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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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070076 0.664565 2. dependent var 0.9% de la variation corrigée d’airli est expliquée par la variation du S&P Prob=0.171698 0.019704 0.058392 Schwarz criterion -1.032268 2.758615 Prob(F-statistic) 0. C 0.297348 Mean dependent var 0. dependent var 0. Error t-Statistic Prob.306268 S.0563 R-squared 0.478372 S.839954 0.234846 Log likelihood -3.D.209516 S.E.102540 Adjusted R-squared 0.230092 0.398438 Akaike info criterion 1.103053 29% de la variation d’airli est expliquée par une variation du S&P 20.1031 R-squared 0.262188 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.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.203210 Adjusted R-squared 0.383349 Mean dependent var 0.482040 0.0617 S_P01 0. of regression 0.130933 0.871645 F-statistic 4.905289 Sum squared resid 0.52644 F-statistic 3.270026 Schwarz criterion 1.174329 Sum squared resid 1. C 0. Error t-Statistic Prob.8991 S_P01 1.385430 Durbin-Watson stat 1.150487 0.085434 Akaike info criterion -1.1031>0.D.142497 1.973309 Durbin-Watson stat 1.245937 Prob(F-statistic) 0.E.844772 Log likelihood 11. of regression 0.056289 5 .096091 S.

208745 S.081010 -1.476130 S.357747 3.002147 Dependent Variable: SED Method: Least Squares Date: 02/04/11 Time: 12:03 Sample: 1 10 Included observations: 10 Variable Coefficient Std.126521 S.534338 Mean dependent var 0.KHADIJA THIAM MSC2 202688 Dependent Variable: CAC Method: Least Squares Date: 02/04/11 Time: 12:00 Sample: 1 10 Included observations: 10 Variable Coefficient Std.4402 S_P01 0. Error t-Statistic Prob.253823 Sum squared resid 0.509912 Prob(F-statistic) 0. dependent var 0.0021 R-squared 0.447230 0.029824 0.8598 S_P01 1.712001 Mean dependent var 0.016314 Dependent Variable: TOTAL Method: Least Squares Date: 02/04/11 Time: 12:03 Sample: 1 10 5 . of regression 0.391393 Log likelihood 4.368035 Schwarz criterion -0.073685 0.500938 Prob(F-statistic) 0. of regression 0.083910 0.294716 4.269116 F-statistic 2.223575 Mean dependent var 0.303630 Durbin-Watson stat 0.012177 0.676001 S.167550 Dependent Variable: MICH Method: Least Squares Date: 02/04/11 Time: 12:02 Sample: 1 10 Included observations: 10 Variable Coefficient Std. C 0. of regression 0.517771 0.991274 Prob(F-statistic) 0.059847 0. C -0.D.812204 0.451910 Sum squared resid 0.1675 R-squared 0.214486 Akaike info criterion -0.296338 S.D.121000 Adjusted R-squared 0.321425 F-statistic 9.193306 Log likelihood 3.E.179836 Durbin-Watson stat 2.77786 Durbin-Watson stat 1.053140 Adjusted R-squared 0.325400 1. dependent var 0.000739 0. Error t-Statistic Prob.D.493883 0.E.310670 0.304491 Schwarz criterion -0.182466 0.066737 -0. dependent var 0.064285 Sum squared resid 0.310425 S. C -0.E.176696 Akaike info criterion -0.003768 Log likelihood 2.0163 R-squared 0.3463 S_P01 1.150110 Adjusted R-squared 0. Error t-Statistic Prob.259551 F-statistic 19.249773 Schwarz criterion -0.081070 0.195093 Akaike info criterion -0.

475100 1.102540 0.272100 -0.971064 0.9764 S_P01 1.172400 -0.044446 2. Error t-Statistic Prob.696800 0.D.152870 Median 0.742582 0.365700 0.478372 0.403457 Prob(F-statistic) 0.299108 1.109450 0.208745 0.152870 Dependent Variable: RMOY 5 .757933 0.277787 Sum squared resid 3.299108 • LES RENDEMENTS MOYENS TITRES AIRLI ALSTOM CAC MICH SED TOTAL Mean 0.151750 0.224300 1. C -0.828585 Schwarz criterion 2.125888 0.093315 Observations 10 10 10 10 10 10 AIRLI= 0.482040 BETA CAC=0.203210 0.778101 Jarque-Bera 0.781330 0.053140 0.743545 Probability 0.702000 Skewness -0.691790 Akaike info criterion 2.684569 0.102540 ALSTOM=0. of regression 0.203210 CAC= 0.121000 MICH= 0.595244 4.804984 4.030563 0.028877 S.152870 Adjusted R-squared 0.053140 TOTAL= 0. dependent var 0.702000 S.103842 0.388936 F-statistic 1.615370 0.075800 -0.150110 0.214175 2.096091 0.E.493883 BETA MICH=1.267624 Durbin-Watson stat 1.595288 -0. 0.011412 1.868200 Minimum -0.064200 0.755084 1. Dev.433777 Kurtosis 2.580605 -0.2929 R-squared 0.493515 0.427100 -0.296338 0.121000 0.083910 BETA TOTAL=1.376469 0.KHADIJA THIAM MSC2 202688 Included observations: 10 Variable Coefficient Std.350500 -0.310425 0.261284 -0.136780 Mean dependent var 0.338304 Log likelihood -9.292852 • LES BETA BETA AIRLI=0.150110 SED= 0.007986 0.014700 -0.153852 1.313975 2.978746 0.089350 0.310670 BETA SED=1.262188 BETA ALSTOM=1.424600 -0.742700 Std.007250 Maximum 0.042965 0.

009389 Schwarz criterion -3.024894 Log likelihood 10.043770 1.130478 Adjusted R-squared 0.245279 0.047578 1.63005 Schwarz criterion 1.609802 0.280997 LA PRIME=0.566752 Akaike info criterion 1.431854 2.550719 Durbin-Watson stat 1. Error t-Statistic Prob.D.064224 S.E.048447 Akaike info criterion -2.238333 Adjusted R-squared 0.076592 LEUR SOMME( 0.04925 F-statistic 150. Error t-Statistic Prob.734975 5 .279373 Mean dependent var 0.068555 12.054506+0.054506 LE TAUX SANS RISQUE=0.955481 Sum squared resid 0.025120 TAUX D’EPARGNE(-1)=0.716391 S.839712 AKAIKE(-1)=1.0000 R-squared 0.051046 S.822694 Prob(F-statistic) 0. dependent var 1.0209 TX_EPARGNE01(-1) 0.734975 Sum squared resid 18.0331 Durbin-Watson stat 2.721198 Mean dependent var 6.052441 Prob(F-statistic) 0. dependent var 0.804786 Log likelihood -50.025120 0.86644 F-statistic 1.1827 COEF 0.2810 R-squared 0.000000 C=1.24880 0.054506 0.839712 0. of regression 0.131098 REPRESENTE L’ESPERANCE. C 0.076592 0. C 1.D. 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.KHADIJA THIAM MSC2 202688 Method: Least Squares Date: 02/04/11 Time: 12:22 Sample(adjusted): 1 6 Included observations: 6 after adjusting endpoints Variable Coefficient Std.373767 0.E.076592) 0.099216 S. of regression 0.

536379 Akaike info criterion 1.071243 S.295492 0. dependent var 1.064517 S.53592 Schwarz criterion 1.255932 Adjusted R-squared 0.78556 Durbin-Watson stat 2.297875 0.039524 AKAIKE=1.0000 TX_EPARGNE01(-2) 0. dependent var 1.717046 Mean dependent var 6.D.0376 TX_EPARGNE01(-1) 0.448839 2.65893 F-statistic 70.093100 Prob(F-statistic) 0.828243 0.706941 S.615512 0.800619 Log likelihood -44.0059 TX_EPARGNE01(-1) 0.785049  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.0255 TX_EPARGNE01(-3) -0.160402 2. C 0.286542 5 .403288 0.0023 R-squared 0.59726 Schwarz criterion 1.010707 0. of regression 0.134288 6.461193 2.953037 Prob(F-statistic) 0.000000 C=1.E.202044 0.576276 Akaike info criterion 1.09708 F-statistic 57.658520 Sum squared resid 15.133758 0.890686 Log likelihood -49.E.286542 0.129779 0.866374 0.125947 -3.749293 S.7687 R-squared 0.D.807164 0.0000 TX_EPARGNE01(-2) 0. of regression 0.265517 Adjusted R-squared 0.95609 Durbin-Watson stat 1.000000 C=0. Error t-Statistic Prob.368584 0.762488 Mean dependent var 6.125197 6.982239 TAUX D’EPARGNE=0. Error t-Statistic Prob.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.982239 0.785049 Sum squared resid 18. C 1.039524 0.

*| .307 102. |**** | ***| .|.000 .000 .008 0. | 6 0. |** | .024 77. |***** | . |****** | 1 0.141 0.3132 R-squared 0.000 .*| .000 .492 -0. of regression 0. |****** | . | .749015 S.E.147299 0. |** | .202 0. |*. Error t-Statistic Prob.169929 2.144629 -1.79 0. | 8 0.000000 C=1.*| . | 16 -0.387 0.297 -0. | 9 0.766942 Mean dependent var 6.053198 0.000 . | .000 . | 13 -0.010 120.16870 Schwarz criterion 1.868714 Log likelihood -43.419140 0. | 14 -0.689499 Sum squared resid 15.514696 0.|.|.204 -0. | 17 -0.779230 0.170 115. | 4 0.837 44.074 -0.74 0. |*.18 0.|.000 . dependent var 1.174 0.140 0.015 103. |*.0000 TX_EPARGNE01(-2) 0.000 .|.737153 0. |** | 5 0.000 .79 0.000 .*| . |*.80 0.146 -0.433 0.169868 -1.*| .137034 5.540098 Akaike info criterion 1.275439 Adjusted R-squared 0.78018 Durbin-Watson stat 1. |*.689499 CORRELOGRAMME Date: 02/04/11 Time: 11:16 Sample: 1 61 Included observations: 61 Autocorrelation Partial Correlation AC PAC Q-Stat Prob .000 .37 0. |** | .53 0.000 .125 -0. | . | .353 93.837 0. | .*| . | 12 0.*| .72 0. |** | .130 99. | 3 0.09 0.134 -0.101 104.496102 3. | 11 0. | .063 109.211 -0. |*.|. C 1. | 2 0.13 0.409 0. |*. | .018461 0.834 0.*| .403288 AKAIKE=1.514696 TAUX D’EPARGNE=-0.118 113. | 10 0.15071 F-statistic 42. |** | 15 -0.686411 0.000 .078074 S.57 0.023 115.15 0.658520  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.466556 0.15 0.000 .707 0.147299 AKAIKE=1. | 7 0.0883 TX_EPARGNE01(-4) -0.198 118.118 0.KHADIJA THIAM MSC2 202688 TAUX D’EPARGNE=-0.D.070 106.0170 TX_EPARGNE01(-3) -0.0036 TX_EPARGNE01(-1) 0. | . | .000 5 .*| .000 .*| .096 117.055 115.170 -0.169 122. | .896035 Prob(F-statistic) 0.295087 0.000 .

| 19 -0. | .50 0.KHADIJA THIAM MSC2 202688 . | 26 -0.000 ***| . |*.98 0.007 179.|. | 21 -0.*| .000 **| .*| .88 0. | 18 -0. | **| .000 ***| .96 0.047 219. | .259 230.417 -0.000 ***| .260 -0.|.*| .208 0.095 -0. | 25 -0.000 ***| .068 235. | .|. AR(2) 5 . | 20 -0.439 -0.165 0. | .000 **| .035 200.14 0. | .304 0.004 127.000 Nous constatons que L’ AKAIKE (-3) est plus faible.000 **| . | .211 124.94 0.085 143.67 0.000 .82 0.227 159.77 0.000 .087 122.000 **| . | .*| . |** | 27 -0. | .398 -0. | 22 -0. |*. | 24 -0.440 -0.315 0.071 133. | . | 23 -0. | 28 -0.149 -0.56 0. ce qui prouve que c’est un modèle à 3 retards.*| .16 0. | **| .|.