Modèle 2 :

ΔPIBTi = (C0 + ΔINVT + ΔARV + ΔDTIV+ ΔCSTE) + [PIB +INVT +

ARV + DTIV CSTE] + X + 
Test de Cointégration

Le tableau suivant présente les résultats du test de cointégration.

Les résultats du test, au regard de la valeur AIC la plus minimale (AIC = -8,914), 1
vecteurs cointégrant pour un VECM avec tendance linéaire, soit la 4ème
spécification parmi les cinq spécifications disponibles.

Tableau : Synthèse du test de cointégration de Johansen

Maximum rank Trace Statistic Critical value 5%
0 75.45632* 63.87610
1 38.77444 42.91525
2 24.28169 25.87211
3 10.10500 12.51798
Source : auteur, 2022
Les statistiques calculées de la trace et la valeur propre maximale sont inférieures
aux valeurs critiques au seuil de 5% pour le rang de cointégration égale à 1, ce qui
traduit l’existence d’une relation de long terme. Ainsi, nous pouvons estimer un
VECM.
Tableau : Résultats de l’estimation de la relation de long terme
Long terme
Variables coefficients T-Statistic Prob
LOGINVT 0,076*** 4,771 0,016
LOGCSTE 0,132*** 9,115 0,014
LOGARV 0,316** 8,578 0,036
DTIV 3,032** 0,978 0,033
C -9,777
Court terme
γ -0,077* 0,118 0,065
D(PIBT) 0,295 0,467 0,632
D(LOGINVT) 0,021** 0,523 0,041
D(LOGCSTE) 0,034* 0,487 0,071
D(LOGARV) 0,043 0,423 0,102
DDTIV 0,090* 1,339 0,067
C 0,071** 1,450 0,049
R2=0,667 -- F-tatistic = 0,347 -- Observation=20
Source : auteur, 2022
Test de validation du modèle ou post estimation

Les principaux tests de validation du modèle se résume dans le tableau suivant :

Test de validation Probabilité associée à F-Statistic

Test d’autocorrélation 0,113
Test d’hétéroscédasticité 0,418
Test de causalité 0,600
Test de normalité 0.021
Source : auteur, 2022

Test de stabilité su modèle

Commentaire :

ANNEXES

Test de stationnarité des variables

- A niveau

Null Hypothesis: LN_DTIV_ has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.995859 0.5665

Test critical
values: 1% level -4.532598
5% level -3.673616
10% level -3.277364

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 19

A en différence première

Null Hypothesis: D(LN_DTIV_) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.093668 0.0242

Test critical
values: 1% level -4.571559
5% level -3.690814
10% level -3.286909

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 18

A niveau

Null Hypothesis: LN_CSTE_ has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.051742 0.1498

Test critical
values: 1% level -4.667883
5% level -3.733200
10% level -3.310349

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 16

En difference première

Null Hypothesis: D(LN_CSTE_) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.048143 0.0007

Test critical
values: 1% level -4.571559
5% level -3.690814
10% level -3.286909

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 18

A niveau

Null Hypothesis: LN_DTIV_ has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.995859 0.5665

Test critical
values: 1% level -4.532598
5% level -3.673616
10% level -3.277364

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 19

En difference première

Null Hypothesis: D(LN_DTIV_) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.093668 0.0242

Test critical
values: 1% level -4.571559
5% level -3.690814
10% level -3.286909

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 18

A niveau
Null Hypothesis: LN_INVT_ has a unit root
Exogenous: None
Lag Length: 3 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 1.094166 0.9206

Test critical
values: 1% level -2.717511
5% level -1.964418
10% level -1.605603

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 16

En difference première

Null Hypothesis: D(LN_INVT_) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 2 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.963372 0.0338

Test critical
values: 1% level -4.667883
5% level -3.733200
10% level -3.310349
*MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 16

A niveau

Null Hypothesis: LN_PIBT_ has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.585099 0.2899

Test critical
values: 1% level -4.667883
5% level -3.733200
10% level -3.310349

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 16

En difference première

Null Hypothesis: D(LN_PIBT_) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.828113 0.0391

Test critical
values: 1% level -4.571559
5% level -3.690814
10% level -3.286909

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 18

A niveau
Null Hypothesis: LN_OFFRT_ has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.811973 0.6586

Test critical
values: 1% level -4.532598
5% level -3.673616
10% level -3.277364

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 19

En difference première

Null Hypothesis: D(LN_OFFRT_) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on AIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.978864 0.0313

Test critical
values: 1% level -4.616209
5% level -3.710482
10% level -3.297799

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20
observations
and may not be accurate for a sample size of 17

Estimation du VECM

Vector Error Correction Estimates

Date: 01/01/23 Time: 23:51
Sample (adjusted): 2002 2019
Included observations: 18 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1

LN_OFFRT_(-1) 1.000000

LN_INVT_(-1) -1.233212
(0.13073)
[-9.43322]

LN_ARV_(-1) 1.194329
(0.17561)
[ 6.80110]

LN_CSTE_(-1) 0.257132
(0.15326)
[ 1.67771]

@TREND(00) 0.041621
(0.03591)
[ 1.15909]

C -2.572730

D(LN_OFF D(LN_INVT D(LN_ARV D(LN_CST

Error Correction: RT_) _) _) E_)

CointEq1 -0.004858 1.788705 -0.061750 0.394487

(0.08202) (0.38567) (0.21789) (0.24108)
[-0.05923] [ 4.63795] [-0.28340] [ 1.63635]

D(LN_OFFRT_(-1)) -0.196653 -1.582835 0.606691 0.418282

(0.28857) (1.35694) (0.76664) (0.84821)
[-0.68147] [-1.16648] [ 0.79137] [ 0.49313]

D(LN_INVT_(-1)) -0.007883 0.464554 -0.072907 0.200180

(0.06205) (0.29179) (0.16485) (0.18240)
[-0.12703] [ 1.59208] [-0.44225] [ 1.09750]

D(LN_ARV_(-1)) 0.064801 0.726302 -0.012483 0.050154

(0.12298) (0.57826) (0.32671) (0.36147)
[ 0.52694] [ 1.25600] [-0.03821] [ 0.13875]

D(LN_CSTE_(-1)) 0.054395 -1.041681 -0.023923 -0.542982

(0.08773) (0.41254) (0.23307) (0.25787)
[ 0.62001] [-2.52507] [-0.10264] [-2.10561]

C 0.118128 0.548316 -0.122778 0.223386

(0.05485) (0.25791) (0.14572) (0.16122)
[ 2.15368] [ 2.12596] [-0.84259] [ 1.38559]

R-squared 0.099740 0.806852 0.076754 0.409581

Adj. R-squared -0.275369 0.726374 -0.307932 0.163573
Sum sq. resids 0.382224 8.451282 2.697626 3.302270
S.E. equation 0.178471 0.839210 0.474133 0.524585
F-statistic 0.265896 10.02573 0.199524 1.664908
Log likelihood 9.128186 -18.73641 -8.458896 -10.27904
Akaike AIC -0.347576 2.748490 1.606544 1.808782
Schwarz SC -0.050786 3.045281 1.903335 2.105573
Mean dependent 0.102556 0.193850 -0.068672 0.183344
S.D. dependent 0.158034 1.604324 0.414579 0.573590

Determinant resid covariance

(dof adj.) 0.000382
Determinant resid covariance 7.54E-05
Log likelihood -16.73160
Akaike information criterion 5.081289
Schwarz criterion 6.515777

Test autocorrelation

VEC Residual Serial Correlation

LM Tests
Null Hypothesis: no serial
correlation at lag order h
Date: 01/01/23 Time: 23:58
Sample: 2000 2019
Included observations: 18

Lags LM-Stat Prob

1 17.75541 0.3384
2 16.72288 0.4037
3 22.06510 0.1411
4 26.34752 0.0493

Probs from chi-square with 16

df.

Test d’étécedasticité

VEC Residual Heteroskedasticity Tests: No Cross Terms (only levels and

squares)
Date: 01/02/23 Time: 00:04
Sample: 2000 2019
Included observations: 18
 Joint test:

Chi-sq df Prob.

92.30347 100 0.6955

Individual components:

Dependent R-squared F(10,7) Prob. Chi-sq(10) Prob.

res1*res1 0.370589 0.412151 0.9012 6.670599 0.7561

res2*res2 0.265736 0.253336 0.9749 4.783257 0.9052
res3*res3 0.276163 0.267069 0.9705 4.970935 0.8931
res4*res4 0.366067 0.404218 0.9059 6.589212 0.7636
res2*res1 0.375406 0.420727 0.8961 6.757299 0.7481
res3*res1 0.499450 0.698462 0.7073 8.990099 0.5330
res3*res2 0.260858 0.247044 0.9769 4.695440 0.9106
res4*res1 0.568533 0.922371 0.5614 10.23359 0.4202
res4*res2 0.673723 1.445417 0.3210 12.12702 0.2766
res4*res3 0.402676 0.471893 0.8641 7.248164 0.7018

Test de causalité

VEC Granger Causality/Block Exogeneity Wald

Tests
Date: 01/02/23 Time: 00:09
Sample: 2000 2019
Included observations: 18

Dependent variable:
D(LN_OFFRT_)

Excluded Chi-sq df Prob.

D(LN_INVT
_) 0.016138 1 0.8989
D(LN_ARV
_) 0.277663 1 0.5982
D(LN_CST
E_) 0.384410 1 0.5353

All 0.834125 3 0.8413

Dependent variable: D(LN_INVT_)

 Excluded Chi-sq df Prob.

D(LN_OFF
RT_) 1.360671 1 0.2434
D(LN_ARV
_) 1.577545 1 0.2091
D(LN_CST
E_) 6.375968 1 0.0116

All 8.872536 3 0.0310

Dependent variable: D(LN_ARV_)

Excluded Chi-sq df Prob.

D(LN_OFF
RT_) 0.626265 1 0.4287
D(LN_INVT
_) 0.195588 1 0.6583
D(LN_CST
E_) 0.010536 1 0.9182

All 0.865574 3 0.8337

Dependent variable: D(LN_CSTE_)

Excluded Chi-sq df Prob.

D(LN_OFF
RT_) 0.243182 1 0.6219
D(LN_INVT
_) 1.204503 1 0.2724
D(LN_ARV
_) 0.019252 1 0.8896

All 2.705255 3 0.4393

Estmation du modèle 2

Vector Error Correction Estimates

Date: 01/02/23 Time: 00:55
Sample (adjusted): 2002 2019
Included observations: 18 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegration Restrictions:
A(2,1)=0, B(1,1)=1
Convergence achieved after 76 iterations.
Restrictions identify all cointegrating vectors
LR test for binding restrictions (rank = 1):
Chi-square(1) 4.891032
Probability 0.026997

Cointegrating Eq: CointEq1

LN_PIBT_(-1) 1.000000

LN_INVT_(-1) -0.076973
(0.01613)
[-4.77165]

LN_ARV_(-1) 0.316993
(0.03695)
[ 8.57831]

LN_CSTE_(-1) 0.132834
(0.01457)
[ 9.11577]

LN_DTIV_(-1) 0.032742
(0.03346)
[ 0.97852]

@TREND(00) -0.050158
(0.00322)
[-15.5609]

C -9.777317

D(LN_PIBT D(LN_INVT D(LN_ARV D(LN_CST D(LN_DTIV

Error Correction: _) _) _) E_) _)

CointEq1 -0.077903 0.000000 -5.570800 -0.362030 0.868832

(0.06555) (0.00000) (1.19303) (3.56528) (0.81527)
[ 0.11883] [NA] [-4.66946] [-0.10154] [ 1.06570]

D(LN_PIBT_(-1)) -0.295677 -9.840631 0.130244 -2.641894 -0.924083

(0.63278) (5.07769) (1.23889) (3.09187) (0.69987)
[-0.46727] [-1.93801] [ 0.10513] [-0.85446] [-1.32037]

D(LN_INVT_(-1)) 0.021857 -0.069157 -0.116237 0.051069 0.073634

(0.04177) (0.33521) (0.08179) (0.20412) (0.04620)
[ 0.52323] [-0.20631] [-1.42121] [ 0.25020] [ 1.59370]

D(LN_ARV_(-1)) -0.043424 0.506215 0.191327 0.147154 0.935932

(0.10254) (0.82281) (0.20076) (0.50102) (0.11341)
[-0.42349] [ 0.61522] [ 0.95304] [ 0.29371] [ 8.25263]
 D(LN_CSTE_(-1)) -0.034764 -0.799301 0.212251 -0.467942 -0.029917
(0.07127) (0.57194) (0.13955) (0.34826) (0.07883)
[-0.48775] [-1.39753] [ 1.52102] [-1.34365] [-0.37951]

D(LN_DTIV_(-1)) -0.090018 -2.103016 0.010686 -0.028964 -0.063603

(0.06721) (0.53929) (0.13158) (0.32838) (0.07433)
[-1.33943] [-3.89957] [ 0.08121] [-0.08820] [-0.85567]

C 0.071329 0.872537 -0.092453 0.435126 0.059038

(0.04919) (0.39471) (0.09630) (0.24034) (0.05440)
[ 1.45013] [ 2.21059] [-0.96002] [ 1.81044] [ 1.08520]

R-squared 0.159394 0.791873 0.814464 0.396300 0.952010

Adj. R-squared -0.299118 0.678349 0.713262 0.067009 0.925834
Sum sq. resids 0.141426 9.106709 0.542118 3.376551 0.173006
S.E. equation 0.113388 0.909881 0.221999 0.554039 0.125411
F-statistic 0.347633 6.975396 8.047923 1.203494 36.36930
Log likelihood 18.07624 -19.40865 5.982901 -10.47924 16.26230
Akaike AIC -1.230693 2.934294 0.113011 1.942138 -1.029144
Schwarz SC -0.884437 3.280550 0.459267 2.288393 -0.682888
Mean dependent 0.055873 0.193850 -0.068672 0.183344 -0.060095
S.D. dependent 0.099482 1.604324 0.414579 0.573590 0.460503

Determinant resid covariance

(dof adj.) 2.74E-07
Determinant resid covariance 2.33E-08
Log likelihood 29.18191
Akaike information criterion 1.313121
Schwarz criterion 3.341190

Test d’autocorrelation
VEC Residual Serial Correlation
LM Tests
Null Hypothesis: no serial
correlation at lag order h
Date: 01/02/23 Time: 01:13
Sample: 2000 2019
Included observations: 18

Lags LM-Stat Prob

1 33.76398 0.1130
2 25.24229 0.4489
3 24.78109 0.4747
4 44.44273 0.0097

Probs from chi-square with 25

df.

Test d’ hétéroscedasticité
VEC Residual Heteroskedasticity
Tests: No Cross Terms (only levels
and squares)
Date: 01/02/23 Time: 01:13
Sample: 2000 2019
Included observations: 18

Joint test:

Chi-sq df Prob.

183.2811 180 0.4180