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Trimestre 1
9 680
10 738
10 869
11 108
11 437
11 507
Dterminer la tendance
1) Par le procd
2) Par le procd
3) Par le procd
Trimestre 2
9 050
10 100
10 910
11 034
11 115
11 352
11 453
Trimestre 3
9 380
10 160
11 058
11 135
11 424
11 381
11 561
Trimestre 4
9 378
10 469
11 016
10 845
10 595
11 401
de cette srie
dune moyenne mobile dordre 4
dune droite de rgression
du filtre de Hodrick-Prescott
de
prvision : Lissage
exponentiel simple
et
Moyenne
mobile
Cours
1293
1209
Jour
7
8
Cours
1243
1203
Jour
13
14
Cours
1364
1330
3
4
5
6
1205
1273
1220
1290
9
10
11
12
1390
1360
1353
1343
15
16
1377
1332
non
0.3300
1662121.
252.8394
Mean
Trend
11552.48
49.18867
HWNS
Prvisions
11588.3241511
11607.6302261
11626.9363011
11646.2423762
11665.5484512
1525934
242.2597
0.3300
0.9901
1525934.
242.2597
LED
Prvisions
11601.6708875
11650.8595605
11700.0482334
11749.2369064
11798.4255793
1662121
252.8394
Trimestre 1
9 680
10 738
10 869
11 108
11 437
11 507
Trimestre 2
9 050
10 100
10 910
11 034
11 115
11 352
11 453
Trimestre 3
9 380
10 160
11 058
11 135
11 424
11 381
11 561
Trimestre 4
9 378
10 469
11 016
10 845
10 595
11 401
Trim 1
1248
891
1138
Trim 2
1392
1065
1456
Trim 3
1057
1118
1224
Trim 4
3159
2934
3090
Trim 1
1,1
1,5
1,7
2,1
Trim 2
1,2
1,4
2
2,1
Trim 3
0,9
1,1
1,6
2
Trim 4
2,6
2,8
3,4
3,7
Evolution du PIB
1000
7000
800
6000
14
12
10
5000
600
4000
400
200
0
75
80
85
90
95
00
INV
3000
2000
1000
2
75
80
85
90
PIB
95
00
75
80
85
90
95
00
TXINT
Remarque
On peut utiliser la probabilit associe la statistique de Jarque- Bera pour
dcider.
Pour fix, 0 <<1, on compare la valeur de Prob(JB-Stat) .
- Si Prob ( JB Stat ) > , on ne rejette pas lhypothse H 0
- Si Prob ( JB Stat ) , on rejette lhypothse H 0 .
Instructions Eviews
a)
Cliquer sur le menu Quick/ Choisir la
statistics/Descriptive statistics/common sample
b)
Taper la liste des variables
Exemple INV PIB TXINT
c)
Valider
commande
group
PIB
TXINT
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
531.6000
488.5000
925.0000
158.0000
259.7405
0.193169
3538.400
3702.500
6027.000
1090.000
1459.118
-0.047587
8.583333
8.250000
12.50000
3.500000
2.286894
-0.162739
Kurtosis
1.410406
1.700699
2.189163
6.146406
6.183866
6.829794
5.062595
0.533203
0.171407
1.656809
Jarque-Bera
Probability
3.345082
0.187769
2.121550
0.346187
0.954241
0.620568
Observations
30
30
30
Dcision
8.072259
8.216630
8.704005
6.993933
0.478332
-0.608692
2.111025
2.109754
2.525729
1.252763
0.294421
-0.803213
2.333363
3.487679
2.402105 2.408037
0.300877 0.299986
3.523041
0.171783
30
30
30
t-Statistic
-5.850588
19.73462
-5.194884
a)
'
'
H 1 : ( t , t ) tel que 2t 2t
'
Considrons le modle
Y t =a 1+a 2 X 2t +a3 X 3t ++ a k X kt + t
On estime les paramtres du modle
t = a 1+ a 2 X 2t + a 3 X 3t ++ a k X kt
Y
Y t =Y t +e t
On obtient le rsidu
e t =Y t (a1 + a 2 X 2t + a 3 X 3t ++ a k X kt )
On estime ensuite le modle
2
2
e t = ( 1 + 2 X 2t + 3 X 3t ++ k X kt ) +t
e t2= 21 + 1 2 X 2t + 1 3 X 3t + 22 X 22t + 23 X 23t + 12 12 X 2t + 3 X 3t ++ k X kt + t
Instructions
On se place sur la fentre de lestimation du modle
aCliquer sur le bouton View plac gauche de cette fentre
bChoisir la commande Residual Test/White Heteroscedasticity en
slectionnant loption examine
i)
Test de White avec loption sans termes croiss
White Heteroskedasticity Test:
F-statistic
0.062987 Probability
0.992219
Obs*R-squared
0.299319 Probability
0.989858
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 10/27/11 Time: 16:03
Sample: 1972 2001
Included observations: 30
Variable
Coefficient
C
-0.799946
LOG(PIB)
0.208969
(LOG(PIB))^2
-0.013181
TXINT
-0.001442
TXINT^2
6.25E-05
R-squared
0.009977
Adjusted R-squared
-0.148426
S.E. of regression
0.027197
Sum squared resid
0.018492
Log likelihood
68.30608
Durbin-Watson stat
1.976756
Std. Error
t-Statistic
Prob.
2.127928
-0.375927
0.7101
0.551891
0.378642
0.7082
0.034490
-0.382170
0.7056
0.023388
-0.061665
0.9513
0.001313
0.047601
0.9624
Mean dependent var
0.017628
S.D. dependent var
0.025379
Akaike info criterion
-4.220405
Schwarz criterion
-3.986872
F-statistic
0.062987
Prob(F-statistic)
0.992219
Les deux probabilits sont suprieures 5%, on ne rejette pas lhypothse H0, les
erreurs donc homoscdastiques.
ii)
F-statistic
Obs*R-squared
3.790150
13.23661
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 10/27/11 Time: 16:10
Sample: 1972 2001
Included observations: 30
Variable
Coefficient
C
-13.06375
LOG(PIB)
3.609450
(LOG(PIB))^2
-0.244098
(LOG(PIB))*TXINT
0.037497
TXINT
-0.321825
TXINT^2
0.000693
R-squared
0.441220
Adjusted R-squared
0.324808
S.E. of regression
0.020854
Sum squared resid
0.010437
Log likelihood
76.88567
Durbin-Watson stat
1.877211
Probability
Probability
Std. Error
t-Statistic
3.283627 -3.978451
0.896306
4.027027
0.059818 -4.080655
0.008713
4.303745
0.076573 -4.202884
0.001018
0.681033
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.011350
0.021260
Prob.
0.0006
0.0005
0.0004
0.0002
0.0003
0.5024
0.017628
0.025379
-4.725712
-4.445472
3.790150
0.011350
0.006502
0.006982
Probability
Probability
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 10/27/11 Time: 16:37
Sample(adjusted): 1973 2001
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
0.017571
0.005933
2.961351
RESID^2(-1)
-0.015477
0.191939
-0.080636
R-squared
0.000241 Mean dependent var
Adjusted R-squared
-0.036787 S.D. dependent var
S.E. of regression
0.026232 Akaike info criterion
Sum squared resid
0.018579 Schwarz criterion
Log likelihood
65.46965 F-statistic
Durbin-Watson stat
1.972229 Prob(F-statistic)
0.936326
0.933407
Prob.
0.0063
0.9363
0.017298
0.025762
-4.377217
-4.282921
0.006502
0.936326
d)
i) Test de corrlation des erreurs de Durbin-Watson ;
Conditions dutilisation du test de DW
n 15
- Les variables doivent tre des sries temporelles ;
- Le modle ne doit pas tre autorgressif, cest--dire que la variable
explique ne doit pas figurer parmi les variables explicatives de faon
retarde.
- Le modle doit comporter imprativement un terme constant
- Les variables explicatives doivent certaines, cest--dire non alatoires
Le test de Durbin permet de dtecter lautocorrlation dordre 1. Cest--dire une
relation du type
t = t 1 + t
o t est un bruit blanc, cest--dire
t N (0, 2)
La table de DW donne
d 1 =1,28 et d 2=1,57
DW =1,102
On constate que la statistique de DW se trouve dans la zone de corrlation
positive donc les erreurs sont corrles positivement.
0.4
0.3
0.2
0.1
0.0
-0.1
-0.2
-0.3
75
80
85
90
95
00
ERREUR1
Les erreurs tant corrles alors les estimations obtenues par la mthode des
moindres carrs ordinaires ne sont pas optimales ; il faut donc changer de
mthode destimation. Pour cela on peut utiliser, par exemple, la mthode de
Cochrane Orcutt.
Estimation par la mthode de Cochrane et Orcutt
Il sagit destimer le modle
PIB
L og (t )+a3 TXINT t +a 4 ARt + 1+ t
log ( INV t )=a 1 +a 2
Instructions Eviews
Taper au niveau de la zone dentre des donnes
LS log ( INV ) C log ( PIB ) TXINT AR (1)
Puis appuyer sur la touche entre
Ou bien vous passez par le menu Quick/estimate equation
Puis entrez lquation du modle comme dhabitude et valider.
Dependent Variable: LOG(INV)
Method: Least Squares
Date: 10/27/11 Time: 16:51
Sample(adjusted): 1973 2001
Included observations: 29 after adjusting endpoints
Convergence achieved after 15 iterations
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
0.282131
1.371151
0.205762
0.8386
LOG(PIB)
0.766443
0.159034
4.819354
0.0001
TXINT
-0.017902
0.019576
-0.914448
0.3692
AR(1)
0.864431
0.108455
7.970425
0.0000
R-squared
0.952100 Mean dependent var
6.183779
Adjusted R-squared
0.946351 S.D. dependent var
0.501060
S.E. of regression
0.116056 Akaike info criterion
-1.342042
Sum squared resid
0.336726 Schwarz criterion
-1.153450
Log likelihood
23.45961 F-statistic
165.6385
Durbin-Watson stat
2.443466 Prob(F-statistic)
0.000000
Inverted AR Roots
.86
e)
Test de spcification (Test Reset de Ramsey) ;
Les hypothses du test sont :
H 0 : Le modle est bien spcifi
H 1 : Le modle est mal spcifi
Instructions
On se place sur la fentre de lestimation du modle
i)
Cliquer sur le bouton View/stability test/ Ramsey Reset
Test
ii)
iii)
Instructions
On se place sur la fentre de lestimation
a)
Cliquer sur le bouton View/Stability Test/Chow Breakpoint Test
b)
Taper la ou les dates de rupture
c)
Valider
Anne
2002
2003
2004
Prvision1
800.221693271
797.146181106
767.831649978
log ( INV t )=a 0 +a 1 log ( INV t 1 ) +a 2 log ( PIBt ) +a3 TXINT t + t (2)
Les donnes figurent dans le tableau de la page 6.
1)
Estimer les paramtres par la mthode des moindres carrs ordinaires.
Dependent Variable: LOG(INV)
Method: Least Squares
Date: 11/03/11 Time: 16:38
Sample(adjusted): 1973 2001
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
-1.265328
0.398106
-3.178371
0.0039
LOG(INV(-1))
0.428072
0.083538
5.124291
0.0000
LOG(PIB)
0.646582
0.102471
6.309894
0.0000
TXINT
-0.047420
0.009921
-4.779499
0.0001
R-squared
0.965956 Mean dependent var
6.183779
Adjusted R-squared
0.961871 S.D. dependent var
0.501060
S.E. of regression
0.097841 Akaike info criterion
-1.683511
Sum squared resid
0.239320 Schwarz criterion
-1.494918
Log likelihood
28.41091 F-statistic
236.4473
Durbin-Watson stat
2.403637 Prob(F-statistic)
0.000000
2)
On constate que toutes les probabilits associes la statistique de Student (Prob (t-Stat)) sont
infrieures 0,05 ; on rejette lhypothse H0. Donc au seuil de 5% les variables ont toutes une
influence sur log(INV).
b) Test de significativit globale du modle (Fisher) ;
On a Prob(F-stat)=0,0000 <0,05 ; on rejette lhypothse H0, cest--dire quauseil de 5% le modle est
globalement significatif.
c) Test dhomocdasticit des erreurs de White ;
Option sans termes croiss
White Heteroskedasticity Test:
F-statistic
1.640577 Probability
Obs*R-squared
8.964491 Probability
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/03/11 Time: 16:53
Sample: 1973 2001
Included observations: 29
Variable
C
LOG(INV(-1))
(LOG(INV(-1)))^2
LOG(PIB)
(LOG(PIB))^2
TXINT
TXINT^2
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Coefficient
1.188103
0.329588
-0.027125
-0.525989
0.032786
-0.017641
0.001037
0.309120
0.120699
0.011993
0.003164
91.13534
Std. Error
0.983680
0.258699
0.020812
0.322083
0.019712
0.013511
0.000733
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
t-Statistic
1.207814
1.274024
-1.303364
-1.633086
1.663245
-1.305699
1.413697
0.183271
0.175585
Prob.
0.2399
0.2159
0.2059
0.1167
0.1104
0.2051
0.1714
0.008252
0.012790
-5.802438
-5.472401
1.640577
Durbin-Watson stat
2.339800
Prob(F-statistic)
0.183271
Les erreurs sont homoscdastiques car les deux probabilits sont suprieures 0,05.
Test de White avec termes croiss
White Heteroskedasticity Test:
F-statistic
4.627231
Obs*R-squared
19.91435
Probability
Probability
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/03/11 Time: 16:55
Sample: 1973 2001
Included observations: 29
Variable
C
LOG(INV(-1))
(LOG(INV(-1)))^2
(LOG(INV(-1)))*(LOG(PIB))
(LOG(INV(-1)))*TXINT
LOG(PIB)
(LOG(PIB))^2
(LOG(PIB))*TXINT
TXINT
TXINT^2
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Std. Error
1.684518
0.316475
0.024616
0.059367
0.006777
0.570859
0.054648
0.009176
0.044740
0.000724
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
Coefficient
-4.999222
0.403888
-0.037876
0.015877
-0.007280
1.185898
-0.095722
0.029087
-0.221819
0.001610
0.686702
0.538297
0.008691
0.001435
102.6021
2.622795
0.002410
0.018448
t-Statistic
-2.967746
1.276209
-1.538686
0.267445
-1.074198
2.077393
-1.751588
3.169875
-4.957918
2.225424
Prob.
0.0079
0.2173
0.1404
0.7920
0.2962
0.0516
0.0960
0.0050
0.0001
0.0384
0.008252
0.012790
-6.386351
-5.914870
4.627231
0.002410
Les erreurs sont htroscdastiques car les deux probabilits sont infrieures 0,05.
Test de ARCH
ARCH Test:
F-statistic
Obs*R-squared
0.650339
0.683274
Probability
Probability
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/03/11 Time: 16:57
Sample(adjusted): 1974 2001
Included observations: 28 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
0.009764
0.002963
3.294983
RESID^2(-1)
-0.156265
0.193772
-0.806436
R-squared
0.024403 Mean dependent var
Adjusted R-squared
-0.013120 S.D. dependent var
S.E. of regression
0.013067 Akaike info criterion
Sum squared resid
0.004440 Schwarz criterion
Log likelihood
82.76089 F-statistic
Durbin-Watson stat
1.771258 Prob(F-statistic)
0.427307
0.408461
Prob.
0.0028
0.4273
0.008443
0.012983
-5.768635
-5.673478
0.650339
0.427307
Les erreurs sont homoscdastiques car les deux probabilits sont suprieures 0,05.
d) Test de corrlation des erreurs
i) Test du h de Durbin
DW
n
2,403637
29
h= 1
= 1
=1,217
2
2
2
1n a
129 0,083538 2
h=1,217<1,96 ; on accepte lhypothse H0, donc les erreurs sont non corrles
Coefficient
-0.026593
0.000870
0.003572
-0.000866
-0.170232
0.222638
0.093216
-0.103911
0.097135
0.217011
29.82975
1.904235
Std. Error
0.434483
0.099039
0.120594
0.009978
0.236687
0.226949
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
t-Statistic
-0.061205
0.008788
0.029622
-0.086745
-0.719229
0.981004
Prob.
0.9517
0.9931
0.9766
0.9316
0.4792
0.3368
-8.37E-17
0.092451
-1.643431
-1.360542
0.472873
0.792568
Les erreurs sont non corrles car les deux probabilits sont suprieures 0,05.
e) Test de spcification (Test Reset de Ramsey) ;
Ramsey RESET Test:
F-statistic
2.158738 Probability
Log likelihood ratio
4.988941 Probability
0.138294
0.082540
Test Equation:
Dependent Variable: LOG(INV)
Method: Least Squares
Date: 11/03/11 Time: 17:22
Sample: 1973 2001
Included observations: 29
Variable
C
LOG(INV(-1))
LOG(PIB)
TXINT
FITTED^2
FITTED^3
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficient
83.37131
-10.30441
-15.48694
1.148140
3.896888
-0.201369
0.971337
0.965105
0.093599
0.201496
30.90538
2.879809
Std. Error
81.16797
10.63230
16.15671
1.180599
4.172004
0.232232
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
t-Statistic
1.027145
-0.969160
-0.958545
0.972507
0.934057
-0.867103
5% Signific anc e
Prob.
0.3150
0.3425
0.3478
0.3409
0.3600
0.3948
6.183779
0.501060
-1.717612
-1.434724
155.8829
0.000000
1.6
1.2
0.8
0.4
0.0
-0.4
78 80 82 84 86 88 90 92 94 96 98 00
CUSUM of Squares
3)
5% Significance
Anne
2002
2003
2004
4)
Prvisions2
874.991402621
869.355699857
842.397997064
Comparer les performances prvisionnelles des modles (1) et (2).
5)
Le modle (2) prsente les meilleures performances prvisionnelle que le modle (1).
Donnes du cas n2
Obs
1982:01
1982:02
1982:03
1982:04
1982:05
1982:06
1982:07
1982:08
1982:09
1982:10
1982:11
1982:12
1983:01
1983:02
1983:03
1983:04
1983:05
1983:06
1983:07
1983:08
1983:09
1983:10
1983:11
1983:12
1984:01
1984:02
1984:03
1984:04
1984:05
1984:06
1984:07
VENTES
281.5
267.2
275.5
272.1
294.6
303.6
228.2
221.2
292.2
430.1
576.4
731.2
254.1
247.5
303.1
326.6
377.6
323
302.8
175.9
359.5
447.4
683.8
835.7
311.3
300.6
404.7
352.3
393.7
398.6
326
Obs
1985:01
1985:02
1985:03
1985:04
1985:05
1985:06
1985:07
1985:08
1985:09
1985:10
1985:11
1985:12
1986:01
1986:02
1986:03
1986:04
1986:05
1986:06
1986:07
1986:08
1986:09
1986:10
1986:11
1986:12
1987:01
1987:02
1987:03
1987:04
1987:05
1987:06
1987:07
VENTES
537.5
308.8
371.8
451.4
452
453.9
366.3
164.3
473.9
542.8
831.4
1065.1
363.3
429.2
415.4
412.1
464.7
475.3
396.5
172.3
504.8
692.2
985.8
1133.1
401.6
395.7
451
427.6
496.8
467.7
352.3
Obs
1988:01
1988:02
1988:03
1988:04
1988:05
1988:06
1988:07
1988:08
1988:09
1988:10
1988:11
1988:12
1989:01
1989:02
1989:03
1989:04
1989:05
1989:06
1989:07
1989:08
1989:09
1989:10
1989:11
1989:12
1990:01
1990:02
1990:03
1990:04
1990:05
1990:06
1990:07
VENTES
263.9
289.9
337
374
292.7
398.6
421.7
173.8
522.1
642.4
984.2
1307.6
393.4
316.2
428.6
467.6
501
487.4
463.3
165.9
595.1
698.1
985.1
1267
434.8
356.4
457.7
478.8
461.8
531.2
429.8
1984:08
1984:09
1984:10
1984:11
1984:12
157.3
352.8
521.1
761.4
925.4
1987:08
1987:09
1987:10
1987:11
1987:12
182.1
522.2
687.2
1080.3
1391.6
1990:08
1990:09
143.1
587.7
INV
158
202
275
289
264
287
316
314
350
317
316
317
300
270
429
574
633
548
787
708
894
765
676
748
859
789
866
905
867
925
PIB
1090
1255
1414
1906
1933
1979
2209
2751
2987
2479
2583
2480
2337
2579
3763
4600
4980
4626
5698
5500
6027
5431
3642
4476
4651
4387
4646
4752
4371
4620
4625
TXINT
3.5
5.5
5.5
8
8
8
8
8
10.5
10.5
12.5
10.5
10.5
10.5
8.5
8.5
9.5
11
11
11
12.5
10.5
10
7.5
6.5
6.5
6.25
5.75
6.5
6.5
6.75
2003
2004
4635
4650
6.85
7.5