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La construction et l'estimation de petits modèles macro-économiques

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  • Teun Kloek

Abstract

[ger] Konstruktion und Schätzung kleiner makroökonomischer Modelle, . von Teun Kloek.. . In diesem Artikel werden einige der jiingsten Entwicklungen bei der Konstruktion und Schätzung kleiner makroökonomischer Modelle erörtert, wie die Vereinfachung von VAR-Modellen und deren Umwandlung in ökonometrische Modelle, die Tests der Invarianz der Parameter von Stmkturgleichungen und der Lucas-Kritik, die Beziehungen zwischen der Wirtschaftstheorie und den empirischen Arbeiten, die Wahl der zu testenden Spezifikationen. Dièse Ansätze sind wichtig, um den für Prognosen und wirtschaftspolitische Untersuchungen verwandten Modellen ein Höchstmaß an Zuverlässigkeit zu verleihen. [spa] La construcción y la evaluación de pequeños modelos macroeconómicos, . por Teun Kloek.. . En este artículo se cuestionan ciertos desarrollos recientes de la construcción y la evaluación de pequeños modelos macroeconómicos : simplificación y transformación de modelos VAR en modelos econométricos, pruebas de invariancia de los parámetros de ecuaciones estructurales y de la crítica de Lucas, relaciones entre la teoria económica y los trabajos empíricos, elección de las especificaciones ensayadas. Estos planteamientos resultan importantes para conferir las mejores características de solidez a los modelos utilizados para la previsión y los estudios de política económica. [eng] Building and Testing Small Macroeconomic Models, . byTeunKIoek.. . This article discusses some of the recent developments in building and estimating small macroeconomic models: simplifying and converting VAR models into econometric models; tests on the invariance of structural equation parameters and on the Lucas critique; relationships between economic theory and empirical work; and the choice of the specifications tested. These approaches are important in making the models used for economic policy forecasting and studies as sound as possible. [fre] La construction et l'estimation de petits modèles macro-économiques, . par Teun Kloek.. . Cet article discute certains développements récents de la construction et de l'estimation de petits modèles macro-économiques : simplification et transformation de modèles VAR en modèles économétriques, tests de l'invariance des paramètres d'équations structurelles et de la critique de Lucas, relations entre la théorie économique et les travaux empiriques, choix des spécifications testées. Ces approches sont importantes pour conférer aux modèles utilisés pour la prévision et les études de politique économique les meilleures caractéristiques de robustesse.

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Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 106 (1992)
Issue (Month): 5 ()
Pages: 51-59

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5314

Note: DOI:doi:10.3406/ecop.1992.5314
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  2. Summers, Lawrence H, 1991. " The Scientific Illusion in Empirical Macroeconomics," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(2), pages 129-48.
  3. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
  4. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March.
  5. Hendry, D.F. & Mizon, G.E., 1990. "Evaluating Dynamic Econometric Models By Encompassing The Var," Economics Series Working Papers 99102, University of Oxford, Department of Economics.
  6. Hendry, David F, 1988. "The Encompassing Implications of Feedback versus Feedforward Mechanisms in Econometrics," Oxford Economic Papers, Oxford University Press, vol. 40(1), pages 132-49, March.
  7. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  8. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  9. repec:fth:harver:1435 is not listed on IDEAS
  10. Favero, C. & Hendry, D., 1990. "Testing The Lucas Critique: A Review," Economics Series Working Papers 99101, University of Oxford, Department of Economics.
  11. Alogoskoufis, George & Smith, Ron, 1991. " On Error Correction Models: Specification, Interpretation, Estimation," Journal of Economic Surveys, Wiley Blackwell, vol. 5(1), pages 97-128.
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