Advanced Search
MyIDEAS: Login to save this article or follow this journal

La méthode des moments généralisés et ses extensions : théorie et applications en macro-économie

Contents:

Author Info

  • François Langot
  • Patrick Fève

Abstract

[fre] La méthode des moments généralisés et ses extensions. Théorie et applications en macro-économie . par Patrick Fève, François Langot . L'objectif de cet article est d'exposer les résultats théoriques principaux de la méthode des moments généralisés. Dans un premier temps, les principes, les propriétés statistiques et diverses illustrations de l'estimateur des moments généralisés sont discutés. Les différentes méthodes de calcul de la matrice de poids sont présentés dans un second temps. Un ensemble de tests de spécification et différentes mises en garde pratiques sont ensuite exposées. De plus, différentes voies d'extensions de cette méthode sont étudiées. Finalement, la mise en œuvre d'une telle méthode est illustrée en étudiant l'estimation des paramètres structurels d'un model de prix d'actifs appliqué à la consommation. [eng] The Generalized Method of Moments. Theoretical Extensions and Macroeconomic Applications . by Patrick Fève and François Langot . The purpose of this paper is to present the main theoretical results obtained when using the Generalized Method of Moments. Principles, statistical properties and various illustrations of the estimator of this method are discussed. Then covariance matrix computation methods are explained and various specification tests examined. A number of extensions of this method are also studied. Lastly, the use of such a method is illustrated by empirically applying it to the estimation of the structural parameters of a Consumption Based Capital Asset Pricing Model. [ger] Die verallgemeinerte Momentenmethode und ihre theoretischen und anwendungsbezogenen Erweiterungen in . der Gesamtwirtschaft . von Patrick Fève, François Langot . Ziel dieses Artikels ist es, die wichtigsten theoretischen Ergebnisse der verallgemeinerten Momentenmethode aufzuzeigen. Zunâchst werden die Grundsâtze, die statistischen Merkmale und verschiedene Veranschaulichungen des Schâtzers der verallgemeinerten Momentenmethode diskutiert. Danach prâsentieren wir die einzelnen Methoden zur Berechnung der Kovarianzmatrix. Eine Reihe von Spezifizierungstests und mehrere praktische Hinweise werden anschlieBend dargelegt. Gepriift werden auBerdem verschiedene Môglichkeiten fur Erweiterungen dieser Méthode. SchlieBlich wird die Anwendung einer solchen Méthode veranschaulicht, indem wir die Schâtzung der strukturellen Parameter eines Preismodells fur Vermôgenswerte mit Anwendung auf den Konsum untersuchen. [spa] Método de los momentos generalizados, extensiones teôricas y aplicaciones en macroeconomîa . por Patrick Fève y François Langot . El objetivo de este articulo es de exponer los principales resultados teôricos del método de los momentos generalizados. En un primer tiempo, se discuten los principios, las propiedades estadfsticas y las diversas aplicaciones del estimador de los momentos generalizados. Los diferentes métodos de câlculo de la matriz de covarianza son presentados en un segundo tiempo. Luego, se exponen un conjunto de tests de especificaciôn y recomendaciones prâcticas. Se estudian ademâs diferentes vias de extension del método seleccionado y, por ultimo, se ejemplifica su desarrollo con el estudio de la estimaciôn de los parâmetros estructurales de un sistema de precios de activos aplicado al consumo.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://dx.doi.org/doi:10.3406/ecop.1995.5737
Download Restriction: no

File URL: http://www.persee.fr/articleAsPDF/ecop_0249-4744_1995_num_119_3_5737/ecop_0249-4744_1995_num_119_3_5737.pdf?mode=light
Download Restriction: no

Bibliographic Info

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

Volume (Year): 119 (1995)
Issue (Month): 3 ()
Pages: 139-170

as in new window
Handle: RePEc:prs:ecoprv:ecop_0249-4744_1995_num_119_3_5737

Note: DOI:10.3406/ecop.1995.5737
Contact details of provider:
Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
  2. Martin S. Eichenbaum & Lars Peter Hansen, 1987. "Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data," NBER Working Papers 2181, National Bureau of Economic Research, Inc.
  3. Kenneth D. West & David W. Wilcox, 1993. "Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model," NBER Technical Working Papers 0139, National Bureau of Economic Research, Inc.
  4. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  5. Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
  6. Lawrence J. Christiano & Martin Eichenbaum, 1990. "Current real business cycle theories and aggregate labor market fluctuations," Discussion Paper / Institute for Empirical Macroeconomics 24, Federal Reserve Bank of Minneapolis.
  7. Shapiro, Matthew D, 1986. "The Dynamic Demand for Capital and Labor," The Quarterly Journal of Economics, MIT Press, vol. 101(3), pages 513-42, August.
  8. Lars Peter Hansen & Robert J. Hodrick, 1983. "Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 113-152 National Bureau of Economic Research, Inc.
  9. Nelson, Charles R & Startz, Richard, 1990. "The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One," The Journal of Business, University of Chicago Press, vol. 63(1), pages S125-40, January.
  10. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
  11. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, vol. 61(4), pages 929-52, July.
  12. Burda, Michael C., 1991. "Monopolistic competition, costs of adjustment, and the behavior of European manufacturing employment," European Economic Review, Elsevier, vol. 35(1), pages 61-79, January.
  13. Amemiya, Takeshi, 1974. "The nonlinear two-stage least-squares estimator," Journal of Econometrics, Elsevier, vol. 2(2), pages 105-110, July.
  14. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
  15. Mark, Nelson C., 1985. "On time varying risk premia in the foreign exchange market: An econometric analysis," Journal of Monetary Economics, Elsevier, vol. 16(1), pages 3-18, July.
  16. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September.
  17. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, September.
  18. Hoffman, D. & Pagan, A., 1988. "Post-Sample Prediction Tests For Generalized Method Of Moment Estimators," RCER Working Papers 129, University of Rochester - Center for Economic Research (RCER).
  19. West, Kenneth D. & Wilcox, David W., 1994. "Estimation and inference in the linear-quadratic inventory model," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 897-908.
  20. Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-87, October.
  21. Mankiw, N Gregory & Rotemberg, Julio J & Summers, Lawrence H, 1985. "Intertemporal Substitution in Macroeconomics," The Quarterly Journal of Economics, MIT Press, vol. 100(1), pages 225-51, February.
  22. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  23. Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
  24. Hansen, Lars Peter, 1985. "A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 203-238.
  25. Eichenbaum, Martin S & Hansen, Lars Peter & Singleton, Kenneth J, 1988. "A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty," The Quarterly Journal of Economics, MIT Press, vol. 103(1), pages 51-78, February.
  26. Eichenbaum, Martin, 1991. "Real business-cycle theory : Wisdom or whimsy?," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 607-626, October.
  27. Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September.
  28. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
  29. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  30. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 1990. "Labor Hoarding and the Business Cycle," NBER Working Papers 3556, National Bureau of Economic Research, Inc.
  31. Andrews, Donald W K & Fair, Ray C, 1988. "Inference in Nonlinear Econometric Models with Structural Change," Review of Economic Studies, Wiley Blackwell, vol. 55(4), pages 615-39, October.
  32. Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-68, November.
  33. Dale W. Jorgenson & Jean-Jacques Laffont, 1974. "Efficient Estimation of Nonlinear Simultaneous Equations with Additive Disturbances," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 65-90 National Bureau of Economic Research, Inc.
  34. Summers, Lawrence H, 1991. " The Scientific Illusion in Empirical Macroeconomics," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(2), pages 129-48.
  35. Kocherlakota, Narayana R., 1990. "On tests of representative consumer asset pricing models," Journal of Monetary Economics, Elsevier, vol. 26(2), pages 285-304, October.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Jean-Bernard Chatelain & Jean-Christophe Teurlai, 2004. "The impact of the cost of capital and of the decision to invest or to divest on investment behaviour: an empirical investigation using a panel of French services firms," Money Macro and Finance (MMF) Research Group Conference 2003 13, Money Macro and Finance Research Group.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:prs:ecoprv:ecop_0249-4744_1995_num_119_3_5737. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.