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Coïntégration et modèles dynamiques

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  • Antoine d'Autume

Abstract

[spa] Cointegración y modelos dinámicos, . por Antoine d'Autume.. . Las propiedades de integración y de cointegración reflejan las propiedades dinámicas importantes de los modelos macroeconómicos, que se trata de explicar detalladamente en este artículo, hatiendo resaltar la estrecha correspondentia que existe entre propiedades deterministas, relativas a las tasas de crecimiento, y propiedades estocásticas. Este análisis va seguido de una reflexión general acerca de las causas de aparición de raíces unitarias en los modelos macroeconómicos. [fre] Coïntégration et modèles dynamiques, . par Antoine d'Autume.. . Les propriétés d'intégration et de coïntégration traduisent des propriétés dynamiques importantes des modèles macro-économiques, que nous nous attachons à expliciter en mettant en évidence la correspondance étroite entre propriétés déterministes, concernant les taux de croissance, et propriétés stochastiques. Cette analyse est suivie d'une réflexion générale sur les causes d'apparition de racines unitaires dans les modèles macro-économiques. [eng] Cointegration and Dynamic Models, . by Antoine d'Autume.. . Integration and cointegration properties reveal the highly dynamic properties of macroeconomic models. Attempts are made to explain this by showing the close correlation between determinist properties, with respect to growth rates, and stochastic properties. This analysis is followed by a general discussion on the causes of the appearance of unit roots in macroeconomic models. [ger] Kointegration und dynamische Modelle, . von Antoine d'Autume.. . Die Integrations- und Kointegrationseigenschaften spiegeln wichtige dynamische Eigenschaften der makroökonomischen Modelle wider, die wir unter Aufzeigung der engen Beziehungen zwischen den deterministischen Eigenschaften der Wachstumsraten und den stochastischen Eigenschaften zu erklären versuchen. Nach dieser Analyse werden allgemeine Überlegungen über die Ursachen für das Auftreten von Einheitswurzeln in den makroökonomischen Modellen angestellt.

Suggested Citation

  • Antoine d'Autume, 1992. "Coïntégration et modèles dynamiques," Économie et Prévision, Programme National Persée, vol. 106(5), pages 71-83.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5316
    DOI: 10.3406/ecop.1992.5316
    Note: DOI:10.3406/ecop.1992.5316
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