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L’utilisation de variables explicatives estimées dans les régressions économétriques

  • Michaël GOUJON

    ()

    (Centre d'Etudes et de Recherches sur le Développement International)

Cette note a pour objet de rappeler certains résultats de la littérature sur les problèmes posés par l’introduction dans une régression économétrique de variables explicatives qui ont été précédemment estimées à partir d’une équation auxiliaire en première étape. Les indicateurs de politique économique « révélée » par les résultats, telles qu’elles ont été initiées au CERDI il y a déjà un certain nombre d’années font en effet partie de cette classe de variables et ont éventuellement pour finalité d’être utilisés comme variables explicatives dans des régressions économétriques. Cette note présente les principaux résultats de l’article de Pagan (1984) qui est l’article de référence en la matière et des illustrations à partir d’articles utilisant ces résultats.

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Paper provided by CERDI in its series Working Papers with number 200825.

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Length: 12
Date of creation: 2008
Date of revision:
Handle: RePEc:cdi:wpaper:1042
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