Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat
AbstractWe extend the ideas of cointegration theory to the case of stationary series, by introducing the notions of persistence degree and of codependence vectors. These give the directions which are the less sensitive to the shocks. Then these notions are applied to the study of relative purchasing power parity hypothesis between France and Germany. Nous étendons les idées de la cointégration au cas de séries stationnaires, en introduisant les notions de degré de persistance des chocs et de vecteurs de codépendance, directions peu sensibles à ces chocs. Ces notions sont ensuite appliquées à l’étude de la parité du pouvoir d’achat en relatif entre la France et l’Allemagne.
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Bibliographic InfoArticle provided by Société Canadienne de Science Economique in its journal L'Actualité économique.
Volume (Year): 68 (1992)
Issue (Month): 1 (mars et juin)
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