Le tri à plat

Descriptive Statistics
Variables Obs Mean Std. Min Max p1 p99 Skew. Kurt.
Dev.
td 132 43.241 34.675 6 140 8 140 1.498 4.502

ti 132 2.056 4.962 -16.008 36.34 -7.19 29.661 3.749 27.206

lbm 132 11.899 .993 9.803 13.519 9.902 13.423 -.167 1.876

ltc 132 6.234 .656 3.912 10.48 3.912 6.885 .827 18.536

Analyse de la corrélation entre les variables

| td ti lbm ltc
td | 1.0000

ti | 0.3322 1.0000
| 0.0001

lbm | -0.3070 -0.1795 1.0000

| 0.0003 0.0394
|
ltc | -0.3316 -0.2925 0.6540 1.0000
| 0.0001 0.0007 0.0000

Etude de la stationnarité des variables

 Choix du retard optimal

variables Retard optimal

td 1
ti 4
lbm 2
ltc 3

variables A niveau En différence première

DFA PP KPSS DFA PP KPSS Conclusion
td -2.226 -2.192 .904 - - .117 I(0) sc
ti -11.441  - .286 - - - I(0) d
10.960
lbm -4.246 -5.059 4.47 - - .252 I(0) tr
ltc -7.192 -8.600 2 - - .0721 I(0) tr

Détermination du nombre de décalage du modèle VAR

1
 Sample: 2001m5 - 2011m12 Number of obs = 128

+---------------------------------------------------------------------------+

|lag | LL LR df p FPE AIC HQIC SBIC |

|----+----------------------------------------------------------------------|

| 0 | -1227.55 2674.51 19.243 19.2792 19.3322 |

| 1 | -714.813 1025.5 16 0.000 1.13895 11.4815 11.6625* 11.9271* |

| 2 | -694.005 41.616* 16 0.000 1.05733* 11.4063* 11.7322 12.2085 |

| 3 | -681.93 24.149 16 0.086 1.12633 11.4677 11.9384 12.6263 |

| 4 | -673.106 17.649 16 0.345 1.26438 11.5798 12.1954 13.0949 |

+---------------------------------------------------------------------------+

Endogenous: td ti lbm ltc

Exogenous: _cons

Test de causalité de Granger

| Equation Excluded | chi2 df Prob > chi2
|
|--------------------------------------
+---------------------------|
| td ti | 11.188 2 0.004
|
| td ltc | .53604 2 0.765
|
| td lbm | .36866 2 0.832
|
| td ALL | 16.302 6 0.012
|
|--------------------------------------
+---------------------------|
| ti td | 5.9909 2 0.050
|
| ti ltc | 33.3 2 0.000
|
| ti lbm | 13.258 2 0.001
|
| ti ALL | 45.957 6 0.000
|
|--------------------------------------
+---------------------------|
| ltc td | .06562 2 0.968
|
| ltc ti | 2.2676 2 0.322
|
| ltc lbm | 19.162 2 0.000
|
| ltc ALL | 22.894 6 0.001
|
|--------------------------------------
+---------------------------|
| lbm td | 2.7912 2 0.248
|
| lbm ti | 3.2298 2 0.199

2
|
| lbm ltc | 9.1735 2 0.010
|
| lbm ALL | 16.652 6 0.011
|

. varstable, graph

Eigenvalue stability condition

+----------------------------------------+

| Eigenvalue | Modulus |

|--------------------------+-------------|

| -.9938928 | .993893 |

| .9938928 | .993893 |

| .9050204 | .90502 |

| -.9050204 | .90502 |

| -2.255e-16 + .5416931i | .541693 |

| -2.255e-16 - .5416931i | .541693 |

| .4893692 | .489369 |

| -.4893692 | .489369 |

+----------------------------------------+

All the eigenvalues lie inside the unit circle.

VAR satisfies stability condition.

. vargranger

Granger causality Wald tests

+------------------------------------------------------------------+

| Equation Excluded | chi2 df Prob > chi2 |

|--------------------------------------+---------------------------|

| td ti | 12.465 1 0.000 |

| td lbm | 1.1996 1 0.273 |

| td ltc | 1.7798 1 0.182 |

| td ALL | 16.69 3 0.001 |

|--------------------------------------+---------------------------|

| ti td | 5.8779 1 0.015 |

| ti lbm | 4.8703 1 0.027 |

3
 | ti ltc | 21.437 1 0.000 |

| ti ALL | 33.054 3 0.000 |

|--------------------------------------+---------------------------|

| lbm td | .14518 1 0.703 |

| lbm ti | .89867 1 0.343 |

| lbm ltc | 9.5231 1 0.002 |

| lbm ALL | 13.649 3 0.003 |

|--------------------------------------+---------------------------|

| ltc td | .05669 1 0.812 |

| ltc ti | 1.9186 1 0.166 |

| ltc lbm | 33.057 1 0.000 |

| ltc ALL | 35.997 3 0.000 |

+------------------------------------------------------------------+

. pwcorr

| td bm ti tc OBS lbm ltc

-------------+---------------------------------------------------------------

td | 1.0000

bm | -0.1329 1.0000

ti | 0.3322 -0.0917 1.0000

tc | -0.0845 -0.0042 -0.0814 1.0000

OBS | -0.2759 0.9424 -0.1589 -0.0071 1.0000

lbm | -0.3070 0.9233 -0.1795 -0.0078 0.9956 1.0000

ltc | -0.3316 0.5777 -0.2925 0.6211 0.6348 0.6540 1.0000

. pwcorr td ti ltc lbm

| td ti ltc lbm

-------------+------------------------------------

td | 1.0000

ti | 0.3322 1.0000

ltc | -0.3316 -0.2925 1.0000

lbm | -0.3070 -0.1795 0.6540 1.0000

. irf create myirf, set(myirfs)

(file myirfs.irf created)

4
(file myirfs.irf now active)

(file myirfs.irf updated)

. irf graph oirf, impulse (td) response (ti lbm ltc)

. irf graph oirf, impulse ( ti ) response ( td lbm ltc)

. irf graph oirf, impulse ( lbm ) response ( td ti ltc)

. irf table oirf, impulse ( lbm ) response ( td ti ltc)

Results from myirf

+------------------------------------------------------------------------------------------------
--------------------+

| | (1) (1) (1) | (2) (2) (2) | (3)

(3) (3) |

| step | oirf Lower Upper | oirf Lower Upper | oirf

Lower Upper |

|--------+-----------------------------------+-----------------------------------
+-----------------------------------|

|0 | 0 0 0 | 0 0 0 | -.043989
-.119844 .031866 |

|1 | 0 0 0 | 0 0 0 | 0 0
0 |

|2 | .286213 -.215671 .788097 | .205271 -.064593 .475135 | .011461

-.005185 .028107 |

|3 | 0 0 0 | 0 0 0 | 0 0
0 |

|4 | .519141 -.2231 1.26138 | -.005522 -.070109 .059065

| .017955 .008965 .026945 |

|5 | 0 0 0 | 0 0 0 | 0 0
0 |

|6 | .457769 -.280447 1.19599 | .018356 -.044539 .081252

| .021321 .014002 .02864 |

|7 | 0 0 0 | 0 0 0 | 0 0
0 |

|8 | .420661 -.343875 1.1852 | .000695 -.053244 .054635

| .021402 .01428 .028524 |

+------------------------------------------------------------------------------------------------
--------------------+

95% lower and upper bounds reported

(1) irfname = myirf, impulse = lbm, and response = td

5
(2) irfname = myirf, impulse = lbm, and response = ti

(3) irfname = myirf, impulse = lbm, and response = ltc

. var basic

variable basic not found

r(111);