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Cointegration et Modeles Dynamiques

  • D'Autume, A.

[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. [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. [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. [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 da

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Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Papiers d'Economie Mathématique et Applications with number 92.42.

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Length: 34 pages
Date of creation: 1992
Date of revision:
Handle: RePEc:fth:pariem:92.42
Contact details of provider: Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://cermsem.univ-paris1.fr/

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  1. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," NBER Working Papers 1950, National Bureau of Economic Research, Inc.
  2. Paul M Romer, 1999. "Increasing Returns and Long-Run Growth," Levine's Working Paper Archive 2232, David K. Levine.
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  4. Giavazzi, Francesco & Wyplosz, Charles, 1985. "The Zero Root Problem: A Note on the Dynamic Determination of the Stationary Equilibrium in Linear Models," Review of Economic Studies, Wiley Blackwell, vol. 52(2), pages 353-57, April.
  5. Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
  6. Long, John B, Jr & Plosser, Charles I, 1983. "Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 39-69, February.
  7. Thierry LAURENT & François LEGENDRE, 1987. "Spécification des processus d’ajustement et modélisation macroéconomique," Discussion Papers (REL - Recherches Economiques de Louvain) 1987033, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  8. Kloek, Teun, 1984. "Dynamic Adjustment When the Target Is Nonstationary," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 315-26, June.
  9. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December.
  10. Gregoir, Stéphane & Laroque, Guy, 1993. "Multivariate Time Series: A Polynomial Error Correction Representation Theorem," Econometric Theory, Cambridge University Press, vol. 9(03), pages 329-342, June.
  11. Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-64, December.
  12. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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