PDFaid.

Com
#1 Pdf Solutions

...........................................
.1

1.1

1.1.1

Econometric
Society 1 1930 Econometrica 1933 P P0F

Ranger Frisch
2 P P1F

(1923-1848) V. Pareto
Ernest Engel
1821
H. L. Moora
Cobb- 1928
Douglas
(1967-1947) Irving Firsher
.

" (1999) " .2 1

" (2006 " ) 2

.21

89
 ...........................................
J. Johinston .
.

2.1.1

Economic
Metrics
Osker Lang Bio-
Matrics
.1
P P2F

Oates et H. Kelejian
.2
P P3F

a,b J. Johinston
Samulelson
H.
Thiel Lange
.

A. S. Gldberge
.3
P P4F

3.1.1

" (2003 ) " 1

.22
(2006) .23 2

(2003) .23 3

90
 ...........................................
:

1.3.1.1

.1
P P5F

2.3.1.1

2 P P6F
.

.3
P P7F

.


.

3.3.1.1

(2006) .24 1

(2006) .24 2

" (2005 ) " 3

.4

91
 ...........................................

.

.1
P P8F

2.1

1.2.1

.2
P P9F

2.2.1

.3
P P10F

3.2.1

.4
P P1F

(2006) .25 1

(2003) .28 2

" (2007) " .20 3

(2003) .28 4

92
 ...........................................

.

3.1

1.3.1

1
P P12F

) (.

) = (1 2
.

) ( :2
P P13F

) (
.
.


.

(2007) .28 1

" (2007 ) : " 2

.13-12

93
 ...........................................



.1
P P14F

.

.

2.3.1

.
:
:



) (


.2
P P15F

:

:3
P P16F

(2006) .33 1

" (2002) " .23 2

" (2007 ) 3

"
.217

94
 ...........................................



.

3.3.1

:1
P P17F

.
:

.
:

.
:


.
4.3.1

.2
P P18F

) :(1.3

(2005) .44 1

(2007) .30 2

95
 ...........................................

: (2007) .30

.2

) (
:


.
.

96
 ...........................................

)(
:
) :(1.3




1 1 = 0 + 1
1 1 1
1 1 2 = 0 + 1

) (1 + 22 1 + 22 = 0 + 1 + 2 2



1 1 = 0 + 1 = 0 + 1

1 1
1 1 = 0 + 1 = 0 1

1 1 0 +1 = 0 + 1 = 0 +1
: " (2002 ) "
.60
:
:0 = 0
:1
.

.

1.2

:1
P P19F

= + +
= () + :

1
Cadoret. I et Benjamin. C et autre, (2004), "Economtrie applique : mthodes, application corrigs",
De Boeck, Bruxelles, 1 re dition, p 15.

97
 ...........................................
:
:
:
: .
)(lment de perturbation
(Erreur de lquation) 1 :2
P P21F P P20F

.
1.1.2

3 :
P P2F

) (0. 2:
i
.4
P P23F

( ) = 0 :

.5
P P24F

( ) = ( ( ) ) = 2 =
i
.
= = 0 /
i

1
Johnston. J, (1985), "Mthodes conomtriques", Economica, Paris, 3 eme dition, p 17.
(2006) .61 2

(2006) .119 3

(2002) .12 4

5
Bendib. R, (2001)," Economtrie : thorie et Applications", OPU, Alger, p 33.

98
 ...........................................
i j
.

.1Bruit Blanc
P P25F

xi:2
P P26F

) ( ( ) = ( )
) ( =
) () ( = ( )
) ( =
=0

2.1.2

MCO 0TP27F P0T

:3
P P28F

MCO

MCO
MCO
MCO .

= + + :

1
Cadoret. I et Benjamin. C et autre, (2004), p 13.
2
Gujarati. N. D, (2004),"Economtrie", De Boeck, Bruxelles, 1 re dition, p 73.

MCO : Les Moindres Carrs Ordinaires

(2006) .62 3

99
 ...........................................


) ) ((2.3:1
P P29F

=1 2
= = + , = 1,2,3 , :
) :(2.3

2 +
1

1 2 2
1

: " (1995 ) "
.12
i=1 e2i : = i=1 e2i = (, ) :
, :2
P P30F

) ( 2
= 2 ( ) = 2 = 0


) ( 2
= 2 ( ) = 2 = 0

:

=

=

MCO = + :

(2006) .96 1

2 eme
Johnston. J et Dinardo. J, (1999), "Mthodes conomtrique", Economica, Paris, 4 dition,
p p 21-21.

100
 ...........................................
:

= )( = , ,
, .
:Blue Gausse-Markov
"
,
".
:1
P P31F

:
= lim

:

= lim () = lim
lim () = lim () = 0
.

3.1.2

. 2

1.3.1.2

(1999) .45 1

101
 ...........................................

0 1
:
: :
0 : 0 = 1 = 0
: 1 : 0 1 0 :
1 : ,
P P32F

:
:1
1 = 1 1

1 = 21 = 2 2 :
)2 = 2 ( 2
:
:
.
:1 .1
:2 . 1 1

.:2
* 0:
0 = 0 0 :
1 2
0 = 20 = 2 + 2 :

) 2 = 2 (

2 ) (5% 1%


.

(2007) .82 1

102
 ...........................................
: ,
:1
P P3F

:
0 : 1 = 0 :
:
1 : 1 0 :
:
2
( = 2
)1


.

) (5%, 1% ) ( 1,


.
:


:
) (/2 =
100% 90%

95% 5% "
".
2.3.1.2
2

(2007) .91 1

103
 ...........................................


.
:
= + : = + :
:
2
( ) = + 2

:1
P P34F

( Total Sum of Squares :TSS

)2
2
Explained Sum of Squares :ESS
Residual Sum Squares 2 :
= + :2
P P35F

=1 + ::


= 2 =1 2 :

TP36F P0T

2
2
2
=
= 1 2 2 :
2

2 = :

2 ) (
0 2 1 : :
= 0 2 1
) (, = 0 + 1
.
= 0 ) = ( 2
.,

" (1995 ) : " 1

.80
2
Bendib. R, (2001), p 37.

.

104
 ...........................................
4.1.2

i +1
.+1

(+1 ) ) +1 (+1
+1
:1
P P37F

] +1 +1 = [+1 (+1 )] + [(+1 ) +1

:
= 0 + 1 +
= 0 + 1 :
+ 1+1 = 0 + 1 +1 + +1 :

+ 1+1 = 0 + 1 +1 :

+1 +1 = 0 + 1 +1 + +1 0 1 +1:

MCO
+1 +1
1 , u2 , , un . 2

2.2

1 , 2 ,
.

(2007) .108 1

105
 ...........................................
1.2.2

i
1 2 i
:1
P P38F

=0 + 1 1 + 2 2 + + +
n
.
1= 0 + 1 11 + 2 12 + + 1 + 1
. .
. .
. .
=0 + 1 1 + 2 2 + + +

:
1 1 11 12 1 0 1
= +
1 1 21
2
:
P P39F

)(,1) = (,+1) . (+1,1) + ( +1

:
: ) (. 1 .
: ) (. + 1
.
: ) ( + 1. 1 .
: ) (. 1 .

1 2
:
3
P P40F

(2007) .135 1

2
Bourbonnais. R, (2004), "Economtrie", Dunod, Paris, 5 eme dition, p 50.
3
Greenes. W, (2005), " Economtrie ", Pearson, France, 5 eme dition, p 10.

106
 ...........................................


1
P P41F

( ) = 0 :
:
() = = / ( ) = ( )2 = 2
:
: .
: .
2
P P42F

:3
P P43F

, = 0
.
(0. 2 ) :4
P P4F

. 2

2.2.2

MCO
= + = + :
:
: . 1 .
( + 1). 1 :
) (0 1 :

= 2=1 2 =1 2 :5P P45F

(1995) .80 1

(2007) .138 2

(1995) .203 3

4
Johnston. J et Dinardo. J, (1999), p 202.
5
Bourbonnais. R, (2004), p p 51-52.

107
 ...........................................
2
= 2 + 2 = 0

1
= :
) ( + 1, + 1
. 0
)(Equations Normales
=
= 0 + 1 1 + 2 2 + + + :
= : et .

3.2.2

4.2.2

2

2
.
.

1.4.2.2

.
TP46F P0T

:
:1
P P47F

1
= , 2
1
. = 2

30

.
(1995) .96 1

108
 ...........................................

2
1 1
, 2
1
2
2 2 .

= ) (

1
= 2

1
= 2

:

= =
) ( 2 ( )1

:
0 : 0 = 1 = = 0
1 : 0 0, 1 0, , 0

< ) (
j
Y >
j . Y

2.4.2.2

2
.

109
 ...........................................
:



.1
P P48F

:2
P P49F

= +
=

=
= +
= :
= 2+ :

= : = :
= 2 +
=
= :
:
: 2
:

: 2 :
= +

:

= 2 =1

0 2 1 :
: 2 = 0 : .
: 2 = 1 .

Bourbonnais. R, (2004), p 53.

(2007) .165 2

110
 ...........................................


2
2

:1
P P50F

2 = 1 1
) (1 2
1
:
2
:
:2
:
: .

.
:


:
: :
0 : 1 = 2 = = 0
:
1 : 0 0, 1 0, , 0 :
0

.
1
2 :
P P51F

2
( ) 2
) = 2 (1 = (1 2 )(1) 1

1
Bourbonnais. R, (2004), p 56.
2
Bourbonnais. R, (2004), p 66.

111
 ...........................................




.

3.4.2.2 ) (Chow

1 P P52F

: 2
TP53F P0T Chow
0

.
:





2 1
:

1
=
)(2
) (,2

:
: .
)(, 2

(2007) .233-232 1

.Chow

112
 ...........................................


.

5.2.2

= : + = 0 + :1
P P54F

) 1 1( + ) + + ( +
= + :
:
: ) (. 1
: ) (.
: ).(. 1
= :
:
= = ) (
:

=

2u (1 )%
2 :2 P P5F

1
2 :

6.2.2

.Test de Tgeil
:

(1999) .146 1

(1995) .109 2

113
 ...........................................
2
1
=1
= / = 1,2,3
2 1
1
=1 =1

:
:
:
:


.

.3

:
) (

.

1.3

.1
P P56F

(2005) .468 1

114
 ...........................................

.1
P P57F

1.1.3

:

2
P P58F

.
:
3
P P59F

2.1.3

1.2.1.3 :Frisch

2 :4
P P60F

2
2
.

(2002) . 257 1

2 (2005) .468
"(2000) " .354 3

" (2007 ) " 4

.101

115
 ...........................................

.
Frisch


.

2.2.1.3 -:Farrar-Glauber

:1
P P61F

2

.
:
||

:
:0 .
:1 .
1
|| ) 2 = 1 (2 + 5 :
6
:
:
|| : :
1 12 13 1
1 21
= 21 23

1 2 3 1
:
|| = 0
|| = 1

(2007) .245 1

116
 ...........................................
1 || 0 In|R| < 0 2
k(k 1)/2
2
2

.
: 1 2
P P62F

:
) 2 1 2 (1
( = / = 1,2,
) 1 2 1 2 )(
) ( ) ( 1
:
0 : 2 1 2 = 0
1 : 2 1 2 0



.

.
:
ij

:
) 1 2 (
=
1 1 2

) (
:

(2007) .250 1

117
 ...........................................
0 : 1 2 = 0
1 : 1 2 0


.

.

3.2.1.3 :1
P P63F

:
2 xi xj 2 yxi xj
:
: 2 xi xj .
: 2 yxi xj .


.

3.1.3

:2
P P64F

.

)
(.

= 0 + 1 1 + 2 2 + :
2
1 1
= 0 + 1 + 2 + :
2 2 2 2

(2005) .478 1

(2007) .253 2

118
 ...........................................

2 ) ( 2 2
= = 2 :
22 22 2
1
.
P65F

2.3

= ) (
( 2 ) = 2 .

1.2.3

:2
P P6F

:

) ( 3
P 67F P

4
P .
P68F

(2007) .254 1

2 (2005) .496
3
Khedhiri. S, (2005), "Cours dintroduction a lconomtrie", Centre de publication universitaire
Tunis, p 62.
4 (1995) .226

119
 ...........................................
2.2.3

1.2.2.3 1 ):(Spearman
P P69F

:2
P P70F

= 0 + 1
. = + :


:

2
= 1 2
1

:
: .
:
2
=
12

+ 1
1
1 = 12 22 2
0
.0 = 12 = 22 = = 2

| |

.3
P P71F

(2002) .175 1

(2007) .271 2

(2007) .272 3

120
 ...........................................
2.2.2.3 : Gold feld et Quandt

.
.1
P P72F

:
0 : 22 = 2
1 : 22 2
:

14
2 P P73F

:
:
1 = + 1 + 1
:
2 = + 2 + 2

= + 1 + 1
1
2 = + 2 + 2
:
2 2
= 2 2 : = 2 1
2 2 1 2
: 2
:2 1
: .
2 2
= :
2 1

1 2 1 2

1
Bendib. R, (2001), p 109.
2
Bourbonnais. R, (2004), p 146.

121
 ...........................................

.

3.2.2.3 :Gleyser

2 .1
P P74F

:

.
|i |
2 :2
P P75F

|i | = B0 + B1 Xi
|i | = B0 + B1 Xi
|i | = B0 + B1 /Xi
1 0


.

4.2.2.3 :3 Test de white

P P76F

:
1
2 2
, 2 2
, i2 1 , 2 ,
:
i2 = 0 + 1 1 + 2 2 + + + 1 1
2
+ 2 2
2
+
2

2
:
0 : 0 = 1 = = 1 = 2 = = 0
) ( = 2 2 %5 %1
= 5

1
Bendib. R, (2001), p 110.
(2007) .279 2

(2005) .508-507 3

122
 ...........................................
1
2
2 > ,0.02 2 > ,0.05
2
P P7F )++ (

= 2.

3.2.3

) (


2
) ( = 2
.2
P P78F

= 0 + 1 + :

:3
P P79F

: ( 2 ) = :
:
0 1
= + 1 = + 0 +


=

:
2 1
( 2 ) = = ( 2 ) = :

.4
P P80F

:
( 2 ) =
:
0 1
= + 1 + = 0 + 1 +

1
Khedhiri. S, (2005), p 46
(2007) .77 2

3
Gujarati. N. D, (2004), p 422.
(2007).78 4

123
 ...........................................

=

2
1 1
( )2
= = . ( 2 ) = = :

( 2 ) = 2 = ( ):1:
P P81F

: ( )
) (

.

3.3

, = 0

.2
P P82F

1.3.3

:3
P P83F

.
:4
P P84F

(2007).79 1

" (2007 ) : " 2

.447
(2007) .448 3

(2007) .448 4

124
 ...........................................


.

2.3.3

:
)(Test de Durbin-Waston
)(Test de Von - Neuman

1.2.3.3 ): (Test de Durbin-Waston

.1
P P85F

= 1 :2
P P86F

= + / = 1,2 .
1
:
0 : = 0 : :
1 : 0 : :
:3
P P87F

2 2 2 2
= =2(1) = =2 +=2 12
2
=2 2
=2 =2

: : .

1 = 2(1 ) :
0 4:
= 1 = 0
= 0 = 2
= 1 = 4


0 2

1 "(2007) " .103

2
Johnston. J et Dinardo. J, (1999), p 186.
3
Bourbonnais. R, (2004), p 123.

125
 ...........................................
0 4 :
) :(3.3

0 dL dU 2 4 dU 4 dL 4
P>0 P=0 P=0 P<0

Source : Bourbonnais. R, (2004), p 123.

:
< < 0 4 > > 4 L H0 : p = 0 :
> > 4 d H0 : p = 0 :
4 dU < < 4 > > dL
.

2.2.3.3 :(Test de Von - Neuman) 1

P P8F

:
2 ) =2( 1
= 1 2
. 1
2
2
.
2
3.3.3

.
- :Cochrane-Orcutt 2
P89F P

TP90F P0T
-
:
= 0 + 1 +
= 1 + :
1 ( ) = 0, ( , 1 ) = 2 :

(2007) .159 1

2 (2007) .325
.

126
 ...........................................
= 0 + 1 + :
1 = 0 + 1 1 + 1
1 = 0 + 1 1 + 1
) 1 = 0 (1 ) + 1 ( 1 ) + ( + 1
= 1 + :
= 0 + 1 + :
= 1
= 1
) = ( 1
1 ,
MCO 0
= 0
0 /(1 ) :
: :1
P P91F

= + + : =
:
n
t=2 1
= 2
n
t=2
, :
= yt1
= xt1
:
= + +
= :
:
( 1 )
= 2

0
1


.

(2007) .204 1

127