Ì ð ã ð ® ð ° ð gbiblio.univ-alger.dz/xtf/data/pdf/1088/BOUTIAH_WALID.pdf · 2008-05-03 · Ì ð ã ð ® ð ° ð g ... 35

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1 .LevinLin...........................................................472 .Pesaran, ImShin)IPS............................................(523 .MaddalaWu)MW.............................(..................544 ..............................................................55:....................................................56

:MCG..................................56:MCQG.............................58

:........................................................611.MCO..............................................612.Between......................................................623.Within......................................................63

:.........................................................641 ................................................641.1 .............................................................641 .2 .)BreuschPagan......(...................651.3 .Honda..............................................................652.....................................................662 .1 ...............................................662 .2 .(poolability test).............................663 .Hausman.........................67

:.......................68...........................................................................................69

:

.........................................................................................71:.....................................................72:.....................................................72

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..............................................................84

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............................................................88.1 ......................................................................88.2 .................................................89

2 ...................................................................91:................93:..............................................................93

:.....................................................93:.........................................................93

:.........................................................95:...................................................................95

:..........................................95:IPS)2003.....................................(................95

:MaddalaWu)1999 (Choi)2001....................(96:............................................................97

:.............................................971.Within......................................................972. Between...................................................1003.OLS...........................................1024.EGLS....................................1045................................................................1055 .1 ...........................................105...............................................................105

. )BreuschPagan...........................(1065 .2 .................................................106

...................................................106 .(poolability test)...............................106

:...................................................1071.Within......................................................1072.Between...................................................1103.OLS............................................1124.EGLS.....................................1145................................................................1165 .1 ..........................................116 .......................................................................116

. )(Pagan , Breusch...........................1165 .2................................................116 ..................................................116

.(poolability test)..............................117.........................................................................117

:..............................................118........................................................................................122

................................................................................124.............................................................................127

)01 :(.33

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.

]Albert AFTALION, 1909[]John Maurice CLARCK,

1917[]KOYCK, 1954[)1(

"Les

données de Panel "

1975]1995,NerloveBalestra[]1997,

MazodierTrognon[)2(

) (

)(

)3(

(1) Patrick VILLIEU, Macroéconomie: l'investissement, (France: La découverte, 2000), P16, 17et19.(2) Patrick SEVESTRE, Econonmétrie des données de panel, (France : Dunod, 2002), P1.(3) Ibid, P1.

.

::

1-.2-

.

::

1- .

2- 4.

:

]1995Islam,[]1996,LefortEsquivel,Caselli[]1996,Oh[ ]1999,Nerlove[.

4

2000

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.

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-).(-)(

)4( Janine BREMOND, Mieux comprendre l'économie, (France:Edition Liris, 1993, 2ème Ed),p 189..2004-2003 (5)

)10 ( ) :2(173 .

:....

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:

.

::)11(

1-:Autonomous Investment

:.2-Induced Investment:

) (

.

)11 ( ) :12002(105.

::

1-:

tRI)d (t

Kt-1= d Kt-1tRI

2-:

tGIt tG RI I>

)t tG RI I− (

tNI ) (

:= Kt – Kt-1 tNI

:Kt :t.Kt-1 :t.

:

t t tG N RI I I= +

tGI = ( Kt – Kt-1) + d kt-1

= Kt - (1-d) Kt-1 tGI

:

:1- :

.2-:

.3-:

.

::12

1-:

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:

(14)199215.

-. -. - .

::

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3-.

4-) (.)13(

(13)):1994 (7.

:

)14(

..

.

::

:)

(

) ( :

.1-) :(

Albert AFTALION John Maurice CLARCK

)15(

(14) Pierre DUHARCOURT, La fonction d'investissement, (France: Serey, 19701),P1.)15 (206.

) ()Kt (Yt)*(

:

1>=t

t

YKV

:= ∆K= Kt – Kt-1 tNIV:

1tNt

t t

IK VY Y

∆= = >

∆ ∆

KtYtV

:( )tN tI V Y= ∆

1( )tN t tI V Y Y −= − [1-1]

[1-1]

.)

tRI(Kt-1:d Kt-1 =

tRI

:)()( 11 −− +−= tttG VYdYYVI

t)*(

1)1( −−−= ttG YdVVYIt[1-2]

.c .)16(

*1( )

tN t tI c K K −= − , (0 < c < 1)

tK *. :tt VYK =*

:

1)1()1( 1 −

−+−−= − tt GttG IcYdcVcVYI[1-3]

)*(.

)*(Vnt

nt

t

t

t

t

YK

YK

YKV

−

−

−

− ==== ...1

1

:11 −− = tt VYK(16) BRIDGE, 1971, Applied econometrics, P 124.

[1-3]

.]31-[[1-2])*(.

:1-

.2-.3-

.4-

.

2-:

:)17(

1-1−tK

tK * :*1tN t tI K K −= −

2-)Yt(tt VYK =*

Koyck1954

18.

2-1-Koyck

Koyck ( )sµ

:nt

nttt YVYVYVK −− −++−+−= λλλλλ )1(...)1()1( 1

)...)(1( 1 ntn

ttt YYYVK −− +++−= λλλ [1-4]

)*( :BRIDGE, op.cité, P 122-124(17) Patrick VILLIEU, op.cité, P18

)14 (213 .

λ(0 < λ < 1)

V.

tNI

:1−−= ttN KKIt

1−tK:)...)(1( 1

211 ntn

ttt YYYVK −−

−−− +++−= λλλ [1-5][1-5]λ:

)...)(1( 22

11 ntn

ttt YYYVK −−−− +++−= λλλλλ

[1-5][1-4]:11 )1()1( −− +−=⇒−=− tttttt KYVKYVKK λλλλ

:1−−= ttN KKI

t

11)1( −− −+−= tttN KKYVIt

λλ

1)1()1( −−+−= ttN KYVIt

λλ

))(1( 1−−−= ttN KVYIt

λ [1-6]

Koyck.:

ttt RNG III +=

11))(1( −− +−−= tttG dKKVYIt

λ

1)1()1( −−−−−= ttG KdVYIt

λλ [1-7]

) (.

.

)1 :(AS :AF :

:Patrick VILLIEU, op.cité, P19

.Koyck

)19(

.

(19) Pierre DUHARCOURT, op.cité, P17.

-6

-4

-2

0

2

4

6

8

10

12

0 1 2 3 4 5 6 7 8 9 10K

P = 0

P = 1

P = 2

P = 3

P = 4

2-2-Almon: µ(s)

KoyckAlmon)1965()20(P : R :

4)*( Almon

)2 :(Almon

PK..

Almon::

∑=

−=K

jjtjG YbI

t0

(20) Jack Johnston, Méthodes économétriques, Trad, Bernard GUERRIEN, (France: Economica, 2ème

tome, 1988), P 419.)*( :

33

2210 iii)i(f3p α+α+α+α=⇒=

jb:p

pj jajajaab ++++= ...2210

P:00 ab =

paaaab ++++= ...2101

pp

K

pp

aKaKKaab

aaaab

++++=

++++=

......

2...22

22

10

22

102

∑=

=p

ii

iK aKb

0

[1-8]

aiYt-j:

∑=

−=k

jjt

ii YjW

0

Wii:

∑

∑

∑

∑

=−

=−

=−

=−

=

=

=

=

K

jjt

pp

K

jjt

K

jjt

K

jjt

YjW

YjW

jYW

YW

0

0

22

01

00

.

.

.

:tppG uWaWaWaWaI

t+++++= ...221100 [1-9]

ut

[1-9]OLSaibj [1-8].

:.)21(

.:

)()( rfMECMECfI =→=)()( MfiifI =→=

MEC :.r :.i :.

M :.

)22(

.ye:

I = f(i, ye)

.:

(21)157.(22)) :2004(194.

)3(:

:Ed),ème, (Algérie: OPU, 2Les grands courants de la pensée économiquesAlain SAMUELSON,p437.

.

It

RhT(h = t+1, …+t+T))VAN ( :

∑+

+= ++−=

Tt

1thh

h

)r1(

RI)r(VAN [1-10]

r :.

VAN.

:)23(

)24(.Jorgenson:

Jorgenson :

1-

LKyt = f(kt, Lt):It = Kt+1 - (1-d) Kt

2-.

)ptyt (pt )wtLt (wtxt

t

:

ttttttt IxLwypR −−= [1-11])*( :

tttttttt KcLwLKFp −−=Π ),( [1-12]ct:

t1ttt x)d1(x)i1(c −−+= − [1-13]

(23) Pierre DUHARCOURT, op.cité, P31.(24) Ibid, P32.

)*(:Patrick VILLIEU, op.cité, P 25-26

[1-13]t xt-1t(1+it)xt-1

itit

i)*(

.ct < (1+it)xt-1(1-d)xt

xt(1-d)xt

t

xt.

Jorgenson:t

t

t

t

px

pc

=

))d1(x/xi1

(px

pc

1tt

t

t

t

t

t −−+

==−

[1-14]

pt = xt:

dr))d1(1

i1(

pc

tt

t

t

t +≡−−Π+

+=

tt

t rdpc

≡− [1-15]

:rt.∏t :.

.Jorgenson

:1--)*(:

( , )t t t t tY F K L AK Lα β= =

:α + β < 1.

)*( .)*( -:

) :1997(783 -793.

:t t

t t

Y cK p

∂=

∂

:t t

t t

y YK K

α∂

=∂

:* 1 ( )tt t

t

cK Yp

α −= [1-16]

t[1-16]1-)

pc

(vt

tα=1

t

t )pc

( −

1−−= ttN KKIt

:

1( , ( ) )t

tNt

cI f Y

p

−+

−= ∆ ∆

2-µ(s):

s

s)s(ωγ

=µ

γsωs(s).:

1 1

1

( ) [ ]( )t

t t t tN

t t

p Y p YsIs c c

γα α

ω− −

−

= − [1-17]

JorgensonKoyckpt.:

1 11

1

( ) [ ]( )

t t t tGt t

t t

pY p YsI dKs c c

γα α

ω− −

−−

= − +

:

( ) 1 11

1

[ ] ( )[ ]t

t t t tG t

t t

pY p Yw s I dK sc c

γ α α − −−

−

− = − [1-18]

Jorgenson .

Jorgenson:1-

:

=

=

⇒

=∂∂

=∂∂

),(

),(

*

*

t

t

t

tt

t

t

t

tt

t

t

t

t

t

t

t

t

pc

pwKk

pc

pwLL

pc

Ky

pw

Ly

.

))p/t(),p/t((fI ttt wc −−∆∆=

2-]Eisner []Nadiri[)25( .

3- ]Hall []Jorgenson [

)26(.

(25) Pierre DUHARCOURT, op.cité, P44.(26) Patrick VILLIEU, op.cité, P27.

::

:

. )SM ()DM ) (

(

.It(i)

It = f(i):

0iI

<∂∂

:)4 :(

ii1i0

I1

I0

I

:(05)

02468

1012141618202224

0 5 10 15 20 25 30 35 40 45

% (p

) MEC

:

27

.

:

) (

.

:107.

(MEC) .

27Janine BREMOND, op,cite, p194.

:1-.2-.3-.4-.

.

:)28(

.)*(

:t

Jorgenson:

t1tt x)d1(x)i1(c −−+= −(**)

)28 () :12002(126 .)*(4.

)**(D. W. Jorgenson.

:

.

:1-.2-.3-.4-.5-.6-)(

:

)6 :(

:Patrick VILLIEU, op.cité, P 14.

:

.)29(

Richard Ferdinand KOHN1931)30(

.

:

CI G

(X-M)Y

:Y = C + I + G + (x - M) [1-19]

1-::

00 IkIb1

1y ∆=∆−

=∆ [1-20]

0 < b < 11b1

1>

− :

0Iy ∆>∆

b11k−

=)b(

))2--1 (133(.

(29) Alain SAMUELSON, op.cité, P449.(30) Ibid, op.cité, P450.

2-::

00 IkI1

1y ∆′=∆

β−=∆ [1-21]

β−=′

11k ))2--2 (

134(.

:

) ( .

ROBERTSON LAG

)(31

:1-:

:

[1-22]b1

b1kT

−−

=′′

0 < b < 1bTT:

∞→

→

T

0bT

b11k−

=

))2--1 (135( (.

31104.

2-:

k*=bT-1) )2--2 (136(T=1:

bT-1 = b0 = 1

:)( 1−−= ttN YYVI

t

V

:

1tt byac −+=

.:

ttttttt MXGyyVbyay −++−++= −− )( 11 [1-23]ytyt = yt-1:

][1

1tttt MXGa

by −++

−=

b11−

.

[1-23]

yt

.

:

:1-

.2-

.3-.4-.

(Econometric Model)

)()32 ( )33(

)34(

)(

) (...

]1959Kuh,[ ]1961,Mundlak[]1962Hoch,[]1966,BalestraNerlove[)35(

) ( )Hétérogénéité (

:

)1( G.S. Maddala, Introduction to econometrics, (USA : Macmillan Publishing Company, 2nd Ed,1992), p3.

)33 () :1998(3.(34) William GREENE, trad. Dedier SCHLACTHER et autres, Econométrie, (France : PearsonEducation, 5ème Ed, 2005), P 271.(35) Patrick SEVESTRE, op.cité, P 02.

:

.:

.

:.

:.

:.

-:.

-:

1-.2-.3-.

:1975-2005xit i t)*(

.)01 :(.

i=1i=2i=3i=4i=51975t=1x1,1x1,2......x1,5

1976t=2x2,1x2,2......x2,5

.

.

.

.

.

.

.

.

.2005t=30X30,1X30,2......x30,5

:

)* (.

:36

1-.-.-.

2-.3-.

:.

)37(:1-

.2-

.3-.4-.

)38(.

:(Hétérogénéité)

) (

.

(5) Formation permanente à l’économétrie des données de Panel, Ecole Doctorale en SciencesEconomiques, Gestion et Démographie, (France: Université Montesquieu-Bordeaux, 2005),p 06.(37) William GREENE, op.cité, P 272.(38) Patrick SEVESTRE, op.cité, 04.

)7 :(

:.

:

[ ] 2-1Y X β µ= +

:

:

1-1 1 2 2 ... k kY x x x uβ β β= + + + +

x11.2-0)( =uE :( )E Y X β=

3-IuuEu 2)()var( σ=′=

1 11

2 22

1 2

k n

. . .

. . .. .

, , ,. . . .. .

. . . .. .

. . .

k

n

uY

uY

Y X ux x x

Yu

ββ

β

β

= = = =

: Marc LE VAILLANT, Model à erreurs composées et model mixte

Atelier SAS/MATISSE, (France : CNRS-UMR 8052,Jeudi 07 Avril 2005), P04.

)39(:-u.

-.4-kX =)(ρ.5-x.6-un.

236:

:

)OLS (:

Y X uβ= +

:1-0)( =uE.2-( ) Iu 2var σ=).(3-E(uiuj) = 0i j.4-E(xiui) = 0.5-

b*k:e* =Y – Xb*

(OLS)b*ee:

***

****

xbxbyxb2yy)xby()xby(ee′+′′−′=

−′−=′

b*:

]32-[* **

*

2 2e e X Y X Xbb′∂ ′ ′= +

∂

b]2-3[:

(39) Jack JOHNSTON, op.cité, P 201.

2 (0, ) [2-2]u N Iσ

),0( 2INu σ

( )X X b X Y′ ′=

.)4 ()XX ′ (:

( ) ( ) [ ]1 2-4b X X X Y−′ ′=

)OLS(e.

)OLS(( ) β=bE

:

:

N

t=1,2 ;3,…..T:itY

i = 1,2,3,……….N)(t = 1,2,3,……….T)(

it.:

( ) ( ) ( ) [ ]2 2

2.. . .. .

1 1 1 1 1 2 6

N T N N T

it i it ii t i i t

Y Y T Y Y Y Y= = = = =

− = − + − −∑∑ ∑ ∑∑

:

.iY :itYi .

..Y :itY.]2-6[)(

i.

Intra-individuelleInter-individuelle

( ) ( ) 12 −′= XXbVar σ

[ ] 2-5e Y Xb= −

:

]NT[>]NT(K+1)[

:

itY :) (it.

,k itX :itkβ

it,0β :.

it,kβ :.

itw ::

)()40(

: -. -).( -. -.

(40) Patrick SEVESTRE, op.cité, P 10.

( )( ) ,var

,02wit

it

wwE

σ=

= ( )t,i∀( )t,i∀

[ ]0, , ,1

2-7K

it it k it k it itk

Y X wβ β=

= + +∑

:).(

...)41(

.

)42(

.

::

, 0 ,1

[2-8]K

k k it it k k it itk

Y Xβ β β β ε=

= ⇒ = + +∑

tε:

ittit wu ++= νε

iu :.

tν :.

itw :(Perturbation idiosyncratique).

iutν:1-.

(41) Ibid, P 53.)11 (169.

2-3-4-.5-itw.6-,k itX.

:) (

]2-8 [:

0 ,1

[2-9]K

it k k it itk

Y Xβ β ε=

= + +∑i = 1, 2, …, N.t = 1, 2, …, T.

:[ ] 2-10it i itu wε = +

:)*(

iu:1-.2-.3-iuit,kx.

iuitw:1, 2, ,

1, 2, ,

( / , ,..., ) 0 (i,t) [2-11]

( / , ,..., ) 0 (i,t )i it it k it

it it it k it

E u x x xE w x x x′

= ∀ ′= ∀

:2

1, 1, 1,

21, 1, 1,

1, 1, 1,

( / , ,..., ) (i,i )

( / , ,..., ) (i,i ,t,t ) [2-12]( / , ,..., ) 0 (i,i ,t)

i i it it it ii u

it i t it it it ii tt w

i i t it it it

E u u x x x

E w w x x xE u w x x x

δ σ

δ δ σ′

′ ′ ′ ′

′

′ ′= ∀ ′ ′= ∀ ′= ∀

)* ()]08 ([.

==

==⇔

2i

2t

i

2t

2

) var()var(

0)E(0)(

)N(0,)N(0,

u

t

v

ui

u

uEuσσν

ν

σν

σ

ν

:

:

1, 2, , 0 ,1

( / , ,..., ) [2-13]K

it it it k it k k itk

E Y x x x Xβ β=

= + ∑:

1, 2, , 1, ,cov( , / , ,..., ) cov( , / ,..., )it i t it it k it it i t it k itY Y x x x x xε ε′ ′ ′ ′=

"") (

2uσ

43.i:

[ ]iY X . 2-15( ,1) (T,K 1) (K 1,1) (T,1)

i i

Tβ ε= +

+ +

:

1 2( , ,..., )i i i iTY y y y ′=)i.(

iX.

iε:

iA,),...,,/var(

i,0),...,,/(

21

21

∀=

∀=

−−−−

−−−−

kiiii

kiiii

xxx

xxxE

ε

ε

A:

43 Ibid, p55.

2 2

2

si i i t t

si i i t t [2-14]0 si non

u w

u

σ σ

σ

′ ′ + = =

′ ′= ≠

2 2 2 2

2 2 2 2

2 2 2 2( . )

2 2

. . .

. . .. . . .. . . .. . . .

. . .

[2-16]

u w u u

u u w u

u u u w T T

w T u T

A

I J

σ σ σ σσ σ σ σ

σ σ σ σ

σ σ

+

+

=

+

= +

IT :T.JT(T ×T))1.(

A

.N:

Y X [2-17](NT,1) (NT,K 1) (K 1,1) (NT,1)

β ε= ++ +

:

[2-18]Ω=

=2

21

21

),...,,/var(0),...,,/(

ωσε

ε

k

k

xxxxxxE

:Ω2ωσ:

)*(

2 2 2 2var( ) [ (( ) / ) ] [2-19]w N w u w NW T Bε σ σ σ σ= + +

:WN(opérateur inter-individuel)(Within):

[ ( / )] [2-20]N N T TW I I J T= ⊗ −

)* (⊗)Le produit de Kronecker ()3(137.

( )

)])(/([

I

...00............0...00...0

...............

...

...

222

*N

21

22212

12111

2

TNwuNTw

NNNN

N

N

JII

A

A

AA

EEE

EEE

EEE

⊗+=

⊗=

=

′′′

′′′

′′′

=Ω

−−−−−−

−−−−−−

−−−−−−

σσσ

εεεεεε

εεεεεε

εεεεεε

σ ω

.BN(opérateur inter-individuel)(Between):

[ / ] [2-21]N N TB I J T= ⊗

.WNBN:

1-BWIBIW +=⇒−=I

2-0=BW

3-WWWBBB ′==′== 22 ,

var(ε)NWNB221 uw Tσσλ +=

22 wσλ =Ω

.) (

OLS)(β

OLS2wσ

]2-17 [GLS.

:)(

)44(:1-).(2-.

:.)45(

]1992Levin,Lin[)46(

....

:.

)47( .)*(

) (

(44) Michel LUBRANO, cours des séries temporelles, chapitre IV : tests de racine unitaire, Universitéde Paris, Septembre 2005, P 02.(45) Christophe HURLIN et Valerie MIGNON, Synthèse de tests de racine unitaire sur données depanel, Université d’Orléans, Janvier 2005, P 02.(46) Ibid, P 02.(47) Salanie.B, Guide pratique des series temporelles, Economie et Prévision, 1999, P 137.

)* ( :.

BaltagiKao

:)48(.

:

.

:)49(

:

:

)(

.:) (

.

:.

)inter-individuelle ( .

:

(48) Christophe HURLIN et Valerie MIGNON, op.cité, P 02.(18) Ibid, pp 2-3.

)2 :(.:.

1.H1

(1993-1992) LevinLin(2002) LevinLinChu

(1999) HarrisTzavalis

2..(20032002,1997) Im, PasaranShin

(1999) MadallaWu(2001,1999) Choi

(2000) Hadri3.

(2001) Hénin , Jolivaldt, Nguyen:.

1..(2001) BaiNg(2004) MoonPeroon

(2003) PhillipsSul(2003) Pesaran

(2002) Choi2.

(1998) O’connell(2004,2002) Chang

:Ibid, P4

:

)50(

(19) Ibid, p 4.

:

1-LevinLin:

Andrew LevinChien-Fu Lin)51(

)199219932002(DeckeyFuller)1979 (

:1 :]222-[1it it itY Yρ ε−∆ = +

2 :]2-23[1it i it itY Yα ρ ε−∆ = + +

3 :]2-24[1it i i it itY t Yα β ρ ε−∆ = + + +

:i = 1,2,………..Nt = 1,2,…..……T

itε) (iARMA

( )∞ AR:

]2-25[∑∞

=− +=

1kitkitikit uεθε

:( )2,0 uiσ i.i.dtuε :i = 1,2,………,N

:1-LevinLin

.2-

LevinLin

( )j,i,ji ∀ρ=ρ=ρy

.LevinLin:

1 :0H0H

1

0

<ρ==ρ=

(51) Ibid, P 05.

2:Nii ,.......2,1,0 =∀=α 00 == ρH

Nii ,.......2,1, =∀ℜ∈α01 <= ρH

3 :Nii ,.......2,1,0 =∀=β00 == ρH

Nii ,.......2,1, =∀ℜ∈β01 <= ρH

LevinLin23

( )0== ρρ i

( )0i =α

)2 (( )0i =β.

( )0ik ≠θLevinLin

Deckey-Fuller(ADF)t:

1 :

]2-26 [11

ip

it it is it s its

Y Y Y uρ γ− −=

∆ = + ∆ +∑2:

]2-27 [11

ip

it i it is it s its

Y Y Y uα ρ γ− −=

∆ = + + ∆ +∑3:

]2-28 [11

ip

it i i it is it s its

Y t Y Y uα β ρ γ− −=

∆ = + + + ∆ +∑ ::( )2

ui,0 σ i.i.dtuε

pi .LevinLin

.

:.

ρ

pii

pii = 1,2,3,….Nρ

LevinLinADF

.)2 ()2-27 (i

OLS.)1:(

Tpt i ,.....,2+=∀1

ip

it i is it s its

Y a b Y e−=

∆ = + ∆ +∑]2-29[

)2:(

Tpt i ,.....,2+=∀11

ip

it i is it s its

Y c d Y ϑ− −=

∆ = + ∆ +∑]2-30[

)1 ()3(]2-29 []2-30 [

N ittite 1= it

tit 1=ϑ:1−−= ii pTt(i) .

ρ∑=

N

iiT

1ite∑

=

N

1iiTitϑ

.

]2-31 [ui

itit σ

ϑϑ~

=ui

itit

eeσ

~ =

Tpt i ..,.........2+=∀,Ni ,........,1=∀2uiσADF)262-

272-282-.(iADF

:

]2-32 [( )∑+=

−−−

=T

ptitiit

iui

i

epT 2

22

11

ϑρσ

Tpt i ,........,2+=∀

iρOLSiρ :it1itiite ζ+ϑρ= −i.

∑=

N

1iiT it

tite 1= it1tit =ϑρ

ρOLS

]2-33 [ititit~e~ ε+ϑρ=

Tpt i ...,,.........2+=∀N.....,.........2,1i =∀

:.

Nsi Ωi2

2uiσi = 1,2, …, N.

^^ ^

^1 1

1 1 [2-34]N N

iN i

i i ui

S sN N σ= =

Ω= =∑ ∑

t-student.

:LevinLin)LL(

ρOLS:

0:0 =ρH

t-student:

^

^

^

^0 [2-35]t

ρ

ρ

ρ

σ==

:2^^ρσρ:

1

1 1

22~

2 ~−

= +=

= ∑ ∑

N T

ptit

iεε ϑσσ

ρ

2~εσitε:

( )1

22

1 1 2 [2-36]

i

N N T

i it iti i t p

T eε

σ ρϑ−

= = = +

= −

∑ ∑ ∑%

%%

LevinLin∑=

N

iiT

1

( )1PTNT~N −−=

:∑=

=N

iiP

NP

1

1

)1) ( (levinlin)52(0=ρt

(Normale centrés réduite)00 == ρH.23)composante déterministe(

( )∞−0H

0H.LLt-student:

]2-37[

×××−= ==

*2~

0*~

*0

~1: TmN

Tm

sTNttLL µρσσσ ε

ρρ

3,2,1=∀m

(m=1,2,3)T~ :1PTT~ −−=*

Tmµ*Tmσ)4 -

-138(iP

.t-student

:

:

t 0=ρt*

0=ρ)A:Asymptotiquement(

t-student0=ρt23 .Lin

Levin*0=ρt

.

(52) Ibid, P 12.

∞→T~p

1*T~1σ

∞→T~p

0*~1Tµ)P(

N(0,1) [2-38]L*

0=ρt : 0T/N →T,N →∝

A

:

:

.2-ImPesaranShin:

)53(LevinLin

H1iρ

ImPesaranShin)199720022003 (

)ji ρρ ≠()54(i ≠ j.)∗(IPSADF)2

LevinLin(.IPS:

11

[2-39]ip

it i i it ij it j itj

Y Y Yα ρ β ε− −=

∆ = + + ∆ +∑

:i = 1, 2, …, N

αi:

Riii ∈−= i, γγρα

IPSLevinLin

)0=ρ ()αi = 0(.IPS:

N...,,2N,1Ni,0N...,2,1,,0:HN...,2,1,i,0:

11i

11

0

++=∀==∀<=∀=

ρρρ

iH

i

i

i = 1, 2, …, N1Yit.

(53) Ibid, P 15.(54) Ibid, P 15.

(*) Im Pesaran Shin IPS.

itε ∼ ),0(d.i.N 2iσ

64.1: *0 −<=ρtLL

i = N1+1, …, NYit.0 < N1 < NN1 / N:

10,/N1 <<=∞→

δδNLimN

IPS

IPSN→ ∝T.IPSADF:

( )ii 1

1_ p , [2-40]N

NT it it bar tN

β=

= ∑),( iiiT pt βt-studentH0 : 0=iρ]2-39[

piADF),...,(iip1ii ββ=βN

ADF),p(t iiiT β),( βpZ tbar

ηADF:[ _ ( )]( , ) [2-41]

var( )NT

tbarN t bar EZ p η

βη

−=

E(η)var(η)ADF

)0=ρ ()T → ∝(IPSZtbar(p,β)

N→ ∝T

TIPS)2003 (Wtbar(p,β)

Ztbar(p,β) .Wtbar(p,β)ADF

βiADF:]0/)0,(var[ =iiiT pt ρ]0/)0,([ =iiiT ptE ρ

wtbar(p,β):1

1

1

1

[ _ [ ( ,0) / 0]]( , ) [2-42]

var[ ( ,0) / 0]

N

NT iT i ii

tbar N

iT i ii

N t bar N E t pW p

N t p

ρβ

ρ

−

=

−

=

− ==

=

∑

∑

(0,1) N( )βp,tbarW

L

T,N ∝

( )[ ]0/0, =ρiiT ptE( )[ ]0/0,var =ρiiT pt)4--

138 (IPSpiT.

IPSZtbar

(T = 10)ZtbarDF

IPSWtbar(p,β)NT

.Ztbar(p,β)ADF

E(η)var(η)DF (pi)

Wtbar(p,β).

:5%:

<-1.64Ztbar(p,β)Wtbar(p,β) <-1.64

.

3-MaddalaWu:

Fisher)1932 (MaddalaWu

)1999()p– values (N

)G(Fp iTii =)p– value (Gi

(i)FTi(.)

GiTi.Gi

t-studentADF ]1988,PhillipsPerron [.

MaddalaWu:

[43])pln(2PN

1iiMW ∑

=−=

MWΖ )( 1,0N

p-value

[0,1]ln(pi)( )12χ∀i = 1, 2, …, N

:( )N22χ∼MWP

N.

3-1-:

:( )N22χPMW >.

MaddalaWuIPS

)i jρ ρ≠ (i ≠ j.]2001Choi, [N

:( )[ ]

( )[ ]i

iMWMW pLnVar

pLnEPNN2

21

−−−

=Ζ−

[2-44]( )[ ]∑=

−−=ΖN

iiMW PLn

N 122

21

)2-44 (ChoiMW1PN−

P-valuesi-i-d

:∼

H0∞→N.:

64.1MWΖH0.

.

4-:

ImLevinLin(LL)( )tbarΖIPS)55( :

(55) Ibid, P 23.

1-( )tbarΖ(LL)NT

( )tbarΖ(LL).2-ADF

( )tbarΖ(LL).

MaddalaWuLevin(LL)( )tbarΖ

MaddalaWu)1999 (

(MW)(LL)( )tbarΖ

( )tbarΖ(MW)ADF)56(:

1-iρ)1 (( )tbarΖ(MW)iρ)1(

( )tbarΖ(MW)(LL).

2-(MW)( )tbarΖ

(LL).

:.)OLS(

)GLS ()2-17 (.

:(GLS).

1-:Ω(GLS))17 (:

( ) 11 1GLS X X X Yβ

−− −′ ′= Ω Ω

(56) Ibid, PP 23, 24.

Ω))5 (139 (GLS

:]2-45[( ) ( )1

GLS N N N NX W X X B X XW Y X B Yβ θ θ−′ ′ ′= + +

WNBNθ:

22

2

uw

w

Tσσσ

θ+

=

GLS

.λθ:

θσσ

σλ =

+= 22

2

uw

w

T

:

( ) ( ) ( )1N N N NX W X X B X X W Y X B Yβ λ λ λ

−′′ ′ ′ ′= + +

GLSOLS:

:

( ) ( ) ( ). .1 1 1it i it i it iY Y X Xθ θ β ε θ ε + − = + − + + −

:.iYitYi

.iεitεi2-GLS)∗(:1-( ) ββ =Ε GLSGLS.2-:

( ) ( ) 12 1GLS wVar X Xβ σ

−−′= Ω1

22

22

−

′

++′= XBX

TXWX N

uw

wNw σσ

σσ

GLS

:

)∗ (GLS:Jack JOHNSTON, op.cité, PP 345-346.

1 1 12 2 2Y X β ε

− − −Ω = Ω + Ω

∼GLS∞→TN∞→NT.

:

NxxN B

NXBX

→ ∞→

NxxN W

NWXX

→′

∞→

iuiw

GLS∞→N.

∼ :∞→NTGLS

:

∼ :

NTWXXLimW

TN

NTxx

′=

∞→,

:∞→θ∞→T

GLS

.GLS

2uσ2

wσθ

θθ

EGLS.

GLSβ12

22 2, w

w N Nw u

N X W X X B XT

σβ σ

σ σ

− ′ ′+ +

( )( )12,0 −+ N

xxN

xxw BWN θσ( )GLSN β β−

( )( )12,0 −NTxxw WN σ( )GLSNT β β−

:)EGLS(.

1-:

EGLSGLSΩ

:

( ) ( )11 1EGLS X X X Yβ

−− −′ ′= Ω Ω

( ) ( )1 [2-46]n N n NX W X X B X X W Y X B Yθ θ

−′ ′ ′ ′= + +

:

2uσ2

wσ.

2-:2uσ2

wσSawmy

Arora)1972()57(

.)Intra-indivudielle (OLS

.

:

:

(57) Patrick SEVESTRE, op.cité P 61.

( ) NwN WW 2var σε =

22

2

uw

u

Tσσσ

θ+

=

N N NW Y W XB W ε= +

( ) [ ]. . i.- 2-47it i it i itY Y X X β ε ε− = − +

Kruskal)*(

OLSβ

)BLEU (2wσ:

w

ww

wx

www kTNMrang −−

′=

′=

)1()(2 εεεε

σ))))

:wk]2-47[

wε):

y

XWyW

w

wNNw

wx

xN

N1-

NNN

M)yP-(W

)yWXX)WXX(W-(W

==

′′=

−= βε))

wε))*(.

:

OLS

)NT-kw()N(T-1)-kw(.

2wσ)N →∝TT→∝N.

)inter-individuelle (OLS:

[2-48]N N NB Y B X Bβ ε= +

)2 2( / )u w Tσ σ+(:

b N N b bxB Y X M Yε β β= − =))

:

])(

[)( 2

b

bbb kNT

EE−

′=

εεσ

)))

)* ()6 -139.()* (:

Patrick SEVESTRE, op.cité, P 61.

2

2 ])1(

[)(

w

w

www kTN

EE

σ

εεσ

=

−−′

=))

)

2 2 2( ) ( ( / ))b u wE Tσ σ σ= +)

kb[2-48].θ:

^22

2

2

2

uw

w

b

w

TT σσ

σσ

σθ

+==

)

)

))

GLSθ)

θ.

3-EGLS:EGLS:

1 1 1

-1 -1 -1

( ) [( ) ]

E[(X X) X ]EGLSE E X X X Yβ

β εβ

− − −′= Ω Ω

′ ′= + Ω Ω≠

) ) )

) )

)βEGLS (Ω)

ε.]1980Taylor,[)58(

EGLSβ)

2uσ2

wσ

N ≥ k+5T ≥ 2.

:.GLSEGLS

:

1-)OLS:(

1-1-:

OLS

OLS:

(58) Ibid, P 63.

1( ) [49]OLS X X X yβ −′ ′=)

1-2-OLS:

OLSOLS

:2 1 1var( ) ( ) ( )OLS w X X X X X Xβ σ − −′ ′ ′= Ω

)

→ ∝NTui

witOLS)N → ∝.(

( )OLSN β β−) ∼ )))(()(,0( 112 −− +++ N

xxNxx

Nxx

Nxx

Nxx

Nxxw WBBWWBN θσ

2-)Inter-individuel ()Between:(

2-1-:

OLS:

. , . .1

[2-50]K

i k k i ik

Y Xβ ε=

= +∑:.iYitYi

, .k iX,k itXk

.iεitεi

.iε:

.. iii wu +=ε

i = 1, 2, …, N]2-50 [BN.

51]-[2)1,(,1)(k),()1,( b NT

NkNT

NNT

N BXByBb

εβ +=

]512- [:

( ) YBXXBX NNB ′′= −1β

BN:

]/[ TJIB TNN ⊗=

k=kb.2-2-:

1-:1( ) [( ) ]B N NE E X B X X Yβ β

β

−′ ′=

=

)

2-:

1-N

22

112

X)X)(T(

)()()var(

BXBXXBBXXX

uw

NNNNwB

′+=

′Ω′′= −−

σσ

βσβ)

→ ∝NT→ ∝NT .N → ∝.( )BN β β−)∼ ))(,0( 12 −N

xxu BN σ

3-)Intra-individuel ()Within(

3-1-:

OLS

OLS:

. . .( ) [2-52]it i it i it iY Y X X w wβ− = − + −

:.

.

.

i

i

i

YXw

i

:

(k ,1)( ,1) ( , ) ( ,1) [2-53]

ww

N N NNT NT k NT

W y W X Wβ ε= +

]2-53 [:1( )w N NX W X XW Yβ −′=

)

:WN:

)]T/JI(I[W TTNN −⊗=

k > kw)(.3-2-:1-:

2-:

1-2

11

X)X(

)()()var(

W

WXXWXXWXX

w

W

′=

′Ω′′= −−

σ

β)

ββ =)( WE)

→ ∝NT→ ∝NT.

→ ∝NTN,T → ∝:

T,N → ∝GLS

.

:

"λ ":

( ) ( ) ( )1N N N NX W X XB X X W y B Yβ λ λ λ−′ ′= + +

( ) ( )( )1N N N NX W B X X W B Yλ λ

−′ ′ = + +

λ

)3 :(

0=λwβ

θλ =GLSβGLS

θ=λEGLSβEGLS

1=λOLSβOLS

∞=λBβ

:Marc LEVAILLANT, op.cité, P15

:.

1-:

3:

1-1-:2uσ:

( )ββ −wN ( )( )12,0 −Nxxw WN σ∼

( )ββ −wNT ∼ ( )( )12,0 −NTxxw WN σ

20 : 0uH σ =

21 : 0uH σ ≠

.:

∼:

:∼2

0 : 0uH σ =:

∼H0:

α :)5%1%.(

1-2-:

]1979,Breusch

Pagan[)59( .OLS:

( )

2

1 1

2

1 1

2 12 1

it

N T

iti t

N T

i t

NTLMN

ε

ε

= =

= =

= − −

∑ ∑

∑∑

:

( )212LM χ→

84.3LM5%

.

(59)Patrick SEVESTRE, op.cité, p 70.

( )( )2

1 wkTN −−χ( )( ) 2

2

1w

wwkTN

σσ

−−

( )( )2

1 wkTN −−χ( ) ( ) 22

2

22

2

wu

bb

wu

bb T

TkNkNσσ

σσσ

σ+

−=+

−

222

2

.w

b

wu

w TT σ

σσσ

σ+

( )( )wb kTNkNF −−− 1,

( )( )wb kTNkNF −−− 1,2w

bTσσ

( )( )α

wb kTNkNcal FF −−− 1,

∼

1-3-Honda:

.]1985,Honda [

BreuschPagan)60(Honda

:

:

1 1.64LM

H0BreuschPagan:96.184.364.1 =

2-:

0iβkiβ

F.2-1-:

:

0 01 02 0 0: ... NH β β β β= = = =

:1H

F:61

( )

1

1

mco mco w w

olsww w

w

e e e eNF e e

N T k

′ ′−−= ′

− −

(N-1)(N(T-1)-kw)

(29) Ibid, p 71.(25) P.Blanchard, Séminaire des données de panels, (France : ERUDITE ,2000), 53.

( )( )2

1 1

21 1

1 12 1

N Titi t

N Titi t

NTLMN

ε

ε

= =

= =

′ = − −

∑ ∑∑ ∑

:mcoe)OLS(

we)within(H0 :

( ) ( )( )( )1% , 5%

1 , 1 wolsw N N T k

F F− − −

<

2-2-(poolability test)::

0 1 2: ...k k kN kH β β β β= = = =

:1H

F:62

( )

( 1)mco mco i i

pooli i

e e e eK NF e e

N T K

′ ′−−= ′

−

K(N-1)N(T-K)

:ie.H0 :

( )( ) ( )( )( )1% , 5%

1 ,pool K N N T KF F

− −<

3-Hausman:

]1978Hausman, [)63(.

3-1-Hausman:

.

3-2-Hausman:

:( ) ti,0:0 ∀=Ε← iti xuH

( ) ti,0:1 ∀≠Ε← iti xuHMundlak

(26) Ibid, p53.(63) Williame GREENE, op.cité, P 289.

Mundlak)64(

GLS

H0H1(Within).:

:wk

1−= kkwHausman:

∼:

1-( )2

1kQ χ −0H⇐.

2-( )2

1kQ χ −1H⇐Mundlak.

:.

)65(.)04:(

-. -. -

. -. -. -. - .

-.

-.

-.

(64) Marc LE VAILLANT, op.cité, P 15.(65) Formation permanente à l’économétrie des données de Panel, op.cite, PP 7-8.

( ) ( )[ ]qVarVarqQ GLSw ββ −′= ( )2

1−kχ

GLSwq ββ −=

:

) (

) (

.:

1-).(...

2-.

3-

.4-

∞→TN∞→NTEGLS.5-

.

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1995 -2005

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28,630,3832,9535,641,51,61,63,3 -

4,755,235,796,35221,92,1 -

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26,3828,7031,0833,271,61,61,42,5 -

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25,54133,96223,23138,756 - -93.5

1,0680,9391,3401,8784.45.1365.4

32,98633,33443,81351,7443.06.57 -61.6

17,98719,46824,99228,6823.22.3164.2 :- World Development indicator 2004

-:www.worldbank.org

GDP

3,8%19957%2003

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0.0E+00

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10,5832,414,611,4

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39,1 -37,452,559,6

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56,6 -28,13,427,8

33,6 -46,353,859,6

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8,3 -23,713,312,6

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29,4 -4755,559,21

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1995

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2922,444,93448,7

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25,7 -8039,348

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24,1 -95,043,151

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1995-2005

4,3 -4,2 -3,43,8

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76

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13,3 -42,58,83,7

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67- Ibid , p47

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28,1%

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14%23%

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:

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FDIGFCF

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72

71 - World Investment Report 2005, United Nations, New York and Geneva, 200572 - Abdelkader Sid Ahmed, op.cité, p7.

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Annuaire de l'Afrique du Nord 2000-2001, France, Mai 2003, p83-

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www.heritage.org/research/features/index/

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.

79 - 275.80-:

1- Pierre BLANCHARD, Etude de la consommation (en volume) d’essence, séminaire d’économétrie

des panels, janvier 2000.

2- Mourad AYOUZ, Estimation économétrique des fonctions d’importation de produits agricoles de

l’Afrique de l’Ouest, 2001.

3- Stéphanie JAMET, Allégements généraux de cautisations sociales et emploi peu qualifier, 2005.

Ed, 2004), p 421.thHill Companies, 4-: The GLSraw, (USAasic econometricsB(16) Damodar GUJARATI,

::

itit4it3it2it10it LgdsLeopenLefLgdpLgfcf ε+β+β+β+β+β=

:i(i=1 , ….,5)

t(t=1995,….2005)

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23 - Damodar GUJARATI, op.cité, p421.

( ) ( ) ( )2 2 2

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)DW ()n=5<15( .)LEOPEN (

)Between .(

32-)11 (156.98- William GREENE, trad. Dedier SCHLACTHER et autres, op.cite, p 271.

)26 :(Between

F

LGDP, LEF9.23524.617Fcal=0.054 LGDP,LEF,LEOPEN9.27533.091

LEOPEN0.04010.040

0.73810.738

10.0134 :

5%(1,1) 161calF F< =LEOPEN

)Between(.

-:

(GDP)1%

(GFCF)0.98%

)GFCF((EF)1%

)GFCF(1.30%

)r =-0.26 .(

.

( ) ( ) ( ) ( )2 2

3.63 0.88 1.22 0.23

2.82 27.01 8.01 1.90

0.97 , 0.97 , 794.09 , 5 , 11 55 , 51 , DW=0.61

tlgfcf lgdp lef leopen

t stat

R R F N TNT df

ε= + − − +

− −

= = = = == =

( ) ( )2 2

_ 3.15 0.89 _ 1.15 _ 0.18 _

2.76 (27.54) 5.52 (-1.63)

0.99 , 0.99 , 40833.78 , 5 , 1154 , df 50 , DW=1.89

tlgfcf s lgdp s lef s leopen s

t stat

R R F N TNT

ε= + − + +

− −

= = = = == =

3-)OLS:(99:

:-:

tt5% 10%

)GDP ()EF ()GFCF (

)EOPEN (98%

R2FF

5%

)DW ()OLS (

:100

99-)11 (156.100-)10 (156.

:-:

tt

5%

)LEOPEN_S (t

)GDP ()EF ()GFCF (99%

FF

5%

)DW ()OLS ()BLUE .(

)LEOPEN()OLS.(

)27 :()OLS(

F


LEOPEN0.05510.0551.035500.020

3382.26254 :

5%(1,50) 4.03calF F< =

)LEOPEN()OLS(.

-:

)GDP(1%

( ) ( ) ( ) ( )2 2 2

6.98 0.70 0.65 0.20

4.51 12.65 2.53 2.16

=0.99 , =0.99 , 65588.83 , =0.023 , =0.82

5 , 11 , 55 , df=51

t

g

lgfcf lgdp lef leopen

t stat

R R FN T NT

σ θ

ε= + − − +

− − −

=

= = =

)GFCF (0.89%

)EF (1%

1.15%

.

4-)EGLS:(101:

:- :

tt5%

)GFCF (99%F

5%

)LEOPEN (.

101-)11 (156.

)28 :()EGLS(

F


LEOPEN2977.33812977.338

0.876510.017

4512.32255 :

5%(1,51) 4.02calF F> =)LEOPEN (

)EGLS(.

-:

)GDP(1%

)GFCF(0.70%

)EF (

)EOPEN(1%

0.65%0.20%

.

BetweenWithin

:2

20.046 3.060.015

b

w

σσ

= =

.

5-:5-1 -:

-:2

2b

w

T σσ

Fcal

( )11 0.04633.73

0.015==

2

2b

w

T σσ

=Fcal

:( )

( )

5%1 , 47

1%1 , 47

4.08

7.31

FF

=

=

:( )

( )

5%1 , 47

1%1 , 47

cal

cal

F FF F

>

>

H0.

- )(Pagan , Breusch: :LM2 = 15.52

LM2 > 3,845%H0

.LM2 > 6,631%H0.

:H0

.

5-2-:-:

0 01 02 05 0: ...H β β β β= = = =

:1H

:22.70olswF =

:( )

( )

5%4 , 47

1%4 , 47

2.61

3.83

FF

=

=

:( )

( )

5%4 , 47

1%4 , 47

olsw

olsw

F FF F

>

>

H0. -(poolability test):

0 1 2 5: ...k k k kH β β β β= = = =

:1H

:10.18poolF =

:( )

( )

5%16 , 35

1%16 , 35

2.01

2.70

FF

=

=

:( )

( )

5%16 , 35

1%16 , 35

pool

pool

F FF F

>

>

H0.

:H0

)GDP ()EF(

.

:

Hsiao)1986(102

.

(37) Christophe HURLIN, L’économétrie des données de panel" Modèleslinéaires simples"(France :Ecole Doctorale Edocif), p10.

Hsiao)1986 ()12.(

:

:)29 :(

)LGFCF()LGFCF(

WithinBetweenOLSEGLSWithinBetweenOLSEGLS

1.30)0.98(

1.77)2.27(

3.85)3.40(

0.28 -)0.03 -(

3.15)2.76(

6.98)4.51(

LGDP0.42)4.70((*)

0.94)18.85(

0.91)32.45(

0.79)18.12(

0.41)4.28(

0.98)4.94(

0.89)27.5(

0.70)12.65(

LEF0.48 -)1.55 -(

1.32 -)3.29 -(

1.17 -)5.51 -(

0.55 -)2.45 -(

0.48 -)1.50 -(

1.30 -)2.30 -(

1.22 -)8.5 -(

0.65 -)2.53 -(

LEOPEN0.035)0.27(

0.16)0.19(

0.18 -)1.6 -(

0.20 -)2.16 -(

(*)t-Student

:

83

200570%

15%3%

2%1995 -2005

1.8%

2005102.25747

586067

149

))29((

50%

59%

GDP

)r =0.97()GDP% ((GFCF%)

))13 (164(

62%2004

" "8502.5%

)MENA(50%

))29((

.

)GDP ()EF (

)GDS ( .

:

)(

:1-

.2-(GFCF)

).(

3-) (

.4-)GDP(

.5-)GDP()EF (

.6-

.7-

) ( .

:

I-:1.

.

2.

.3.

.

4.) (

.5.

.

6..

7.)GDP ()EF ( ) (.

8. .9..

10.

.

II -::

E .

E)PVAR.(

I.:

.:1.) :1

2002(.2. ) : 1

2002(.3. ) :

2(.

4. ) :41992(.

5.) :1998(.

6.):1994(.7.) :

1997(.

8.) :2004(.

9. ) :2000(.

.:

10.2003 :2003.

11. :]14152005.[

.:

12.

2000.13.

1992.

.:14.

2003-2004.

II.:

.:

15. BOURBONNAIS Régis et Michel TERRAZA, Analyse des séries temporellesen économie (France: PUF, 1er ED, 1998).

16. BREMOND Janine, Mieux comprendre l'économie, (France : Edition Liris,1993, 2ème Ed).

17. DUHARCOURT Pierre, La fonction d'investissement, (France : Serey, 19701).18. GREENE William, trad. Dedier SCHLACTHER et autres, Econométrie,

(France: Pearson Education, 5ème Ed, 2005).19. GUJARATI Damodar, Basic econometrics, (USA : The GLSraw-Hill

Companies, 4th Ed, 2004).20. JOHNSTON Jack, Méthodes économétriques, Trad, Bernard GUERRIEN,

(France : Economica, 2ème tome, 1988).21. MADDALA .G.S, Introduction to econometrics, (USA : Macmillan Publishing

Company, 2nd Ed, 1992).22. SAMUELSON Alain, Les grands courants de la pensée économiques, (Algérie :

OPU, 2ème Ed).23. SEVESTRE Patrick, Econonmétrie des données de panel, (France : Dunod,

2002).24. SIDAHMED Abdelkader, Economie du Maghreb, (France : CNRS Edition,

1996).25. VILLIEU Patrick, Macroéconomie : l'investissement, (France : La découverte,

2000).

.:

26. AYOUZ Mourad, Estimation économétrique des fonctions d’importation deproduits agricoles de l’Afrique de l’Ouest, (France : CNRS), 2001.

27. BLANCHARD Pierre, Etude de la consommation (en volume) d’essence,séminaire d’économétrie des panel (France: université Paris 12 VAL DEMARNE), janvier 2000.

28. HASSEN Ayoub et ABDELHAK Kamel, IDE, Croissance et Gouvernance dansles pays Sud de la méditerranée : une estimation sur donné de panel, 2005.

29. HURLIN Christophe et Valérie MIGNON, Synthèse de tests de racine unitairesur données de panel, Université d’Orléans, Janvier 2005.

30. JAMET Stéphanie, Allégements généraux de cautisations sociales et emploi peuqualifier, (France : DARES), 2005.

31. LEVAILLANT Marc, Model à erreurs composées et mock-up mixte, AtelierSAS/MATISSE, (France : CNRS-UMR 8052,Jeudi 07 Avril 2005).

32. SALENIE.B, Guide pratique des séries temporelles, Economie et Prévision,1999.

33. Communication sur le projet de rapport : Les investissements en infrastructureset le rôle des milieux socio économiques dans l’édification de l’espace euroméditerranéen 4ème sommet des CES LISBONNE, 11éme Session plénière CNESSeptembre 1998.

34. Formation permanente à l’économétrie des données de Panel, Ecole Doctorale enSciences Economiques, Gestion et Démographie, (France: UniversitéMontesquieu-Bordeaux, 2005).

35. Rapport de développement des télécommunications dans le monde, UnionInternational des Télécommunications, Genève, 2006.

36. World Investment Report 2005, United Nations, New York and Geneva, 2005

.:

37. ARTHUR Charpentier, cours des séries temporelles, théorie et applications,Université paris – dauphine, 2004.

38. HURLIN Christophe, L’économétrie des données de panel " Models linéairessimple"(France : Ecole Doctorale Edocif)

III. :

39.Microsoft Encarta2005

40.2004.

41.)2004 ([World Development indicators 2004]

42.:www.worldbank.org

43.www.sesrtcic.org

44. :www.Itu.int

45. :www.uis.unesco.org

46.Heritage:www.heritage.org

47. :.who.orgwww

200320042005 GFCF GDS

" """) ∗ (

SPSS ..

∗-1n


http://www.sesrtcic.org

http://www.Itu.int

http://www.uis.unesco.org

http://www.heritage.org

)1 :(obs GFCF? GDP? EF? GDS? EOPEN?

_DZA-1995 1,22E+10 4,18E+10 3,68 1,17E+10 49,2

_DZA-1996 1,17E+10 4,68E+10 3,7 1,47E+10 46,333

_DZA-1997 1,18E+10 4,79E+10 3,63 1,54E+10 47,235

_DZA-1998 1,26E+10 4,74E+10 3,64 1,28E+10 43,9

_DZA-1999 1,24E+10 4,72E+10 3,59 1,49E+10 46,484

_DZA-2000 1,20E+10 5,35E+10 3,4 2,36E+10 56,746

_DZA-2001 1,25E+10 5,49E+10 3,45 2,28E+10 56,694

_DZA-2002 1,38E+10 5,59E+10 3,05 2,26E+10 54,256

_DZA-2003 1,32E+10 6,80E+10 3,39 3,56E+10 59,506

_DZA-2004 1,34E+10 8,50E+10 3,26 3,98E+10 61,832

_DZA-2005 1,36E+10 1,02E+11 3,49 5,55E+10 70

_LBY-1995 2,98E+09 2,55E+10 4,95 4,83E+09 52,476

_LBY-1996 3,75E+09 2,79E+10 4,95 5,65E+09 54,654

_LBY-1997 3,66E+09 3,07E+10 4,95 5,31E+09 48,591

_LBY-1998 2,99E+09 2,73E+10 4,95 2,85E+09 42,683

_LBY-1999 3,31E+09 3,05E+10 4,95 5,44E+09 40,07

_LBY-2000 4,45E+09 3,40E+10 4,85 1,14E+10 49,502

_LBY-2001 3,57E+09 2,84E+10 4,9 7,05E+09 54,901

_LBY-2002 2,65E+09 1,91E+10 4,6 4,88E+09 80,832

_LBY-2003 3,31E+09 2,32E+10 4,48 4,51E+09 85,769

_LBY-2004 3,29E+09 3,02E+10 4,55 4,48E+09 90,736

_LBY-2005 3,28E+09 3,88E+10 4,4 4,44E+09 84,85

_MRT-1995 2,06E+08 1,07E+09 3,78 95203000 114,959

_MRT-1996 2,07E+08 1,12E+09 3,88 70300000 105,395

_MRT-1997 1,93E+08 1,10E+09 4,03 86900000 105,546

_MRT-1998 1,90E+08 1,00E+09 3,96 50700000 110,845

_MRT-1999 1,70E+08 9,58E+08 4 57000000 117,341

_MRT-2000 2,87E+08 9,40E+08 4 1,43E+08 118,876

_MRT-2001 3,18E+08 9,62E+08 3,89 1,13E+08 124,738

_MRT-2002 3,05E+08 9,69E+08 3,46 23900000 146,049

_MRT-2003 3,14E+08 1,34E+09 3,15 74088071 116,699

_MRT-2004 3,37E+08 1,53E+09 2,99 72770226 124,975

_MRT-2005 3,62E+08 1,89E+09 2,98 71452381 139,6

_MAR1995 7,07E+09 3,30E+10 3,03 4,64E+09 41,15

_MAR1996 7,11E+09 3,66E+10 2,94 5,94E+09 39,392

_MAR1997 6,91E+09 3,34E+10 3,05 5,80E+09 42,115

_MAR1998 7,89E+09 3,58E+10 3,03 6,48E+09 36,465

_MAR1999 8,35E+09 3,52E+10 2,9 6,82E+09 56,194

_MAR2000 8,04E+09 3,33E+10 3,05 5,81E+09 61,828

_MAR2001 7,55E+09 3,39E+10 2,8 6,65E+09 53,376

_MAR2002 8,27E+09 3,61E+10 3,1 6,63E+09 55,661

_MAR2003 8,45E+09 4,38E+10 2,96 7,90E+09 54,031

_MAR2004 8,63E+09 5,00E+10 2,93 9,41E+09 56,675

_MAR2005 8,84E+09 5,17E+10 3,18 8,69E+09 77

_TUN-1995 4,36E+09 1,80E+10 2,93 3,72E+09 76,83

_TUN-1996 4,54E+09 1,96E+10 2,83 4,61E+09 67,96

_TUN-1997 4,66E+09 1,89E+10 2,89 4,53E+09 77,83

_TUN-1998 4,93E+09 1,98E+10 2,9 4,67E+09 71,33

_TUN-1999 5,32E+09 2,08E+10 2,96 5,00E+09 83,94

)1(

)2 :(--1-:

Y:Y = C + I + G + (x - M) [1]

:C = a + by

a :.b :.

C[1]:y = a + by + I + G + (X - M)y(1-b) = a + I + G + (X - M)

))((1

1 MXGIab

y −+++−

= [2]

I00I∆

00 II ∆+∆yy + ∆y [2]:

)(1

100 MXGIIa

byy −++∆++

−=∆+ [3]

[3][2]:

00 IkIb1

1y ∆=∆−

=∆

0 < b < 11b1

1>

− :

0Iy ∆>∆

b11k−

=)b(

.

obs GFCF? GDP? EF? GDS? EOPEN?

_TUN-2000 5,11E+09 1,95E+10 2,94 4,62E+09 75,2

_TUN-2001 5,23E+09 2,00E+10 2,99 4,66E+09 80,95

_TUN-2002 5,30E+09 2,10E+10 2,89 4,41E+09 92,19

_TUN-2003 5,60E+09 2,50E+10 2,91 5,50E+09 90,25

_TUN-2004 5,76E+09 2,81E+10 2,94 6,05E+09 77,15

_TUN-2005 5,93E+09 2,87E+10 3,14 6,40E+09 99

ySs

∆∆

=b + s = 1)*(

K:

s1k =

.

0I∆0I∆

I∆

)I(b 0∆

1b∞....IbIbIy 0

200 +∆+∆+∆=∆

02 I...)bb1(y ∆+++=∆ [4]

:0 < b < 1 :b1

1−

[4]:

0Ib1

1y ∆−

=∆

-2-:

:I = I0 + αy. :α.

CI[1]:

MXGyIbyay −+++++= α0

MXGIaby −+++=−− 0)1( α

)()(1

10 MXGIa

by −+++

+−=

α

b + α = β:

)* ( :66.

][1

10 MXGIay −+++

−=

β [5]

β103

yyyIII 00 ∆+→⇒∆+→

:

][1

100 MXGIIayy −++∆++

−=∆+

β [6]

)6 ()5 (:

00 IkI1

1y ∆′=∆β−

=∆ [7]

β−=′

11k.

-: -1-

y0t=1

)0I∆(t=1y0

) 0I∆ ( .

( )0I∆t=2 )I(b 0∆

)I(b 0∆t=2:

0002 IbIyy ∆+∆+=

t=3:

02

0003 IbIbIyy ∆+∆+∆+=

t = T:

01T

1TT Ibyy ∆+= −−

01T

02

000T Ib...IbIbIyy ∆++∆+∆+∆+= −

103.

y1

y2

01T2

0T I)b...bb1(yy ∆++++=− − [8][8]b:

0T1T2

0T I)bb...bb(b)yy( ∆++++=− − [9]

[9][8]:T

000T0T bIIb)yy()yy( ∆−∆=−−−

0T

0T I)b1()b1)(yy( ∆−=−−

b1b1Iy

T

0 −−

∆=∆

0Iky ∆′′=∆ [10]

:b1

b1kT

−−=′′.

-2-:

0I∆

t=1:

001 Iyy ∆+=

)I(b 0∆

0I∆t=2:

0012 IIbyy ∆−∆+=

00002 IIbIyy ∆−∆+∆+=

002 Ibyy ∆+=

t=2(y2)(y0)

t=1:

0012 IIbyy ∆−∆=−

0I)1b(yy 012 <∆−=−

t=30I)1b(b ∆−

y3:

023 I)1b(byy ∆−+=

0003 I)1b(bbyyy ∆−++=

02

03 Ibyy ∆+=

y0y2

:

01T

0T Ibyy ∆+= −

:

01T Iby ∆=∆ −

0* Iky ∆=∆ [11]

)3 :(.

AB( )n,m( )q,p

(Kronecker)BA ⊗( )nq,mp:baBA ij=⊗

:ija.:

2 22 2

1 23 3 4 4

1 3 43 3 4 4

2 12 22 2

a b a bc d c d

a b a b a bc d c d c d

a b a bc d c d

− ⊗ =

2 N T NTI I I− ⊗ =

:1-ABBA ⊗≠⊗

2-( ) ( )CBCACBA ⊗+⊗=⊗+

3-( )( ) BDACDC.BA ⊗=⊗⊗

4-( ) 111 BABA −−− ⊗=⊗

5-( ) BABA ′⊗′=′⊗

)4 :(-LevinLin

:Christophe HURLIN et Valerie MIGNION, Une synthese des tests de racine unitaire surdonnées de panel, (France: Université d'Orleans, 2005), p13.

-IPS

:Ibid, p20

)5 :(Ω.

:

ε+= Bxy( ) ( ) ( ) ( )1,NT1,KK,NT1,NT

:( ) 0x =εΕ( ) Ω=εxVar

:( )

( ) ( )

( )BW

BW

TJI

TJII

TJ

TJII

T1TJ

TJII

JTJ

TJII

JII

JIJI

JII

2u

2w

2w

2w

2u

2w2

w

TN2

w

2u

2wT

TN2w

T2w

2u

2wT

TN2w

2w

2uTT

TN2w

T2w

2uTT

NN2w

T2w

2u

TN2w

TN2uTN

2w

TN2uNT

2w

σ+σ+σ=

σσ+σ

+σ=

⊗

σσ+σ

+

−⊗σ=

σσ+σ

+

−⊗σ=

σσ

++

−⊗σ=

σσ

++−⊗σ=

σσ

+⊗σ=

⊗σ+⊗σ=

⊗σ+σ=Ω

( )2u

2w Tσ+σ2

wσΩ

)6 :(Kruskal

KruskalOLSGLS∗∗∗ +β= uxy

:( ) ∗∗ σ= IuVar 2H:

HXX ∗∗ =Γ

)7 :()MATLAB(-IPS:

Lgfcf

[ADF]=ADF_Individual(y,2,[3 1 0 3 0],3)

[results]=Test_IPS(y,2,3)

tbar: -0.7705Wbar: 1.3846Wbar_pvalue: 0.9169Zbar: 1.5864Zbar_pvalue: 0.9437critical: [-2.3263 -1.6449 -1.2816]tbar_DF: -1.3462Zbar_DF: 0.3412Zbar_DF_pvalue: 0.6335pi: [5x1 double]tstats_ind: [5x1 double]pmax: 3Ti: [5x1 double]model: ' Model with intercept: Model 2'

Lgdp



tbar: 1.6547Wbar: 6.2463Wbar_pvalue: 1.0000Zbar: 6.8313Zbar_pvalue: 1.0000critical: [-2.3263 -1.6449 -1.2816]tbar_DF: 0.3972Zbar_DF: 4.1117Zbar_DF_pvalue: 1.0000pi: [5x1 double]tstats_ind: [5x1 double]pmax: 3Ti: [5x1 double]model: ' Model with intercept: Model 2'

Lef



tbar: -3.3218Wbar: -3.6141Wbar_pvalue: 1.5069e-004Zbar: -3.9314Zbar_pvalue: 4.2229e-005critical: [-2.3263 -1.6449 -1.2816]tbar_DF: -1.2667Zbar_DF: 0.5132Zbar_DF_pvalue: 0.6961pi: [5x1 double]tstats_ind: [5x1 double]pmax: 3Ti: [5x1 double]model: ' Model with intercept: Model 2'

Leopen



tbar: -0.4105Wbar: 2.1450Wbar_pvalue: 0.9840Zbar: 2.3649Zbar_pvalue: 0.9910critical: [-2.3263 -1.6449 -1.2816]tbar_DF: -0.8763Zbar_DF: 1.3574Zbar_DF_pvalue: 0.9127pi: [5x1 double]tstats_ind: [5x1 double]pmax: 3Ti: [5x1 double]model: ' Model with intercept: Model 2'

Lgds



tbar: -2.0105Wbar: -1.1115Wbar_pvalue: 0.1332Zbar: -1.0954Zbar_pvalue: 0.1367critical: [-2.3263 -1.6449 -1.2816]tbar_DF: -1.6329Zbar_DF: -0.2787Zbar_DF_pvalue: 0.3902pi: [5x1 double]tstats_ind: [5x1 double]pmax: 3Ti: [5x1 double]model: ' Model with intercept: Model 2'

-MW:Lgfcf

[MW]=Test_MW(x,2,[1 1 2 0 0],3)PMW: 11.9978PMW_Critical: [23.2093 18.3070 15.9872]PMW_pvalue: 0.2852ZMW: 0.4467ZMW_Critical: [2.3263 1.6449 1.2816]ZMW_pvalue: 0.3275pvalue: [5x1 double]pi: [5x1 double]pmax: 2Ti: [5x1 double]tstats: [5x1 double]sample: [5x2 double]model: ' Model with intercept: Model 2'

Lgdp

[MW]=Test_MW(x,2,[0 0 1 0 0],3)PMW: 6.3921PMW_Critical: [23.2093 18.3070 15.9872]PMW_pvalue: 0.7813ZMW: -0.8067ZMW_Critical: [2.3263 1.6449 1.2816]ZMW_pvalue: 0.7901pvalue: [5x1 double]pi: [5x1 double]pmax: 2Ti: [5x1 double]tstats: [5x1 double]sample: [5x2 double]model: ' Model with intercept: Model 2'

Lef

[MW]=Test_MW(x,2,[2 1 1 0 2],3)PMW: 6.3491PMW_Critical: [23.2093 18.3070 15.9872[

PMW_pvalue: 0.7851ZMW: -0.8164ZMW_Critical: [2.3263 1.6449 1.2816[

ZMW_pvalue: 0.7929pvalue: [5x1 double[pi: [5x1 double[

pmax: 2Ti: [5x1 double[tstats: [5x1 double[sample: [5x2 double[

model: ' Model with intercept: Model 2

Leopen[MW]=Test_MW(x,2,[2 2 0 1 1],3)PMW: 11.3410PMW_Critical: [23.2093 18.3070 15.9872]PMW_pvalue: 0.3316ZMW: 0.2999ZMW_Critical: [2.3263 1.6449 1.2816]ZMW_pvalue: 0.3821pvalue: [5x1 double]pi: [5x1 double]pmax: 2Ti: [5x1 double]tstats: [5x1 double]sample: [5x2 double]model: ' Model with intercept: Model 2'

Lgds

[MW]=Test_MW(x,2,[2 1 0 2 0],3)PMW: 11.3777PMW_Critical: [23.2093 18.3070 15.9872]PMW_pvalue: 0.3289ZMW: 0.3081ZMW_Critical: [2.3263 1.6449 1.2816]ZMW_pvalue: 0.3790pvalue: [5x1 double]pi: [5x1 double]pmax: 2Ti: [5x1 double]tstats: [5x1 double]sample: [5x2 double]

model: ' Model with intercept: Model 2'

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proc contents de invest 23:30 Wednesday, November 17, 2006

CONTENTS PROCEDURE

-----Alphabetic List of Variables for TMP1.INVEST-----

COUNTRY IDENT LEF LEOPEN LGDP LGDS LGFCF YEAR

-----Sortedby-----

COUNTRY YEAR proc contents de datiml

CONTENTS PROCEDURE

-----Alphabetic List of Variables for WORK.DATIML-----

CONSTANT LEF LGDP LGDS LGFCF informations sur le fichier de données

DATASET : WORK.DATIML.DATA

VAR NAME TYPE SIZE LGFCF NUM 8 LGDP NUM 8 LEF NUM 8 LGDS NUM 8 CONSTANT NUM 8

Number of Variables: 5 Number of Observations: 55

informations sur le fichier de données

Nobs Variable N NMISS MEAN STD MIN MAX ------------------------------------------------------------------------- 55 LGFCF 55 0 21.94049 1.38344 18.95100 23.34700 LGDP 55 0 23.56662 1.42097 20.66100 25.35100 LEF 55 0 1.25362 0.18735 1.02900 1.59900 LGDS 55 0 21.87327 1.92720 17.74100 24.74100 CONSTANT 55 0 1.00000 0 1.00000 1.00000 -------------------------------------------------------------------------

résultats within

estimation within

NOMVARW BWITH ECW STW NSMW LGDP 0.1878348 0.1011807 1.8564303 0.0696668 LEF -0.874273 0.2745631 -3.184232 0.0025762 LGDS 0.1470959 0.0569151 2.5844795 0.0129187

SIG2W sig²w 0.0137646

matrice de var-cov du within

VBWITH 0.0102375 0.011645 -0.00296 0.011645 0.0753849 -0.00248 -0.00296 -0.00248 0.0032393

-:

proc contents de invest 16:30 Thursday, November 18, 2002

CONTENTS PROCEDURE



-----Sortedby-----

COUNTRY YEAR statistiques descritives sur les principales variables

Variable N Mean Std Dev Minimum Maximum -------------------------------------------------------------------- LGFCF 55 21.9404909 1.3834395 18.9510000 23.3470000 LGDP 55 23.5666182 1.4209706 20.6610000 25.3510000 LEF 55 1.2536182 0.1873459 1.0290000 1.5990000 LGDS 55 21.8732727 1.9271995 17.7410000 24.7410000 --------------------------------------------------------------------

corrélation des principales variables

Correlation Analysis

4 'VAR' Variables: LGFCF LGDP LEF LGDS corrélation des principales variables


Pearson Correlation Coefficients / Prob > |R| under Ho: Rho=0 / N = 55

LGFCF LGDP LEF LGDS

LGFCF 1.00000 0.97599 -0.25928 0.97514 0.0 0.0001 0.0559 0.0001

LGDP 0.97599 1.00000 -0.10451 0.98076 0.0001 0.0 0.4477 0.0001

LEF -0.25928 -0.10451 1.00000 -0.10326 0.0559 0.4477 0.0 0.4531

LGDS 0.97514 0.98076 -0.10326 1.00000 0.0001 0.0001 0.4531 0.0

estimation within

Model: MODEL1NOTE: No intercept in model. R-squa re is redefined.

Dependent Variable: WLGFCF

Analysis of Variance

Sum of Mean Source DF Squares Square F Value Prob>F

Model 3 0.58289 0.19430 15.617 0.00010.64694 0.0124452Error

U Total 55 1.22983

Root MSE 0.11154 R-square 0.4740 Dep Mean -0.00000 Adj R-sq 0.4436

C.V. -8.633795E16

estimation within

Parameter Estimates

Parameter Standard T for H0: Variable DF Estimate Error Parameter=0 Prob > |T|

0.05621.9530.09619328WLGDP 1 0.187835.001503.349-0.261029370.874273-WLEF 1

0.00892.7180.05410966WLGDS 1 0.147096

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proc contents de invest12:20 Friday, February 22, 2002

CONTENTS PROCEDURE



-----Sortedby-----

COUNTRY YEARproc contents de datiml

CONTENTS PROCEDURE


CONSTANT LEF LGDP LGFCFinformations sur le fichier de données

Nobs Variable N NMISS MEAN STD MIN MAX-------------------------------------------------------------------------55 LGFCF 55 0 21.94049 1.38344 18.95100 23.34700

LGDP 55 0 23.56662 1.42097 20.66100 25.35100LEF 55 0 1.25362 0.18735 1.02900 1.59900CONSTANT 55 0 1.00000 0 1.00000 1.00000

-------------------------------------------------------------------------

résultats within

estimation within

NOMVARW BWITH ECW STW NSMWLGDP 0.3222604 0.0917794 3.5112511 0.0009817LEF -0.761658 0.286673 -2.656889 0.0106764

SIG2Wsig²w 0.0153933


VBWITH0.0084235 0.01048830.0104883 0.0821814

estimation between

NOMVAR BBETW ECB STB NSMBCONSTANTE 1.3073406 1.3281607 0.984324 0.4287309LGDP 0.9458456 0.0501642 18.855008 0.002801LEF -1.321958 0.4009645 -3.296946 0.0809798

SIG2Bsig²b 0.0242412

matrice de var-cov du between

VBBETW1.764011 -0.061615 -0.244983-0.061615 0.0025164 0.0018431-0.244983 0.0018431 0.1607725

résultats mcqg

esimation mcqg

NOMVAR BMCQG ECG STG NSMGCONSTANTE 3.8514028 1.1324647 3.4009032 0.0013795LGDP 0.7969271 0.0439692 18.124666 0LEF -0.551834 0.2247525 -2.455297 0.0178315

matrice de var-cov des mcqg

VBMCQG1.2824763 -0.048203 -0.11299-0.048203 0.0019333 0.0021074-0.11299 0.0021074 0.0505137

SIG2W SIG2B SIG2U SIG2Gsig2w = 0.0153933 sig2b = 0.0242412 sig2u = 0.0228419 sig2g = 0.0273857

THETAtheta = 0.7597342

-:

proc contents de invest

CONTENTS PROCEDURE



corrélation des principales variables12:20 Friday, February 22, 2002


3 'VAR' Variables: LGFCF LGDP LEF


LGFCF LGDP LEF

LGFCF 1.00000 0.97599 -0.259280.0 0.0001 0.0559

LGDP 0.97599 1.00000 -0.104510.0001 0.0 0.4477

LEF -0.25928 -0.10451 1.000000.0559 0.4477 0.0

estimation mco

Dependent Variable: LGFCF


Sum of MeanSource DF Squares Square F Value Prob>F

Model 2 101.03194 50.51597 1132.781 0.0001Error 52 2.31892 0.04459

C Total 54 103.35086

Root MSE 0.21117 R-square 0.9776Dep Mean 21.94049 Adj R-sq 0.9767

C.V. 0.96249

Parameter Estimates

Parameter Standard T for H0:Variable DF Estimate Error Parameter=0 Prob > |T|

INTERCEP 1 1.400639 0.53593096 2.613 0.0117LGDP 1 0.934030 0.02033499 45.932 0.0001LEF 1 -1.174258 0.15423568 -7.613 0.0001

Durbin-Watson D 0.604(For Number of Obs.) 551st Order Autocorrelation 0.641

)OLS (:estimation mco 18:36 Saturday, March 2, 2002

Model: MODEL1NOTE: No intercept in model. R-square is redefined.

Dependent Variable: LGFCF_S


Sum of MeanSource DF Squares Square F Value Prob>FModel 3 3381.17251 1127.05750 52730.710 0.0001

Error 51 1.09007 0.02137 U Total 54 3382.26258


C.V. 1.85496

Parameter Estimates


INT_S 1 1.771127 0.77758909 2.278 0.0270LGDP_S 1 0.916919 0.02825153 32.456 0.0001LEF_S 1 -1.170639 0.21236081 -5.512 0.0001


estimation between

Dependent Variable: MLGFCF



Model 2 9.23525 4.61762 190.486 0.0052Error 2 0.04848 0.02424

C Total 4 9.28373


C.V. 0.70963

Parameter Estimates


INTERCEP 1 1.307341 1.32816074 0.984 0.4287MLGDP 1 0.945846 0.05016416 18.855 0.0028MLEF 1 -1.321958 0.40096448 -3.297 0.0810

Durbin-Watson D 1.715(For Number of Obs.) 51st Order Autocorrelation -0.177

estimation between

OBS _MODEL_ _TYPE_ _DEPVAR_ _RMSE_ INTERCEP MLGDP MLEF MLGFCF

1 MODEL1 PARMS MLGFCF 0.15570 1.30734 0.94585 -1.32196 -1

estimation within

NOTE: No intercept in model. R-square is redefined.Dependent Variable: WLGFCF



Model 2 0.49095 0.24548 17.608 0.00010.73888 0.0139453Error

U Total 55 1.22983

Root MSE 0.11807 R-square 0.3992Dep Mean -0.00000 Adj R-sq 0.3765C.V. -9.139468E16

Parameter Estimates


0.00053.6900.08734292WLGDP 1 0.3222600.00732.792-0.272815760.761658-WLEF 1


.

)Within(:

estimation within 18:36 Saturday, March 2, 2002


Dependent Variable: WLGFCF_S



0.57833 0.0111252Error U Total 54 0.97362


C.V. 6058.14512

Parameter Estimates


0.00014.7940.08860723WLGDP_S 1 0.4248010.10911.630-0.298467710.486609-WLEF_S 1


.

estimation mcqg

NOTE: No intercept in model. R-square is redefined.Dependent Variable: GLGFCF



Model 3 1534.10881 511.36960 18672.888 0.0001Error 52 1.42405 0.02739U Total 55 1535.53286

Root MSE 0.16549 R-square 0.9991Dep Mean 5.27155 Adj R-sq 0.9990C.V. 3.13923

Parameter Estimates


GLGDP 1 3.8514028 1.13246473.40090320.0013795GLEF 10.79692710.043969218.1246660

GCONST 1 -0.551834 0.22475252.455297-0.0178315

test LM2 de Breusch-Pagan : H0 : sig²(u) = 0

OBS SSEIT2 SSQUOLS N T NT KB KW LMTEST P

1 6.47890 2.31892 5 11 55 3 2 8.85001 .0058617

)11 :()(-IML

proc contents de invest12:20 Friday, February 22, 2002

CONTENTS PROCEDURE


COUNTRY IDENT LEF LEOPEN LGDP LGDS LGFCF YEA CONTENTS PROCEDURE


CONSTANT LEF LEOPEN LGDP LGFCF

informations sur le fichier de données

Nobs Variable N NMISS MEAN STD MIN MAX-------------------------------------------------------------------------55 LGFCF 55 0 21.94049 1.38344 18.95100 23.34700

LGDP 55 0 23.56662 1.42097 20.66100 25.35100LEF 55 0 1.25362 0.18735 1.02900 1.59900LEOPEN 55 0 4.23616 0.36882 3.59600 4.98300CONSTANT 55 0 1.00000 0 1.00000 1.00000

-------------------------------------------------------------------------

résultats within

estimation within

NOMVARW BWITH ECW STW NSMWLGDP 0.3190289 0.0961349 3.3185539 0.0017533LEF -0.754134 0.295606 -2.551145 0.0140517LEOPEN 0.0133152 0.1044223 0.1275127 0.8990786

SIG2Wsig²w 0.0157154


VBWITH0.0092419 0.0092124 -0.0026460.0092124 0.0873829 0.0061618-0.002646 0.0061618 0.010904

résultats between

estimation between

NOMVAR BBETW ECB STB NSMBCONSTANTE -0.286974 8.3729353 -0.034274 0.978189LGDP 0.9821841 0.1987529 4.9417351 0.1271087LEF -1.302255 0.565624 -2.302334 0.2608591LEOPEN 0.1683692 0.8625337 0.1952031 0.8772731

SIG2Bsig²b 0.0467029

matrice de var-cov du between

VBBETW70.106045 -1.63914 -1.296367 -7.044716-1.63914 0.0395027 0.0223408 0.160567-1.296367 0.0223408 0.3199305 0.0870601-7.044716 0.160567 0.0870601 0.7439644

résultats mcqgesimation mcqg

NOMVAR BMCQG ECG STG NSMGCONSTANTE 6.9857542 1.5456646 4.5195797 0.0000432LGDP 0.7063194 0.0557962 12.658927 2.22E-16LEF -0.653732 0.2579802 -2.534041 0.014745LEOPEN -0.20568 0.0949189 -2.166899 0.0354572

matrice de var-cov des mcqg

VBMCQG2.3890789 -0.079999 -0.203328 -0.056545-0.079999 0.0031132 0.003871 0.0004199-0.203328 0.003871 0.0665538 0.0067674-0.056545 0.0004199 0.0067674 0.0090096

SIG2W SIG2B SIG2U SIG2Gsig2w = 0.0157154 sig2b = 0.0467029 sig2u = 0.0452742 sig2g = 0.0234857

THETAtheta = 0.8250983

-

proc contents de investCONTENTS PROCEDURE



corrélation des principales variables


4 'VAR' Variables: LGFCF LGDP LEF LEOPEN


LGFCF LGDP LEF LEOPEN

LGFCF 1.00000 0.97599 -0.25928 -0.771840.0 0.0001 0.0559 0.0001LGDP 0.97599 1.00000 -0.10451 -0.785710.0001 0.0 0.4477 0.0001

LEF -0.25928 -0.10451 1.00000 -0.033360.0559 0.4477 0.0 0.8089

LEOPEN -0.77184 -0.78571 -0.03336 1.000000.0001 0.0001 0.8089 0.0

estimation mco

Analysis of VarianceSum of Mean

Source DF Squares Square F Value Prob>F

Model 3 101.18470 33.72823 794.097 0.0001Error 51 2.16616 0.04247

C Total 54 103.35086


C.V. 0.9393

Parameter Estimates


INTERCEP 1 3.632868 1.28801086 2.821 0.0068LGDP 1 0.884875 0.03264412 27.107 0.0001LEF 1 -1.228809 0.15324689 -8.018 0.0001

LEOPEN 1 -0.237344 0.12514930 -1.896 0.0636Durbin-Watson D 0.612(For Number of Obs.) 551st Order Autocorrelation 0.641

)OLS (:estimation mco 18:40 Sunday, March 3, 2002


Dependent Variable: LGFCF_S



Error 50 1.03506 0.02070U Total 54 3382.26258


C.V. 1.82553

Parameter EstimatesParameter Standard T for H0:

Variable DF Estimate Error Parameter=0 Prob > |T|

INT_S 1 3.151483 1.14134802 2.761 0.0080LGDP_S 1 0.890089 0.03231021 27.548 0.0001LEF_S 1 -1.154841 0.20921699 -5.520 0.0001LEOPEN_S 1 -0.180171 0.11052800 -1.630 0.1094


estimation between

Dependent Variable: MLGFCFAnalysis of Variance


Model 3 9.27531 3.09177 367.181 0.0383Error 1 0.00842 0.00842

C Total 4 9.28373


C.V. 0.41823

Parameter Estimates


INTERCEP 1 -0.285585 1.93429516 -0.031 0. 978189MLGDP 1 0.989658 0.25214162 4.945 0. 1271087MLEF 1 -1.301121 0.23853657 -2.305 0. 2608591MLEOPEN 1 0.162021 0.18705898 0.191 0. 8772731

Durbin-Watson D 1.812(For Number of Obs.) 51st Order Autocorrelation -0.297

estimation between

OBS _MODEL_ _TYPE_ _DEPVAR_ _RMSE_ INTERCEP MLGDP MLEF MLEOPEN MLGFCF

1 MODEL1 PARMS MLGFCF 0.091762 -0.285585 0.98965 -1.30112 0.16202 -1

estimation within

NOTE: No intercept in model. R-square is redefined.Dependent Variable: WLGFCF

Analysis of VarianceSum of Mean

Source DF Squares Square F Value Prob>F

Model 3 0.49095 0.16365 11.517 0.00010.73888 0.0142152Error

U Total 55 1.22983Root MSE 0.11920 R-square 0.3992Dep Mean -0.00000 Adj R-sq 0.3645

C.V. -9.226928E16Parameter Estimates


0.00063.6550.0881790322601WLGDP 1 0.30.00792.765-0.27542696165850.7-WLEF 10.99901180.0.00090444111320.0WLEOPEN 1


.

)Within(:estimation within 18:40 Sunday, March 3, 2002


Dependent Variable: WLGFCF_S



Error 51 0.57687 0.01131U Total 54 0.97362


C.V. 6109.53433

Parameter Estimates


WLGDP_S 1 0.413826 0.09444311 4.382 0.0001WLEF_S 1 -0.482470 0.30122021 -1.602 0.1154

WLEOPEN_S 1 0.035179 0.09798284 0.359 0.7211


estimation mcqg

NOTE: No intercept in model. R-square is redefined.Dependent Variable: GLGFCF



Model 4 4511.44673 1127.86168 65588.835 0.0001Error 51 0.87699 0.01720

U Total 55 4512.32373


C.V. 1.45074

Parameter Estimates


GLGDP 1 0.7063194 0.0557962 12.658927 2.22E-16

GLEF 1 -0.653732 0.2579802 -2.534041 0.014745 GLEOPEN 1 -0.20568 0.0949189 -2.166899 0.0354572

GCONST 1 6.9857542 1.5456646 4.5195797 0.0000432

test LM2 de Breusch-Pagan : H0 : sig²(u) = 0

OBS SSEIT2 SSQUOLS N T NT KB KW LMTEST P

1 7.31380 2.16616 5 11 55 4 3 15.5299 .00016242

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Documents

Ì ð ã ð ® ð ° ð gbiblio.univ-alger.dz/xtf/data/pdf/1088/BOUTIAH_WALID.pdf · 2008-05-03 · Ì ð ã ð ® ð ° ð g ... 35