IDEAS home Printed from https://ideas.repec.org/a/prs/ecoprv/ecop_0249-4744_1992_num_106_5_5314.html
   My bibliography  Save this article

La construction et l'estimation de petits modèles macro-économiques

Author

Listed:
  • Teun Kloek

Abstract

[fre] La construction et l'estimation de petits modèles macro-économiques, . par Teun Kloek.. . Cet article discute certains développements récents de la construction et de l'estimation de petits modèles macro-économiques : simplification et transformation de modèles VAR en modèles économétriques, tests de l'invariance des paramètres d'équations structurelles et de la critique de Lucas, relations entre la théorie économique et les travaux empiriques, choix des spécifications testées. Ces approches sont importantes pour conférer aux modèles utilisés pour la prévision et les études de politique économique les meilleures caractéristiques de robustesse. [spa] La construcción y la evaluación de pequeños modelos macroeconómicos, . por Teun Kloek.. . En este artículo se cuestionan ciertos desarrollos recientes de la construcción y la evaluación de pequeños modelos macroeconómicos : simplificación y transformación de modelos VAR en modelos econométricos, pruebas de invariancia de los parámetros de ecuaciones estructurales y de la crítica de Lucas, relaciones entre la teoria económica y los trabajos empíricos, elección de las especificaciones ensayadas. Estos planteamientos resultan importantes para conferir las mejores características de solidez a los modelos utilizados para la previsión y los estudios de política económica. [eng] Building and Testing Small Macroeconomic Models, . byTeunKIoek.. . This article discusses some of the recent developments in building and estimating small macroeconomic models: simplifying and converting VAR models into econometric models; tests on the invariance of structural equation parameters and on the Lucas critique; relationships between economic theory and empirical work; and the choice of the specifications tested. These approaches are important in making the models used for economic policy forecasting and studies as sound as possible. [ger] Konstruktion und Schätzung kleiner makroökonomischer Modelle, . von Teun Kloek.. . In diesem Artikel werden einige der jiingsten Entwicklungen bei der Konstruktion und Schätzung kleiner makroökonomischer Modelle erörtert, wie die Vereinfachung von VAR-Modellen und deren Umwandlung in ökonometrische Modelle, die Tests der Invarianz der Parameter von Stmkturgleichungen und der Lucas-Kritik, die Beziehungen zwischen der Wirtschaftstheorie und den empirischen Arbeiten, die Wahl der zu testenden Spezifikationen. Dièse Ansätze sind wichtig, um den für Prognosen und wirtschaftspolitische Untersuchungen verwandten Modellen ein Höchstmaß an Zuverlässigkeit zu verleihen.

Suggested Citation

  • Teun Kloek, 1992. "La construction et l'estimation de petits modèles macro-économiques," Économie et Prévision, Programme National Persée, vol. 106(5), pages 51-59.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5314
    Note: DOI:10.3406/ecop.1992.5314
    as

    Download full text from publisher

    File URL: https://doi.org/10.3406/ecop.1992.5314
    Download Restriction: no

    File URL: https://www.persee.fr/doc/ecop_0249-4744_1992_num_106_5_5314
    Download Restriction: no

    References listed on IDEAS

    as
    1. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March.
    2. Hendry, D.F. & Mizon, G.E., 1990. "Evaluating Dynamic Econometric Models By Encompassing The Var," Economics Series Working Papers 99102, University of Oxford, Department of Economics.
    3. Favero, C. & Hendry, D., 1990. "Testing The Lucas Critique: A Review," Economics Series Working Papers 99101, University of Oxford, Department of Economics.
    4. Summers, Lawrence H, 1991. " The Scientific Illusion in Empirical Macroeconomics," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(2), pages 129-148.
    5. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    6. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters,in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
    7. repec:fth:harver:1435 is not listed on IDEAS
    8. Alogoskoufis, George & Smith, Ron, 1991. " On Error Correction Models: Specification, Interpretation, Estimation," Journal of Economic Surveys, Wiley Blackwell, vol. 5(1), pages 97-128.
    9. Hendry, David F, 1988. "The Encompassing Implications of Feedback versus Feedforward Mechanisms in Econometrics," Oxford Economic Papers, Oxford University Press, vol. 40(1), pages 132-149, March.
    10. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    11. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5314. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE). General contact details of provider: https://www.persee.fr/collection/ecop .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.