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La methode d'estimation des moindres carres modifies ou fully modified

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Author Info

  • Hurlin, C.
  • MB.P. N'Diaye, P.

Abstract

Cet article presente la methode d'estimation des Moindres Carres Modifies ou "Fully Modified" (FM) proposee par Phillips et Hansen (1990) et Phillips (1995). A partir d'un exemple simple, nous examinons l'incidence des biais d'endogeneite de long terms sur les estimations par les Moindres Carres Ordinaires des parametres d'une relation de cointegration et nous proposons une interpretation simple de la correction FM.

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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Papiers d'Economie Mathématique et Applications with number 98.26.

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Length: 38 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:pariem:98.26

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Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://cermsem.univ-paris1.fr/
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Related research

Keywords: MOINDRE CARRE ; COINTEGRATION;

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Cited by:
  1. Fabien Rondeau, 2006. "Pattern of trade and European economic integration : an unexpected relation," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 200614, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.

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