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La méthode des moments généralisés et ses extensions : théorie et applications en macro-économie

  • François Langot
  • Patrick Fève

[fre] La méthode des moments généralisés et ses extensions. Théorie et applications en macro-économie . par Patrick Fève, François Langot . L'objectif de cet article est d'exposer les résultats théoriques principaux de la méthode des moments généralisés. Dans un premier temps, les principes, les propriétés statistiques et diverses illustrations de l'estimateur des moments généralisés sont discutés. Les différentes méthodes de calcul de la matrice de poids sont présentés dans un second temps. Un ensemble de tests de spécification et différentes mises en garde pratiques sont ensuite exposées. De plus, différentes voies d'extensions de cette méthode sont étudiées. Finalement, la mise en œuvre d'une telle méthode est illustrée en étudiant l'estimation des paramètres structurels d'un model de prix d'actifs appliqué à la consommation. [eng] The Generalized Method of Moments. Theoretical Extensions and Macroeconomic Applications . by Patrick Fève and François Langot . The purpose of this paper is to present the main theoretical results obtained when using the Generalized Method of Moments. Principles, statistical properties and various illustrations of the estimator of this method are discussed. Then covariance matrix computation methods are explained and various specification tests examined. A number of extensions of this method are also studied. Lastly, the use of such a method is illustrated by empirically applying it to the estimation of the structural parameters of a Consumption Based Capital Asset Pricing Model. [ger] Die verallgemeinerte Momentenmethode und ihre theoretischen und anwendungsbezogenen Erweiterungen in . der Gesamtwirtschaft . von Patrick Fève, François Langot . Ziel dieses Artikels ist es, die wichtigsten theoretischen Ergebnisse der verallgemeinerten Momentenmethode aufzuzeigen. Zunâchst werden die Grundsâtze, die statistischen Merkmale und verschiedene Veranschaulichungen des Schâtzers der verallgemeinerten Momentenmethode diskutiert. Danach prâsentieren wir die einzelnen Methoden zur Berechnung der Kovarianzmatrix. Eine Reihe von Spezifizierungstests und mehrere praktische Hinweise werden anschlieBend dargelegt. Gepriift werden auBerdem verschiedene Môglichkeiten fur Erweiterungen dieser Méthode. SchlieBlich wird die Anwendung einer solchen Méthode veranschaulicht, indem wir die Schâtzung der strukturellen Parameter eines Preismodells fur Vermôgenswerte mit Anwendung auf den Konsum untersuchen. [spa] Método de los momentos generalizados, extensiones teôricas y aplicaciones en macroeconomîa . por Patrick Fève y François Langot . El objetivo de este articulo es de exponer los principales resultados teôricos del método de los momentos generalizados. En un primer tiempo, se discuten los principios, las propiedades estadfsticas y las diversas aplicaciones del estimador de los momentos generalizados. Los diferentes métodos de câlculo de la matriz de covarianza son presentados en un segundo tiempo. Luego, se exponen un conjunto de tests de especificaciôn y recomendaciones prâcticas. Se estudian ademâs diferentes vias de extension del método seleccionado y, por ultimo, se ejemplifica su desarrollo con el estudio de la estimaciôn de los parâmetros estructurales de un sistema de precios de activos aplicado al consumo.

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File URL: http://dx.doi.org/doi:10.3406/ecop.1995.5737
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File URL: http://www.persee.fr/articleAsPDF/ecop_0249-4744_1995_num_119_3_5737/ecop_0249-4744_1995_num_119_3_5737.pdf?mode=light
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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 119 (1995)
Issue (Month): 3 ()
Pages: 139-170

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1995_num_119_3_5737
Note: DOI:10.3406/ecop.1995.5737
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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