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Estimation de relations de long terme sur données de panel : nouveaux résultats


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  • Alain Pirotte
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    [eng] Estimation of Long Run Effects on Panel Data: New Results by Alain Pirotte . This article is focus on estimated long run effects on panel data. We show that the probability limit of between estimator of a static model, whereas the true specification is a dynamic relationship, gives the long run effects. If the exogenous variable follows a stationary process with individual effects, we show that the convergence of Between estimator is more pronounced than the OLS and Within estimators. Moreover, with individual effects the association OLS and Between estimators with long run effects is proved. Finally, the estimation of a labour demand model on a french panel data of 93 firms over the period 1987 to 1991 confirms the theoretical results. [fre] Estimation de relations de long terme sur données de panel : nouveaux résultats . . par Alain Pirotte . Cet article s'intéresse à la détermination des effets de long terme sur données de panel. On montre que l'estimateur inter-individuel (between) de la relation statique, alors que la vraie spécification est dynamique, converge toujours en probabilité vers les effets de long terme. Par contre, ce résultat ne s'applique pas systématiquement aux estimateurs des MCO et intra-individuel (within). D'autre part, nous mettons en évidence l'importance de l'effet individuel sur la variable explicative dans la convergence plus ou moins rapide des estimateurs between, des MCO et within vers le coefficient de long terme. En particulier, sa présence permet de retrouver l'association entre estimateurs des MCO et between pour retracer les effets de long terme. Enfin, l'estimation d'un modèle de demande de travail sur un panel de 93 entreprises françaises suivies de 1987 à 1991, nous permet de conclure quant à la pertinence empirique de nos résultats théoriques.

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

    Volume (Year): 126 (1996)
    Issue (Month): 5 ()
    Pages: 143-161

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_126_5_5828

    Note: DOI:10.3406/ecop.1996.5828
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    1. Nickell, Stephen, 1984. "An Investigation of the Determinants of Manufacturing Employment in the United Kingdom," Review of Economic Studies, Wiley Blackwell, vol. 51(4), pages 529-57, October.
    2. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    3. Brigitte Dormont & Patrick Sevestre, 1986. "Modèles dynamiques de demande de travail : spécification et estimation sur données de panel," Revue Économique, Programme National Persée, vol. 37(3), pages 455-488.
    4. Baltagi, Badi H & Griffin, James M, 1984. "Short and Long Run Effects in Pooled Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 631-45, October.
    5. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
    6. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
    7. Baltagi, Badi H. & Griffin, James M., 1983. "Gasoline demand in the OECD : An application of pooling and testing procedures," European Economic Review, Elsevier, vol. 22(2), pages 117-137, July.
    8. Brigitte Dormont, 1994. "Quelle est l'influence du coût du travail sur l'emploi ?," Revue Économique, Programme National Persée, vol. 45(3), pages 399-414.
    9. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
    10. Daniel S. Hamermesh, 1991. "Labor Demand: What Do We Know? What Don't We Know?," NBER Working Papers 3890, National Bureau of Economic Research, Inc.
    11. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
    12. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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    Cited by:
    1. Karine Berger & Aurélien Daubaire, 2003. "L'évolution du taux d'épargne des ménages dans quelques pays de l'OCDE une interprétation basée sur les déterminants de moyen terme," Revue d'économie politique, Dalloz, vol. 0(6), pages 829-849.


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