Modèle :
ROAt = 𝜶1 + 𝜶2 LPNBt + 𝜶3 INFt + 𝜶4 TMMt + 𝜶5 PIBt + 𝜶6 TAILLEt + 𝜺t
Matrice de corrélation
ROA LPNB INF TMM PIB TAILLE
ROA 1 0.14721308... -0.0753870... 0.25831146... 0.11836360... 0.03686499...
LPNB 0.14721308... 1 0.83237583... 0.44575322... -0.4849996... 0.97240371...
INF -0.0753870... 0.83237583... 1 0.52303201... -0.2787344... 0.83300676...
TMM 0.25831146... 0.44575322... 0.52303201... 1 -0.0992809... 0.37465981...
PIB 0.11836360... -0.4849996... -0.2787344... -0.0992809... 1 -0.5840437...
TAILLE 0.03686499... 0.97240371... 0.83300676... 0.37465981... -0.5840437... 1
Dependent Variable: ROA
Method: Least Squares
Date: 11/27/24 Time: 06:29
Sample: 2002 2020
Included observations: 19
Variable Coefficient Std. Error t-Statistic Prob.
C -0.049757 0.173629 -0.286570 0.7790
LPNB 0.022168 0.015773 1.405444 0.1833
INF -0.004565 0.002768 -1.648898 0.1231
TMM 0.221082 0.206085 1.072773 0.3029
PIB 0.048474 0.077828 0.622838 0.5442
TAILLE -0.030783 0.050077 -0.614707 0.5494
R-squared 0.370667 Mean dependent var 0.006865
Adjusted R-squared 0.128616 S.D. dependent var 0.007790
S.E. of regression 0.007272 Akaike info criterion -6.757408
Sum squared resid 0.000688 Schwarz criterion -6.459164
Log likelihood 70.19538 Hannan-Quinn criter. -6.706933
F-statistic 1.531357 Durbin-Watson stat 2.421309
Prob(F-statistic) 0.247166
Variance Inflation Factors
Date: 11/27/24 Time: 06:31
Sample: 2002 2020
Included observations: 19
Coefficient Uncentered Centered
Variable Variance VIF VIF
C 0.030147 10830.69 NA
LPNB 0.000249 13490.30 26.85615
INF 7.66E-06 59.56956 5.080343
TMM 0.042471 41.83423 1.654405
PIB 0.006057 3.628882 2.425273
TAILLE 0.002508 41025.44 37.60233
Dependent Variable: ROA
Method: Least Squares
Date: 11/27/24 Time: 06:33
Sample: 2002 2020
Included observations: 19
Variable Coefficient Std. Error t-Statistic Prob.
C -0.147662 0.067579 -2.185025 0.0464
LPNB 0.013266 0.006111 2.170804 0.0476
INF -0.005424 0.002336 -2.322026 0.0358
TMM 0.272169 0.184346 1.476402 0.1620
PIB 0.079444 0.057987 1.370037 0.1922
R-squared 0.352374 Mean dependent var 0.006865
Adjusted R-squared 0.167338 S.D. dependent var 0.007790
S.E. of regression 0.007109 Akaike info criterion -6.834019
Sum squared resid 0.000708 Schwarz criterion -6.585482
Log likelihood 69.92318 Hannan-Quinn criter. -6.791957
F-statistic 1.904357 Durbin-Watson stat 2.441348
Prob(F-statistic) 0.165644
Variance Inflation Factors
Date: 11/27/24 Time: 06:34
Sample: 2002 2020
Included observations: 19
Coefficient Uncentered Centered
Variable Variance VIF VIF
C 0.004567 1717.044 NA
LPNB 3.73E-05 2119.337 4.219124
INF 5.46E-06 44.38328 3.785194
TMM 0.033984 35.03080 1.385352
PIB 0.003362 2.108162 1.408938
Heteroskedasticity Test: Breusch-Pagan-Godfrey
Null hypothesis: Homoskedasticity
F-statistic 1.013072 Prob. F(4,14) 0.4338
Obs*R-squared 4.265026 Prob. Chi-Square(4) 0.3713
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/27/24 Time: 06:36
Sample: 2002 2020
Included observations: 19
Variable Coefficient Std. Error t-Statistic Prob.
C 0.001316 0.001002 1.314018 0.2100
LPNB -0.000118 9.06E-05 -1.298859 0.2150
INF 6.79E-05 3.46E-05 1.961280 0.0700
TMM -0.002561 0.002733 -0.936966 0.3647
PIB -0.000242 0.000860 -0.281975 0.7821
R-squared 0.224475 Mean dependent var 3.72E-05
Adjusted R-squared 0.002896 S.D. dependent var 0.000106
S.E. of regression 0.000105 Akaike info criterion -15.25695
Sum squared resid 1.55E-07 Schwarz criterion -15.00842
Log likelihood 149.9411 Hannan-Quinn criter. -15.21489
F-statistic 1.013072 Durbin-Watson stat 2.700211
Prob(F-statistic) 0.433838
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity
F-statistic 1.278253 Prob. F(4,14) 0.3250
Obs*R-squared 5.082780 Prob. Chi-Square(4) 0.2789
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/27/24 Time: 06:39
Sample: 2002 2020
Included observations: 19
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000604 0.000408 1.477910 0.1616
LPNB^2 -4.15E-06 3.04E-06 -1.366077 0.1935
INF^2 7.64E-06 3.62E-06 2.113017 0.0530
TMM^2 -0.035488 0.026911 -1.318695 0.2084
PIB^2 -0.004599 0.011906 -0.386263 0.7051
R-squared 0.267515 Mean dependent var 3.72E-05
Adjusted R-squared 0.058233 S.D. dependent var 0.000106
S.E. of regression 0.000102 Akaike info criterion -15.31405
Sum squared resid 1.47E-07 Schwarz criterion -15.06551
Log likelihood 150.4835 Hannan-Quinn criter. -15.27199
F-statistic 1.278253 Durbin-Watson stat 2.645152
Prob(F-statistic) 0.324988
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity
F-statistic 9.434040 Prob. F(14,4) 0.0215
Obs*R-squared 18.44149 Prob. Chi-Square(14) 0.1874
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/27/24 Time: 06:41
Sample: 2002 2020
Included observations: 19
Variable Coefficient Std. Error t-Statistic Prob.
C 0.138928 0.028587 4.859917 0.0083
LPNB^2 0.001036 0.000207 4.999169 0.0075
LPNB*INF -0.000856 0.000127 -6.752930 0.0025
LPNB*TMM 0.031224 0.007637 4.088755 0.0150
LPNB*PIB 0.018281 0.004953 3.690812 0.0210
LPNB -0.024105 0.004848 -4.972099 0.0076
INF^2 0.000134 1.89E-05 7.092488 0.0021
INF*TMM -0.003662 0.002493 -1.468850 0.2158
INF*PIB -0.008723 0.001717 -5.080648 0.0071
INF 0.009841 0.001404 7.011520 0.0022
TMM^2 -0.627393 0.289219 -2.169264 0.0959
TMM*PIB 0.271426 0.075849 3.578504 0.0232
TMM -0.306672 0.069663 -4.402248 0.0117
PIB^2 -0.005999 0.023085 -0.259850 0.8078
PIB -0.204870 0.055954 -3.661389 0.0216
R-squared 0.970605 Mean dependent var 3.72E-05
Adjusted R-squared 0.867722 S.D. dependent var 0.000106
S.E. of regression 3.84E-05 Akaike info criterion -17.47703
Sum squared resid 5.89E-09 Schwarz criterion -16.73142
Log likelihood 181.0318 Hannan-Quinn criter. -17.35084
F-statistic 9.434040 Durbin-Watson stat 3.008198
Prob(F-statistic) 0.021501
Heteroskedasticity Test: ARCH
F-statistic 0.109202 Prob. F(2,14) 0.8973
Obs*R-squared 0.261132 Prob. Chi-Square(2) 0.8776
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/27/24 Time: 06:44
Sample (adjusted): 2004 2020
Included observations: 17 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 4.88E-05 3.27E-05 1.490962 0.1582
RESID^2(-1) -0.111892 0.266195 -0.420340 0.6806
RESID^2(-2) -0.065041 0.265309 -0.245151 0.8099
R-squared 0.015361 Mean dependent var 4.16E-05
Adjusted R-squared -0.125302 S.D. dependent var 0.000111
S.E. of regression 0.000118 Akaike info criterion -15.09593
Sum squared resid 1.94E-07 Schwarz criterion -14.94889
Log likelihood 131.3154 Hannan-Quinn criter. -15.08132
F-statistic 0.109202 Durbin-Watson stat 2.020865
Prob(F-statistic) 0.897305
