- Table 2 : Variables
Appendix 4 Stability test outcomes
4.1 – Real Consumption equation
Figure 4.1.1 – Evolution of the coefficients over time
Evolution of the coefficients in the time
C ON STA N TE
loggdpre a l
20 25 30 35 40 45 50 55 60
loggdpre a ld
20 25 30 35 40 45 50 55 60
logprivc ons d
20 25 30 35 40 45 50 55 60
Figure 4.1.2 – CUSUM and CUSUM squared test’s results
-20
CUSUM 5% Significance
-0.4
Figure 4.1.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.1.4 - Influence test for the coefficients
Influence test - Real consumption equation
CONSTANTE
of REAL CONSUMPTION(t-1)
20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
REAL WAGES (t-1)
20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
Delta REAL GDP(t-2)
20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
Delta REAL CONSUMPTION(t-5)
20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
Delta REAL WAGES
20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
4.2 – Investment rate equation
Figure 4.2.1 – Evolution of the coefficients over time
Evolution of the coefficients in the time
C ON STA N TE
logf direa l
30 35 40 45 50 55 60
Figure 4.2.2 – CUSUM and CUSUM squared test’s results
-6
2008:2 2008:3 2008:4
CUS UM 5% Signific anc e
2008:2 2008:3 2008:4
CUSUM of Squares 5% S ignific anc e
Figure 4.2.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
30 35 40 45 50 55 60
Figure 4.2.4 - Influence test for the coefficients
Influence test - Real investment equation
CONSTANTE
INFLUENCE - GFCF/CAPITAL(t-1)
30313233343536373839404142434445464748495051525354555657585960
INFLUENCE - REAL FDI
30313233343536373839404142434445464748495051525354555657585960
INFLUENCE - REAL GDP
30313233343536373839404142434445464748495051525354555657585960
INFLUENCE - GOV CONSUMPTION(t-1)
30313233343536373839404142434445464748495051525354555657585960
INFLUENCE - Delta INTEREST RATE(t-4)
30313233343536373839404142434445464748495051525354555657585960
INFLUENCE - DUMMY2008_1
30313233343536373839404142434445464748495051525354555657585960
4.3 – Real Exports equation
Figure 4.3.1 – Evolution of the coefficients over time
CO NST ANT E
Figure 4.3.2 – CUSUM and CUSUM squared test’s results
-30
CUSUM 5% Signific anc e
-0.4
Figure 4.3.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.3.4 - Influence test for the coefficients
Influence test -REAL EXPORT
INFLUENCE CONSTANTE
INFLUENCE REAL EXPORT{t-2}
20 25 30 35 40 45 50 55 60
INFLUENCE GDP USA{t-3}
20 25 30 35 40 45 50 55 60
INFLUENCE Delta BRENT
20 25 30 35 40 45 50 55 60
INFLUENCE Delta REAL EXPORT{t-1}
20 25 30 35 40 45 50 55 60
INFLUENCE Delta EXCHANGE RATE{t-3}
20 25 30 35 40 45 50 55 60
4.4 – Real Imports equation
Figure 4.4.1 – Evolution of the coefficients over time
Evolution of the coefficients in the time
CONSTANTE
Figure 4.4.2 – CUSUM and CUSUM squared test’s results
-30
CUSUM 5% Significanc e
-0.2
CUSUM of Squares 5% Signific anc e
Figure 4.4.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
10 15 20 25 30 35 40 45 50 55 60
Figure 4.4.4 - Influence test for the coefficients
Influence test - Real import equation
INFLUENCE - CONSTANTE
10 15 20 25 30 35 40 45 50 55 60
INFLUENCE - REAL OUTPUT
10 15 20 25 30 35 40 45 50 55 60
INFLUENCE Delta REAL IMPORT(t-4)
10 15 20 25 30 35 40 45 50 55 60
4.5 – Changes in inventories equation
Figure 4.5.1 – Evolution of the coefficients in time
Evolution of the coefficients in the time
CONSTANTE
Figure 4.5.2 – CUSUM and CUSUM squared test’s results
-30
CUSUM 5% Significance
-0.2
CUSUM of Squares 5% Signific ance
Figure 4.5.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.5.4 - Influence test for the coefficients
Influence test - Inventory stock equation
CONSTANTE
4.6 – Real Government expenditures equation Figure 4.6.1 – Evolution of the coefficients over time
Evolution of the coefficients in the time
C ON STA N TE
Figure 4.6.2 – CUSUM and CUSUM squared test’s results
-30
CUSUM 5% Significance
-0.4
Figure 4.6.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.6.4 - Influence test for the coefficients
Influence test - Real government expenditures equation
INFLUENCE - CONSTANTE
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - TREAND
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - REAL GOV CONSUMPTION(t-2)
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - BRENT(t-2)
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - Delta EXCHANGE RATE(t-2)
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - Delta REAL GOV CONSUMPTION(t-1)
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - Delta CPI (t-1)
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
4.7 – Employment equation
Figure 4.7.1 – Evolution of the coefficients over time
CONSTANTE
Figure 4.7.2 – CUSUM and CUSUM squared test’s results
-30
CUSUM 5% Significance
-0.4
Figure 4.7.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.7.4 - Influence test for the coefficients
Influence test - Employment equation
INFLUENCE CONSTANTE
INFLUENCE GDP REAL{t-1}
2 0 2 5 3 0 3 5 4 0 4 5 50 55 6 0
INFLUENCE Delta GDP REAL
2 0 2 5 3 0 3 5 4 0 45 50 5 5 6 0
INFLUENCE Delta LABOR FORCE
2 0 2 5 3 0 3 5 4 0 45 50 5 5 6 0
INFLUENCE Delta LABOR FORCE{t-1}
2 0 2 5 3 0 3 5 4 0 45 50 5 5 6 0
INFLUENCE Delta LABOR FORCE{t-2}
2 0 2 5 3 0 3 5 4 0 4 5 5 0 5 5 6 0
INFLUENCE Delta EMPLOYMENT{t-2}
2 0 2 5 3 0 3 5 4 0 4 5 5 0 5 5 6 0
4.8 – Productivity equation
Figure 4.8.1 – Evolution of the coefficients over time
Evolution of the coe fficients in the time
C ONSTAN TE
20 25 30 35 40 45 50 55 60
EXPEND SOC R EAL
20 25 30 35 40 45 50 55 60
Figure 4.8.2 – CUSUM and CUSUM squared test’s results
-30
CUSUM 5% Significance
-0.2
CUSUM of Squares 5% Signific anc e
Figure 4.8.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.8.4 - Influence test for the coefficients
Influence test - Productivity equation
INFLUENCE - CONSTANTE
20 25 30 35 40 45 50 55 60
INFLUENCE Delta SOCIAL EXPENDITURES
20 25 30 35 40 45 50 55 60
INFLUENCE - GFCF
20 25 30 35 40 45 50 55 60
INFLUENCE - Delta PRODUCTIVITY (t-1)
20 25 30 35 40 45 50 55 60
4.9 – Real Wages equation
Figure 4.9.1 – Evolution of the coefficients over time
Evolution of the coefficients in the time
logppicpid{2}
Figure 4.9.2 – CUSUM and CUSUM squared test’s results
-30
CUSUM 5% Signific ance
-0.4
Figure 4.9.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.9.4 - Influence test for the coefficients
Influence test - Wages equation
INFLUENCE - CPI/PPI(t-2)
20 25 30 35 40 45 50 55 60
INFLUENCE - Delta REAL WAGES(t-4)
20 25 30 35 40 45 50 55 60
INFLUENCE - PRODUCTIVITY(t-2)
20 25 30 35 40 45 50 55 60
INFLUENCE - REAL WAGES (t-1)
20 25 30 35 40 45 50 55 60
INFLUENCE - CONSUMER PRICES(t-1)
20 25 30 35 40 45 50 55 60
4.10 – Consumer Prices equation
Figure 4.10.1 – Evolution of the coefficients over time
C ON STA NTE
Figure 7.10.2 – CUSUM and CUSUM squared test’s results
-30
CUSUM 5% Significance
-0.4
CUSUM of Squares 5% Significance
Figure 4.10.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.10.4 - Influence test for the coefficients
Influence test -Consumer Prices
IN FLU EN C E C ON STA N TE
4.11 – Producer prices equation
Figure 4.11.1 – Evolution of the coefficients over time
Evolution of the coefficients in the time
CONSTANTE
Figure 4.11.2 – CUSUM and CUSUM squared test’s results
-20
CUSUM 5% Significance
-0.4
CUSUM of Squares 5% Significance
Figure 4.11.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.11.4 - Influence test for the coefficients
Influence test - Producer prox equation
INFLUENCE - CONSTANTE
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - TREND
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - PPI (t-1)
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - BRENT
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - Delta PPI (t-7)
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
INFLUENCE - DUMMY99
2021222324252627282930313233343536373839404142434445464748495051525354555657585960
4.12 – Interest rate equation
Figure 4.12.1 – Evolution of the coefficients over time
Evolution of the coefficients in the time
CONSTANTE
Figure 4.12.2 – CUSUM and CUSUM squared test’s results
-30
CUSUM 5% Significance
-0.4
CUSUM of Squares 5% Significance
Figure 4.12.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.12.4 - Influence test for the coefficients
Influence test - Interest rate equation
INFLUENCE - CONSTANTE
20 25 30 35 40 45 50 55 60
INFLUENCE - INTEREST RATE(t-2)
20 25 30 35 40 45 50 55 60
INFLUENCE - Delta CPI(t-4)
20 25 30 35 40 45 50 55 60
INFLUENCE - EXCHANGE RATE (t-1)
20 25 30 35 40 45 50 55 60
INFLUENCE - Delta INTEREST RATE(t-2)
20 25 30 35 40 45 50 55 60
4.13 – Nominal exchange rate equation
Figure 4.13.1 – Evolution of the coefficients in time
Evolution of the coefficients in the time
C ON STAN TE
LOGEXCH R ATE(t-1)
20 25 30 35 40 45 50 55 60
Figure 7.13.2 – CUSUM and CUSUM squared test’s results
-20
CUSUM 5% Significance
-0.4
CUSUM of Squares 5% Signific ance
Figure 4.13.3 – Harvey and Collier Phi-test
TEST PHI EVOLUTIF
20 25 30 35 40 45 50 55 60
Figure 4.13.4 - Influence test for the coefficients
Influence test - Nominal exchange rate equation
CONSTANTE
INFLUENCE - EXCH RATE(t-1)
20 25 30 35 40 45 50 55 60
INFLUENCE - Delta PPI(t-2)
20 25 30 35 40 45 50 55 60
INFLUENCE - DUM M Y99:2
20 25 30 35 40 45 50 55 60