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Une nouvelle solution au problème de KLOEK et MENNES

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  • Philippe Casin

Abstract

La technique des doubles moindres carrés n'est pas utilisable lorsqu'il y a beaucoup de variables et peu d'observations. Pour résoudre ce problème, KLOEK et MENNES ont proposé de remplacer certaines variables par leurs composantes principales. Cet article traite de la façon de déterminer des combinaisons linéaires de variables, qui peuvent être obtenues autrement qu'en utilisant Paralyse en composantes principales.

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  • Philippe Casin, 2000. "Une nouvelle solution au problème de KLOEK et MENNES," Annals of Economics and Statistics, GENES, issue 57, pages 193-209.
    • Handle: RePEc:adr:anecst:y:2000:i:57:p:193-209
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