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Sélection du nombre de retards dans un modèle VAR : conséquences éventuelles du choix des critères

Author

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  • Claude Deniau
  • Georges Fiori
  • Alexandre Mathis

Abstract

[fre] Sélection du nombre de retards dans un modèle VAR conséquences éventuelles du choix des critères, . par Claude Deniau, Georges Fiori, Alexandre M athis.. . Ce travail s'intéresse à la détermination du nombre de retards à prendre en compte dans des représentations autorégressives vectorielles. La sensibilité des résultats obtenus est examinée sur un ensemble de trois variables comprenant la monnaie, le taux d'intérêt réel et la production. [spa] Selección del núméro de retrasos en un modelo VAR : consecuencias posibles de la opción de criterios, . por Claude Deniau, Georges Fiori y Alexandre Mathis.. . Este trabajo está dedicado a la determinación del número de retrasos que cabe tener en cuenta en las representaciones autorregresivas vectoriales. Se examina la sensibilidad de los resultados obtenidos en consideración a un conjunto de très variables que corresponden a la moneda, al tipo de interés real y la producción. [eng] Selection of the Number of Lags in a VAR Model Possible Consequences on the Choice of Criteria, . by Claude Deniau, Georges Fiori and Alexandre Mathis.. . This work deals with determining the number of lags to be taken into account in auto-regressive vectorial representations. The sensitivity of the results obtained is examined for a set of three variables covering currency, the real interest rate and production. [ger] Festlegung der Anzahl Verzögerungen in einem VAR-Modell. Die Wahl der Kriterien und ihre möglichen Auswirkungen, . von Claude Deniau, Georges Fiori, Alexandre Mathis.. . Gegenstand dieses Artikels ist die Wahl der Anzahl der Verzögerungen, die in vektoriellen autoregressiven Darstellungen zu berücksichtigen sind. Anhand der drei Variablen Währung, realer Zinssatz und Produktion wird anschließend die Zuverlässigkeit der erhaltenen Ergebnisse untersucht.

Suggested Citation

  • Claude Deniau & Georges Fiori & Alexandre Mathis, 1992. "Sélection du nombre de retards dans un modèle VAR : conséquences éventuelles du choix des critères," Économie et Prévision, Programme National Persée, vol. 106(5), pages 61-69.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5315
    DOI: 10.3406/ecop.1992.5315
    Note: DOI:10.3406/ecop.1992.5315
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    References listed on IDEAS

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    1. Gossé, Jean-Baptiste & Guillaumin, Cyriac, 2013. "L’apport de la représentation VAR de Christopher A. Sims à la science économique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 309-319, Décembre.
    2. François Hild, 2002. "Une lecture enrichie des réponses aux enquêtes de conjoncture," Économie et Statistique, Programme National Persée, vol. 359(1), pages 13-33.
    3. Cyriac Guillaumin & Guillaume Vallet, 2012. "La Suisse et la zone euro : votre monnaie, notre problème ? La possibilité d'un ancrage de jure," Revue d'économie politique, Dalloz, vol. 122(5), pages 629-655.
    4. Enrique M. Quilis(1), "undated". "Modelos Bvar: Especificación, Estimación E Inferencia," Working Papers 8-02 Classification-JEL :, Instituto de Estudios Fiscales.

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