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Introduction aux modèles espace état et au filtre de Kalman

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  • Matthieu Lemoine

    (OFCE)

  • Florian Pelgrin

    (Faculté des Hautes Etudes Commerciales (HEC))

Abstract

Nous détaillons ici les principaux concepts et problèmes liés aux modèles espace-état, ainsi que leurs applications. Nous présentons d’abord ces modèles dans leur généralité. Ensuite, nous explicitons les algorithmes utilisés afin de procéder à l’estimation par le maximum de vraisemblance, c’est-à-dire fondamentalement le filtre de Kalman et l’algorithme EM. Nous considérons enfin quatre applications : les décompositions tendance-cycle, l’extraction d’indicateurs coïncidents d’activité, l’estimation d’un taux de chômage d’équilibre pouvant varier avec le temps (TV-Nairu) et l’évaluation du contenu informatif de la courbe des taux sur l’inflation future.

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Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/2129.

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Date of creation: Jun 2003
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Publication status: Published in Revue de l'OFCE, 2003, pp.203-229
Handle: RePEc:spo:wpmain:info:hdl:2441/2129

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  1. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
  2. Gordon, Robert J, 1996. "The Time-varying NAIRU and its Implications for Economic Policy," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1492, C.E.P.R. Discussion Papers.
  3. Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper, Tilburg University, Center for Economic Research 1998-141, Tilburg University, Center for Economic Research.
  4. Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Technical Reports, Bank of Canada 78, Bank of Canada.
  5. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(1), pages 103-122, May.
  6. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, Elsevier, vol. 123(2), pages 327-344, December.
  7. Frederic S. Mishkin, 1988. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
  8. Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2001. "Unité et pluralité du cycle européen," Revue de l'OFCE, Presses de Sciences-Po, vol. 78(3), pages 9-73.
  9. Garbade, Kenneth & Wachtel, Paul, 1978. "Time variation in the relationship between inflation and interest rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 4(4), pages 755-765, November.
  10. Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198523543, October.
  11. Laurence Boone, 2000. "Comparing Semi-Structural Methods to Estimate Unobserved Variables: The HPMV and Kalman Filters Approaches," OECD Economics Department Working Papers 240, OECD Publishing.
  12. Kozicki, Sharon & Tinsley, P. A., 2001. "Term structure views of monetary policy under alternative models of agent expectations," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 25(1-2), pages 149-184, January.
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Cited by:
  1. Éric Heyer & Frédéric Reynès & Henri Sterdyniak, 2005. "Variables observables et inobservables dans la théorie du taux de chômage d'équilibre. Une comparaison France/États-Unis," Revue économique, Presses de Sciences-Po, Presses de Sciences-Po, vol. 56(3), pages 593-603.
  2. repec:spo:wpecon:info:hdl:2441/2128 is not listed on IDEAS
  3. Bationo, Rakissiwinde & Hounkpodote, Hilaire, 2009. "Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien
    [Estimated Changes in Prices of Coffee and Coc
    ," MPRA Paper 26980, University Library of Munich, Germany, revised Nov 2010.
  4. Odile Chagny & Matthieu Lemoine, 2003. "Écart de production dans la zone euro. Une estimation par le filtre de Hodrick-Prescott multivarié," Revue de l'OFCE, Presses de Sciences-Po, vol. 86(3), pages 173-202.
  5. repec:spo:wpecon:info:hdl:2441/2005 is not listed on IDEAS
  6. Jean-Pierre Allegret & Alain Sand-Zantman, 2007. "Transmission des chocs et mécanismes d'ajustement dans le Mercosur," Post-Print halshs-00159553, HAL.

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