197
Sum squared resid 5.087578 Schwarz criterion 3.074743
Log likelihood -8.815691 Hannan-Quinn criter. 2.899186
F-statistic 0.009401 Durbin-Watson stat 1.018396
Prob(F-statistic) 0.926527

. :(03)
Variable Coefficient Std. Error t-Statistic Prob.
C 1.601111 1.899568 0.842882 0.4377
ITC -0.111111 0.508003 -0.218721 0.8355
R-squared 0.009477 Mean dependent var 1.185714
Adjusted R-squared -0.188627 S.D. dependent var 0.089974
Sum squared resid 0.048111 Schwarz criterion -1.586301
Log likelihood 7.497963 Hannan-Quinn criter. -1.761858
F-statistic 0.047839 Durbin-Watson stat 0.547036
Prob(F-statistic) 0.835515

. :(04)
Variable Coefficient Std. Error t-Statistic Prob.
C -1753.471 536.4519 -3.268645 0.0222
ITC 761.3636 202.0192 3.768769 0.0130
R-squared 0.739632 Mean dependent var 264.1429
Adjusted R-squared 0.687559 S.D. dependent var 162.5975
S.E. of regression 90.88619 Akaike info criterion 12.09205
Sum squared resid 41301.50 Schwarz criterion 12.07660
Log likelihood -40.32217 Hannan-Quinn criter. 11.90104
F-statistic 14.20362 Durbin-Watson stat 2.993824
Prob(F-statistic) 0.013039

. :(05)
Variable Coefficient Std. Error t-Statistic Prob.
C 146101.9 67830.92 2.153914 0.0838
ITC -37594.11 18140.08 -2.072433 0.0930
R-squared 0.462075 Mean dependent var 5553.686
Adjusted R-squared 0.354490 S.D. dependent var 4359.725
S.E. of regression 3502.761 Akaike info criterion 19.39545
Sum squared resid 61346675 Schwarz criterion 19.37999
Log likelihood -65.88406 Hannan-Quinn criter. 19.20444
F-statistic 4.294978 Durbin-Watson stat 1.401941
Prob(F-statistic) 0.092952

. :(06)
Variable Coefficient Std. Error t-Statistic Prob.
C 184.6076 232.0272 0.795629 0.4623
ITC -18.27619 87.37773 -0.209163 0.8426
R-squared 0.008674 Mean dependent var 136.1757
Adjusted R-squared -0.189591 S.D. dependent var 36.04185
S.E. of regression 39.31027 Akaike info criterion 10.41580
Sum squared resid 7726.485 Schwarz criterion 10.40035
Log likelihood -34.45532 Hannan-Quinn criter. 10.22479
F-statistic 0.043749 Durbin-Watson stat 0.675239
Prob(F-statistic) 0.842576
 . :(07)
Variable Coefficient Std. Error t-Statistic Prob.
C 103718.0 49272.71 2.104979 0.0892
ITC -20373.79 13177.04 -1.546158 0.1827
R-squared 0.323465 Mean dependent var 27549.16
Adjusted R-squared 0.188158 S.D. dependent var 2823.928
S.E. of regression 2544.423 Akaike info criterion 18.75615
Sum squared resid 32370434 Schwarz criterion 18.74070
Log likelihood -63.64653 Hannan-Quinn criter. 18.56514
F-statistic 2.390604 Durbin-Watson stat 1.202991
Prob(F-statistic) 0.182733

. :(08)
Variable Coefficient Std. Error t-Statistic Prob.
C 44.84042 38.47784 1.165357 0.2964
ITC 16.38636 14.49014 1.130863 0.3094
R-squared 0.203676 Mean dependent var 88.26429
Adjusted R-squared 0.044411 S.D. dependent var 6.668718
S.E. of regression 6.518953 Akaike info criterion 6.822261
Sum squared resid 212.4838 Schwarz criterion 6.806807
Log likelihood -21.87791 Hannan-Quinn criter. 6.631250
F-statistic 1.278851 Durbin-Watson stat 1.655172
Prob(F-statistic) 0.309420

. :(09)
Variable Coefficient Std. Error t-Statistic Prob.
C 331.2378 1428.250 0.231919 0.8258
ITC 6.218391 381.9581 0.016280 0.9876
R-squared 0.000053 Mean dependent var 354.4857
Adjusted R-squared -0.199936 S.D. dependent var 67.32989
S.E. of regression 73.75424 Akaike info criterion 11.67431
Sum squared resid 27198.44 Schwarz criterion 11.65886
Log likelihood -38.86009 Hannan-Quinn criter. 11.48330
F-statistic 0.000265 Durbin-Watson stat 1.408226

itc adf :(10)

Augmented Dickey-Fuller test statistic -6.253413 0.0311
Test critical values: 1% level -8.235570
5% level -5.338346
10% level -4.187634
ITC(-1) -1.511516 0.241711 -6.253413 0.1009
D(ITC(-1)) 0.475041 0.217899 2.180094 0.2738
C 4.454872 0.668293 6.666041 0.0948
@TREND("2009") -0.095529 0.029683 -3.218286 0.1918
R-squared 0.979374 Mean dependent var 0.006000
Adjusted R-squared 0.917496 S.D. dependent var 0.264821
S.E. of regression 0.076066 Akaike info criterion -2.323874
Sum squared resid 0.005786 Schwarz criterion -2.636323
Log likelihood 9.809684 Hannan-Quinn criter. -3.162458
F-statistic 15.82749 Durbin-Watson stat 3.361190
Prob(F-statistic) 0.182229
 .vm adf :(11)

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -171.4431 0.0001
Test critical values: 1% level -8.235570
5% level -5.338346
10% level -4.187634

Variable Coefficient Std. Error t-Statistic Prob.

VM(-1) -3.623889 0.021138 -171.4431 0.0037
D(VM(-1)) 1.801093 0.014901 120.8689 0.0053
C 299.8173 1.734676 172.8376 0.0037
@TREND("2009") 43.42095 0.250423 173.3904 0.0037
R-squared 0.999975 Mean dependent var 15.48000
Adjusted R-squared 0.999898 S.D. dependent var 29.16912
S.E. of regression 0.293919 Akaike info criterion 0.379538
Sum squared resid 0.086388 Schwarz criterion 0.067088
Log likelihood 3.051155 Hannan-Quinn criter. -0.459046
F-statistic 13131.63 Durbin-Watson stat 3.163781

.VT adf :(12)

Augmented Dickey-Fuller test statistic -289.5791 0.0001
Test critical values: 1% level -8.235570
5% level -5.338346
10% level -4.187634
Variable Coefficient Std. Error t-Statistic Prob.
VT(-1) -1.688039 0.005829 -289.5791 0.0022
D(VT(-1)) 0.179621 0.003758 47.80271 0.0133
C 933.1199 2.501485 373.0264 0.0017
@TREND("2009") -104.5206 0.440487 -237.2841 0.0027
R-squared 0.999995 Mean dependent var -3.340000
Adjusted R-squared 0.999978 S.D. dependent var 284.4011
S.E. of regression 1.324790 Akaike info criterion 3.390946
Sum squared resid 1.755068 Schwarz criterion 3.078497
Log likelihood -4.477366 Hannan-Quinn criter. 2.552362
F-statistic 61447.62 Durbin-Watson stat 2.706150
Prob(F-statistic) 0.002965
.Rm adf :(13)
Augmented Dickey-Fuller test statistic -1.676053 0.6536
Test critical values: 1% level -8.235570
5% level -5.338346
10% level -4.187634

Variable Coefficient Std. Error t-Statistic Prob.

RM(-1) -2.029079 1.210629 -1.676053 0.3425
D(RM(-1)) 1.082596 0.850925 1.272258 0.4241
C 5.044776 4.199276 1.201344 0.4419
@TREND("2009") -0.744649 0.722901 -1.030084 0.4906
R-squared 0.794984 Mean dependent var -0.220000
Adjusted R-squared 0.179936 S.D. dependent var 1.116692
S.E. of regression 1.011247 Akaike info criterion 2.850807
Sum squared resid 1.022620 Schwarz criterion 2.538357
Log likelihood -3.127017 Hannan-Quinn criter. 2.012223
F-statistic 1.292556 Durbin-Watson stat 2.993513
Prob(F-statistic) 0.556152
 13

Variable Coefficient Std. Error t-Statistic Prob.

C 5.044776 4.199276 1.201344 0.4419
RM(-1) -2.029079 1.210629 -1.676053 0.3425
@TREND -0.744649 0.722901 -1.030084 0.4906
DRM(-1) 1.082596 0.850925 1.272258 0.4241
R-squared 0.794984 Mean dependent var -0.220000
Adjusted R-squared 0.179936 S.D. dependent var 1.116692
S.E. of regression 1.011247 Akaike info criterion 2.850807
Sum squared resid 1.022620 Schwarz criterion 2.538357
Log likelihood -3.127017 Hannan-Quinn criter. 2.012223
F-statistic 1.292556 Durbin-Watson stat 2.993513
Prob(F-statistic) 0.556152
13

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.652260 0.3952
Test critical values: 1% level -5.604618
10% level -2.982813
Variable Coefficient Std. Error t-Statistic Prob.
RM(-1) -0.916175 0.554498 -1.652260 0.2403
D(RM(-1)) 0.381698 0.518714 0.735854 0.5384
C 0.790838 0.772789 1.023355 0.4138
R-squared 0.577447 Mean dependent var -0.220000
Adjusted R-squared 0.154894 S.D. dependent var 1.116692
S.E. of regression 1.026571 Akaike info criterion 3.174034
Sum squared resid 2.107695 Schwarz criterion 2.939697
Log likelihood -4.935085 Hannan-Quinn criter. 2.545096
F-statistic 1.366567 Durbin-Watson stat 2.449280
Prob(F-statistic) 0.422553
13

Variable Coefficient Std. Error t-Statistic Prob.

C 0.790838 0.772789 1.023355 0.4138
RM(-1) -0.916175 0.554498 -1.652260 0.2403
DRM(-1) 0.381698 0.518714 0.735854 0.5384
R-squared 0.577447 Mean dependent var -0.220000
Adjusted R-squared 0.154894 S.D. dependent var 1.116692
S.E. of regression 1.026571 Akaike info criterion 3.174034
Sum squared resid 2.107695 Schwarz criterion 2.939697
Log likelihood -4.935085 Hannan-Quinn criter. 2.545096
F-statistic 1.366567 Durbin-Watson stat 2.449280
Prob(F-statistic) 0.422553
13

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.372723 0.1426
Test critical values: 1% level -3.109582
5% level -2.043968
10% level -1.597318
Variable Coefficient Std. Error t-Statistic Prob.
RM(-1) -0.464662 0.338496 -1.372723 0.2635
D(RM(-1)) 0.125767 0.458009 0.274595 0.8015
R-squared 0.356186 Mean dependent var -0.220000
Adjusted R-squared 0.141582 S.D. dependent var 1.116692
S.E. of regression 1.034624 Akaike info criterion 3.195128
Sum squared resid 3.211342 Schwarz criterion 3.038903
Log likelihood -5.987820 Hannan-Quinn criter. 2.775836
Durbin-Watson stat 2.142966
 13

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.601264 0.0296
Test critical values: 1% level -3.563915
5% level -2.157408
10% level -1.610463
Variable Coefficient Std. Error t-Statistic Prob.
D(RM(-1),2) -2.017319 0.775515 -2.601264 0.2336
D(RM(-1),3) 0.558975 0.505226 1.106386 0.4679
R-squared 0.899814 Mean dependent var 0.433333
Adjusted R-squared 0.799627 S.D. dependent var 3.271595
S.E. of regression 1.464464 Akaike info criterion 3.835577
Sum squared resid 2.144655 Schwarz criterion 3.234652
Log likelihood -3.753365 Hannan-Quinn criter. 2.627641
Durbin-Watson stat 0.057407

.Im adf :(14)

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -56.00776 0.0001
Test critical values: 1% level -8.235570
5% level -5.338346
10% level -4.187634
Variable Coefficient Std. Error t-Statistic Prob.
IM(-1) -1.400646 0.025008 -56.00776 0.0114
D(IM(-1)) 0.100371 0.013737 7.306482 0.0866
C 124.6393 1.933259 64.47108 0.0099
@TREND("2009") 0.528208 0.081654 6.468876 0.0976
R-squared 0.999942 Mean dependent var 3.420000
Adjusted R-squared 0.999769 S.D. dependent var 9.706217
S.E. of regression 0.147562 Akaike info criterion -0.998577
Sum squared resid 0.021775 Schwarz criterion -1.311026
Log likelihood 6.496441 Hannan-Quinn criter. -1.837161
F-statistic 5768.534 Durbin-Watson stat 2.959026
Prob(F-statistic) 0.009678

.ITC adf :(15)

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 0.587882 0.9837
Test critical values: 1% level -8.235570
5% level -5.338346
10% level -4.187634

Variable Coefficient Std. Error t-Statistic Prob.

ITC(-1) 0.995335 1.693086 0.587882 0.6617

D(ITC(-1)) -1.077220 0.878402 -1.226341 0.4355
C -3.424966 6.144109 -0.557439 0.6763
@TREND("2009") -0.074623 0.060827 -1.226810 0.4354

R-squared 0.756269 Mean dependent var -0.008000

Adjusted R-squared 0.025076 S.D. dependent var 0.066858
S.E. of regression 0.066014 Akaike info criterion -2.607324
Sum squared resid 0.004358 Schwarz criterion -2.919774
Log likelihood 10.51831 Hannan-Quinn criter. -3.445908
F-statistic 1.034295 Durbin-Watson stat 2.412657
Prob(F-statistic) 0.602027
 .ITC adf :(16)

Test Statistic Value Df Probability

F-statistic 1.442683 (2, 1) 0.5073
Chi-square 2.885367 2 0.2363
Null Hypothesis: C(2)=C(3)=0
Null Hypothesis Summary:
Normalized Restriction (= 0) Value Std. Err.
C(2) 0.995335 1.693086
C(3) -0.074623 0.060827
Restrictions are linear in coefficients.

(16)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.049767 0.6387
Test critical values: 1% level -5.604618
5% level -3.694851
10% level -2.982813
Variable Coefficient Std. Error t-Statistic Prob.
ITC(-1) -0.871693 0.830369 -1.049767 0.4040
D(ITC(-1)) -0.103090 0.420394 -0.245223 0.8292
C 3.285689 3.131495 1.049240 0.4042
R-squared 0.389439 Mean dependent var -0.008000
Adjusted R-squared -0.221123 S.D. dependent var 0.066858
S.E. of regression 0.073881 Akaike info criterion -2.089010
Sum squared resid 0.010917 Schwarz criterion -2.323347
Log likelihood 8.222525 Hannan-Quinn criter. -2.717948
F-statistic 0.637837 Durbin-Watson stat 1.349916
Prob(F-statistic) 0.610561
16
Test Statistic Value df Probability
F-statistic 0.551765 (2, 2) 0.6444
Chi-square 1.103529 2 0.5759
Null Hypothesis: C(1)=C(2)=0
Null Hypothesis Summary:
Normalized Restriction (= 0) Value Std. Err.
C(1) 3.285689 3.131495
C(2) -0.871693 0.830369
16
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -0.050400 0.6199
Test critical values: 1% level -3.109582
5% level -2.043968
10% level -1.597318
Variable Coefficient Std. Error t-Statistic Prob.

ITC(-1) -0.000497 0.009870 -0.050400 0.9630

D(ITC(-1)) -0.170746 0.422348 -0.404279 0.7131

R-squared 0.053354 Mean dependent var -0.008000

Adjusted R-squared -0.262195 S.D. dependent var 0.066858
S.E. of regression 0.075113 Akaike info criterion -2.050464
Sum squared resid 0.016926 Schwarz criterion -2.206688
Log likelihood 7.126159 Hannan-Quinn criter. -2.469756
Durbin-Watson stat 1.259663
 16
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -0.495155 0.4266
Test critical values: 1% level -3.563915
5% level -2.157408
10% level -1.610463
Variable Coefficient Std. Error t-Statistic Prob.
D(DITC(-1)) -0.698879 1.411436 -0.495155 0.7073
D(DITC(-1),2) -0.236710 0.594720 -0.398019 0.7589
R-squared 0.808199 Mean dependent var -0.056667
Adjusted R-squared 0.616398 S.D. dependent var 0.150444
S.E. of regression 0.093178 Akaike info criterion -1.673883
Sum squared resid 0.008682 Schwarz criterion -2.274808
Log likelihood 4.510825 Hannan-Quinn criter. -2.881819
Durbin-Watson stat 0.670754
16
Augmented Dickey-Fuller test statistic NA 0.5000
Test critical values: 1% level -4.234491
5% level -2.349470
10% level -1.656218
Variable Coefficient Std. Error t-Statistic Prob.
D(DITC(-1),2) -1.564885 NA NA NA
D(DITC(-1),3) 0.157761 NA NA NA
R-squared 1.000000 Mean dependent var 0.125000
S.D. dependent var 0.205061 Sum squared resid 1.87E-31
Durbin-Watson stat 0.391909
RM VT VM :(17)

Coefficient Std. Error t-Statistic Prob.

C(1) 0.569869 0.533620 1.067930 0.3974
C(2) 0.014474 0.067816 0.213429 0.8508
C(3) 1.069924 1.461264 0.732191 0.5402
C(4) -5.114977 8.747738 -0.584720 0.6179
C(5) -0.710789 1.111714 -0.639364 0.5880
C(6) 14.06213 23.95478 0.587028 0.6166
R-squared 0.600863 Mean dependent var 2.622500
Adjusted R-squared -0.197413 S.D. dependent var 0.147733
S.E. of regression 0.161659 Sum squared resid 0.026134
R-squared 0.315993 Mean dependent var 0.025000
Adjusted R-squared -1.052021 S.D. dependent var 1.850000
S.E. of regression 2.650102 Sum squared resid 7.023040
Durbin-Watson stat 2.043810

17
Coefficient Std. Error t-Statistic Prob.
C(1) 0.248767 0.526535 0.472460 0.6533
C(2) -0.001021 0.003257 -0.313467 0.7645
C(3) 2.140908 1.469503 1.456892 0.1954
C(4) -61.72423 60.31947 -1.023289 0.3456
C(5) 0.689331 0.373072 1.847715 0.1142
C(6) 219.4584 168.3453 1.303620 0.2401

Determinant residual covariance 9.508556

R-squared 0.097771 Mean dependent var 2.671667

Adjusted R-squared -0.503715 S.D. dependent var 0.191146
S.E. of regression 0.234394 Sum squared resid 0.164822
Durbin-Watson stat 1.931816
R-squared 0.600395 Mean dependent var 143.7050
Adjusted R-squared 0.333992 S.D. dependent var 32.90321
S.E. of regression 26.85207 Sum squared resid 2163.101
Durbin-Watson stat 2.430300
 17

Coefficient Std. Error t-Statistic Prob.

C(1) 0.238728 1.080245 0.220994 0.8324
C(2) 1.64E-05 0.001276 0.012818 0.9902
C(3) 2.032004 2.566690 0.791683 0.4587
C(4) 540.1828 944.4311 0.571966 0.5881
C(5) -0.677886 1.115735 -0.607570 0.5657
C(6) -963.1773 2243.993 -0.429225 0.6827
Determinant residual covariance 94.36723
R-squared 0.068271 Mean dependent var 2.671667
Adjusted R-squared -0.552882 S.D. dependent var 0.191146
S.E. of regression 0.238196 Sum squared resid 0.170211
Durbin-Watson stat 1.738070
R-squared 0.111661 Mean dependent var 281.1667
Adjusted R-squared -0.480565 S.D. dependent var 171.1465
S.E. of regression 208.2485 Sum squared resid 130102.3
Durbin-Watson stat 2.184579
im :(18)
Coefficient Std. Error t-Statistic Prob.
C(1) 0.681027 0.364688 1.867421 0.1111
C(2) -0.024069 0.010175 -2.365539 0.0559
C(3) 2.971604 0.936662 3.172545 0.0193
C(4) 12.06603 22.96660 0.525373 0.6182
C(5) -0.253588 0.640775 -0.395752 0.7060
C(6) 78.84202 58.98721 1.336595 0.2298
R-squared 0.674801 Mean dependent var 2.671667
Adjusted R-squared 0.458001 S.D. dependent var 0.191146
S.E. of regression 0.140723 Sum squared resid 0.059408
Durbin-Watson stat 2.058081
R-squared 0.090859 Mean dependent var 88.69167
Adjusted R-squared -0.515235 S.D. dependent var 7.199434
S.E. of regression 8.862136 Sum squared resid 235.6123
Durbin-Watson stat 1.386055
18
Autocorrelations with 2 Std.Err. Bounds
Cor(ITC,ITC(-i)) Co r(ITC,IM(-i))
1.0 1.0

0.5 0.5

0.0 0.0

-0.5 -0.5

-1.0 -1.0
1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12

Cor(IM,ITC(-i)) Cor(IM,IM(-i))
1.0 1.0

0.5 0.5

0.0 0.0

-0.5 -0.5

-1.0 -1.0
1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12

18
Response to Cholesky One S.D. Innovations ± 2 S.E.
Res pons e of ITC to ITC Res pons e of ITC to IM
.4 .4

.2 .2

.0 .0

-.2 -.2

-.4 -.4

-.6 -.6
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Res pons e of IM to ITC Res pons e of IM to IM

15 15

10 10

5 5

0 0

-5 -5

-1 0 -1 0

-1 5 -1 5
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10