Cointegration et Modeles Dynamiques
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.
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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/ More information through EDIRC
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- Paul M Romer, 1999.
"Increasing Returns and Long-Run Growth,"
Levine's Working Paper Archive
2232, David K. Levine.
- Romer, Paul M, 1986. "Increasing Returns and Long-run Growth," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1002-37, October.
- 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).
- 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.
- 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.
- 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.
- Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-64, December.
- Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
- Olivier J. Blanchard & Lawrence H. Summers, 1986.
"Hysteresis and the European Unemployment Problem,"
Working papers
427, Massachusetts Institute of Technology (MIT), Department of Economics.
- Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," NBER Chapters, in: NBER Macroeconomics Annual 1986, Volume 1, pages 15-90 National Bureau of Economic Research, Inc.
- Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," NBER Working Papers 1950, National Bureau of Economic Research, Inc.
- Francesco Giavazzi & Charles Wyplosz, 1985. "The Zero Root Problem: A Note on the Dynamic Determination of the Stationary Equilibrium in Linear Models," Review of Economic Studies, Oxford University Press, vol. 52(2), pages 353-357.
- 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.
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