Ecuatia

Dependent Variable: RIS_DOB

Method: Least Squares
Date: 04/14/18 Time: 11:12
Sample: 2007Q1 2017Q4
Included observations: 44

Variable Coefficient Std. Error t-Statistic Prob.

C 24.55650 3.416182 7.188289 0.0000

PIB -0.000201 4.54E-05 -4.428092 0.0001
SOMAJ -1.465873 0.416163 -3.522356 0.0011
EUR 6.876323 1.336772 5.143975 0.0000
USD -2.538757 1.125886 -2.254896 0.0300
SAL_MED 0.003696 0.004360 0.847597 0.4020

R-squared 0.871345 Mean dependent var 10.92470

Adjusted R-squared 0.854417 S.D. dependent var 3.833977
S.E. of regression 1.462869 Akaike info criterion 3.724801
Sum squared resid 81.31951 Schwarz criterion 3.968099
Log likelihood -75.94561 Hannan-Quinn criter. 3.815027
F-statistic 51.47264 Durbin-Watson stat 0.869281
Prob(F-statistic) 0.000000
Scaled Coefficients
Date: 04/14/18 Time: 11:20
Sample: 2007Q1 2017Q4
Included observations: 44

Standardized Elasticity
Variable Coefficient Coefficient at Means

C 24.55650 NA 2.247797
PIB -0.000201 -1.573167 -2.840901
SOMAJ -1.465873 -0.343893 -0.857530
EUR 6.876323 0.652274 2.674738
USD -2.538757 -0.368538 -0.771007
SAL_MED 0.003696 0.356819 0.546903

Coefficient Confidence Intervals

Date: 04/14/18 Time: 11:21
Sample: 2007Q1 2017Q4
Included observations: 44

90% CI 95% CI 99% CI

Variable Coefficient Low High Low High Low High

C 24.55650 18.79698 30.31603 17.64080 31.47220 15.29333 33.81968

PIB -0.000201 -0.000278 -0.000125 -0.000293 -0.000109 -0.000324 -7.80E-05
SOMAJ -1.465873 -2.167504 -0.764242 -2.308350 -0.623396 -2.594322 -0.337424
EUR 6.876323 4.622586 9.130060 4.170169 9.582477 3.251588 10.50106
USD -2.538757 -4.436949 -0.640564 -4.817994 -0.259519 -5.591662 0.514149
SAL_MED 0.003696 -0.003655 0.011047 -0.005131 0.012522 -0.008127 0.015519

Dependent Variable: RIS_DOB

Method: Least Squares
Date: 04/14/18 Time: 11:58
Sample: 2007Q1 2017Q4
Included observations: 44

Variable Coefficient Std. Error t-Statistic Prob.

C 28.03966 1.541792 18.18641 0.0000

PIB -0.000111 9.81E-06 -11.30370 0.0000

R-squared 0.752612 Mean dependent var 10.92470

Adjusted R-squared 0.746722 S.D. dependent var 3.833977
S.E. of regression 1.929517 Akaike info criterion 4.196806
Sum squared resid 156.3675 Schwarz criterion 4.277905
Log likelihood -90.32973 Hannan-Quinn criter. 4.226881
F-statistic 127.7736 Durbin-Watson stat 0.176272
Prob(F-statistic) 0.000000
Dependent Variable: RIS_DOB
Method: Least Squares
Date: 04/14/18 Time: 11:59
Sample: 2007Q1 2017Q4
Included observations: 44

Variable Coefficient Std. Error t-Statistic Prob.

C 2.337956 4.027639 0.580478 0.5647

SOMAJ 1.343587 0.624201 2.152489 0.0372

R-squared 0.099354 Mean dependent var 10.92470

Adjusted R-squared 0.077910 S.D. dependent var 3.833977
S.E. of regression 3.681596 Akaike info criterion 5.488959
Sum squared resid 569.2742 Schwarz criterion 5.570058
Log likelihood -118.7571 Hannan-Quinn criter. 5.519034
F-statistic 4.633211 Durbin-Watson stat 0.049663
Prob(F-statistic) 0.037151

Dependent Variable: RIS_DOB

Method: Least Squares
Date: 04/14/18 Time: 11:59
Sample: 2007Q1 2017Q4
Included observations: 44

Variable Coefficient Std. Error t-Statistic Prob.

C 36.96554 5.644767 6.548639 0.0000

EUR -6.128027 1.323619 -4.629753 0.0000

R-squared 0.337901 Mean dependent var 10.92470

Adjusted R-squared 0.322137 S.D. dependent var 3.833977
S.E. of regression 3.156608 Akaike info criterion 5.181262
Sum squared resid 418.4953 Schwarz criterion 5.262362
Log likelihood -111.9878 Hannan-Quinn criter. 5.211338
F-statistic 21.43461 Durbin-Watson stat 0.102090
Prob(F-statistic) 0.000035

Dependent Variable: RIS_DOB

Method: Least Squares
Date: 04/14/18 Time: 12:00
Sample: 2007Q1 2017Q4
Included observations: 44

Variable Coefficient Std. Error t-Statistic Prob.

C 29.15792 2.155467 13.52742 0.0000

USD -5.495616 0.640919 -8.574583 0.0000

R-squared 0.636438 Mean dependent var 10.92470

Adjusted R-squared 0.627781 S.D. dependent var 3.833977
S.E. of regression 2.339099 Akaike info criterion 4.581798
Sum squared resid 229.7982 Schwarz criterion 4.662897
Log likelihood -98.79956 Hannan-Quinn criter. 4.611874
F-statistic 73.52348 Durbin-Watson stat 0.276880
Prob(F-statistic) 0.000000
Dependent Variable: RIS_DOB
Method: Least Squares
Date: 04/14/18 Time: 12:01
Sample: 2007Q1 2017Q4
Included observations: 44

Variable Coefficient Std. Error t-Statistic Prob.

C 24.99714 1.435635 17.41190 0.0000

SAL_MED -0.008704 0.000866 -10.05021 0.0000

R-squared 0.706308 Mean dependent var 10.92470

Adjusted R-squared 0.699315 S.D. dependent var 3.833977
S.E. of regression 2.102352 Akaike info criterion 4.368379
Sum squared resid 185.6351 Schwarz criterion 4.449479
Log likelihood -94.10435 Hannan-Quinn criter. 4.398455
F-statistic 101.0068 Durbin-Watson stat 0.169475
Prob(F-statistic) 0.000000

Testare lag

AIC

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:09
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 1
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 0.85432 0.8035 6 252

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 1.78947 0.9632 6 252
ADF - Fisher Chi-square 15.5650 0.2120 6 252
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:13
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 2
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test
 Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 1.13073 0.8709 6 246

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 2.31034 0.9896 6 246
ADF - Fisher Chi-square 12.7462 0.3878 6 246
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:10
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 0
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 1.70321 0.9557 6 258

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 2.94698 0.9984 6 258
ADF - Fisher Chi-square 4.96506 0.9591 6 258
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:10
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 3
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 2.29822 0.9892 6 240

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 2.86079 0.9979 6 240
ADF - Fisher Chi-square 12.2094 0.4290 6 240
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.
SC

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:11
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 0
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 1.70321 0.9557 6 258

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 2.94698 0.9984 6 258
ADF - Fisher Chi-square 4.96506 0.9591 6 258
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:11
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 1
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 0.85432 0.8035 6 252

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 1.78947 0.9632 6 252
ADF - Fisher Chi-square 15.5650 0.2120 6 252
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:12
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 2
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test
 Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 1.13073 0.8709 6 246

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 2.31034 0.9896 6 246
ADF - Fisher Chi-square 12.7462 0.3878 6 246
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:12
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 3
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 2.29822 0.9892 6 240

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 2.86079 0.9979 6 240
ADF - Fisher Chi-square 12.2094 0.4290 6 240
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

HQ

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:14
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 0
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 1.70321 0.9557 6 258

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 2.94698 0.9984 6 258
ADF - Fisher Chi-square 4.96506 0.9591 6 258
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

 -square distribution. All other tests assume asymptotic normality.

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:14
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 1
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 0.85432 0.8035 6 252

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 1.78947 0.9632 6 252
ADF - Fisher Chi-square 15.5650 0.2120 6 252
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:15
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 2
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 1.13073 0.8709 6 246

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 2.31034 0.9896 6 246
ADF - Fisher Chi-square 12.7462 0.3878 6 246
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

Group unit root test: Summary

Series: USD, SOMAJ, SAL_MED, RIS_DOB, PIB, EUR
Date: 04/14/18 Time: 12:15
Sample: 2007Q1 2017Q4
Exogenous variables: Individual effects
User-specified lags: 3
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* 2.29822 0.9892 6 240

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat 2.86079 0.9979 6 240
ADF - Fisher Chi-square 12.2094 0.4290 6 240
PP - Fisher Chi-square 11.2338 0.5090 6 258

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

Acest subcapitol al lucrării de cercetare cuprinde etapele analizei empirice aplicate (VAR
structural, metoda Sims-Bernake) asupra modelului principal și asupra sub-modelului luat în
calcul. Modelele propuse, ilustrate în sub-capitolul anterior, vor parcurge toate testele
econometrice și de modelare astfel încât rezultatele relevate de către acestea să fie verosimile și
reprezentative. Testele care vor fi efectuate sunt următoarele: selecția numărului de lag-uri,
testarea stabilității modelului și a coeficienților, testarea ordinului de integrare al variabilelor,
testarea existenței co-integrării și testarea și identificarea restricțiilor supra-identificatoare. Fiecare
etapă de testare va fi descrisă menționând succint și rezultatul obținut.
Pentru testarea numărului de lag-uri au fost folosite rezultatele a mai multe teste statistice puse
la dispoziție de programul informatic Eviews, Akaike Information Criterion (AIC), Hannan-Quinn
Information Criterion (HQIC), Schwarz Information Criterion (SIC), Final Prediction Error (FPE) –
criteriul de minimizare a erorii finale de predicție, testarea secvențială a semnificației lag-urilor.
Metodele care analizează conținutul informațional (information criteria) aproximează variabilele
endogene care nu sunt explicate prin intermediul modelului. De asemenea, au fost luate în
considerare simulările realizate în sistemul informatic pentru a determina care variantă indică cel
mai bun coeficient de determinare R2 ajustat, și, bineînțeles, teoria economică. Am ales varianta
cu trei grade de lag pentru ambele modele, în baza indicației dată de testele statistice, simulările
realizate precum și teoria economică, întrucât o deteriorare a situației macroeconomice (spre
exemplu: scăderea PIB-ului, creșterea șomajului) nu se transmite imediat în creșterea riscului de
credit ci există un decalaj, în cazul nostru fiind identificat la 3 trimestre. Rezultatul analizei de
obținere a numărului de lag-uri este prezentat în tabelele nr. 3.3. și 3.4.

Pg 131 teza de doctorat