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Econométrie des modèles à changements de régimes: un essai de synthèse

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Author Info
Remzi Uctum (EconomiX - CNRS : UMR7166 - Université de Paris X - Nanterre)

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Abstract

Ce travail de synthèse propose une typologie des modèles à changement de régimes selon que ces modèles incluent ou non une règle de sélection (information a priori sur les mécanismes qui président au choix d’un régime). Les modèles avec règle de sélection déterministe décrivent des transitions brutales (TAR) ou lisses (STAR) entre les régimes (modèles à seuils), tandis que ceux comportant une règle de sélection stochastique sont appropriés pour rendre compte de changements endogènes (ex : modèles de déséquilibre). Parmi les modèles sans règle de sélection (où la « vraie » règle de sélection non-observable est remplacée par des probabilités constantes inconnues associées aux régimes), une classe suppose que la nature choisit parmi les régimes selon des probabilités non conditionnelles aux régimes passés (modèles à mélanges de distributions) et une autre affecte aux régimes des probabilités de transition selon lesquelles la probabilité de réalisation d’un régime est conditionnelle au régime précédent (modèles à changements markoviens). La discussion comparative des différentes approches est complétée par un survol des études empiriques.

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Paper provided by HAL in its series Post-Print with number halshs-00174034_v1.

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Date of creation: 2007
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Publication status: Published, Actualité économique, 2007, ?
Handle: RePEc:hal:journl:halshs-00174034_v1

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Related research
Keywords: modèles à changements de régimes; modèles à seuils; TAR; STAR; changements endogènes; mélanges de distributions; changements markoviens;

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  4. Quandt, Richard E., 1983. "Computational problems and methods," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 12, pages 699-764 Elsevier. [Downloadable!] (restricted)
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  6. Martin Evans & Paul Wachtel, 1993. "Inflation regimes and the sources of inflation uncertainty," Proceedings, Federal Reserve Bank of Cleveland, pages 475-520.
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  9. Georges Prat & Remzi Uctum, 2007. "Switching Between Expectation Processes in the Foreign Exchange Market: A Probabilistic Approach Using Survey Data," Post-Print halshs-00081586_v1, HAL. [Downloadable!]
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  11. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September. [Downloadable!] (restricted)
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  15. Kaminsky, Graciela, 1993. "Is There a Peso Problem? Evidence from the Dollar/Pound Exchange Rate, 1976-1987," American Economic Review, American Economic Association, vol. 83(3), pages 450-72, June.
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