Guide pratique des séries non stationnaires
[fre] Guide pratique des séries non-stationnaires par Bernard Salanié L'objet de ce texte est de présenter les méthodes économétriques disponibles pour procéder à l'estimation et au test de systèmes comprenant des variables non-stationnaires, en insistant sur les contributions récentes qui fournissent des méthodes plus simples et/ou plus robustes que celles qui ont été développées au début des années quatre- vingt. L'approche utilisée est résolument pragmatique : aucun résultat asymptotique n'est démontré, mais on cherche à évaluer les avantages et inconvénients de l'utilisation de chaque procédure. [eng] A guide to non-stationary series by Bernard Salanié The purpose of this paper is to present traditional and more recent econometric procedures for estimating and testing systems that contain non-stationary variables. The aim throughout is not to prove asymptotic results, but rather to weigh the pros and cons of using each method. The article attempts to show that more recent methods may be more straightforward and/or robust than procedures developed in the early 1980s.
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|Date of creation:||1999|
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