IDEAS home Printed from https://ideas.repec.org/p/fth/pariem/92.42.html
   My bibliography  Save this paper

Cointegration et Modeles Dynamiques

Author

Listed:
  • D'Autume, A.

Abstract

[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. [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 dans les modèles macro-économiques. [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. [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 makro
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • D'Autume, A., 1992. "Cointegration et Modeles Dynamiques," Papiers d'Economie Mathématique et Applications 92.42, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:92.42
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Romer, Paul M, 1986. "Increasing Returns and Long-run Growth," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1002-1037, October.
    2. 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 971-987, December.
    3. 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.
    4. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    5. Blanchard, Olivier J. & Summers, Lawrence H., 1987. "Hysteresis in unemployment," European Economic Review, Elsevier, vol. 31(1-2), pages 288-295.
    6. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    7. 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.
    8. 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).
    9. Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
    10. Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-1164, December.
    11. 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 315-326, June.
    12. 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.
    13. 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.
    14. King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : I. The basic neoclassical model," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 195-232.
    15. James Davidson, 1991. "The Cointegration Properties Of Vector Autoregression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 12(1), pages 41-62, January.
    16. Gregoir, Stéphane & Laroque, Guy, 1993. "Multivariate Time Series: A Polynomial Error Correction Representation Theorem," Econometric Theory, Cambridge University Press, vol. 9(3), pages 329-342, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Paul Lau, Sau-Him, 1999. "I(0) In, integration and cointegration out:: Time series properties of endogenous growth models," Journal of Econometrics, Elsevier, vol. 93(1), pages 1-24, November.
    2. Etro, Federico, 2017. "Research in economics and macroeconomics," Research in Economics, Elsevier, vol. 71(3), pages 373-383.
    3. Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
    4. Ambler, Steven & Cardia, Emanuela & Phaneuf, Louis, 1992. "Contrats de salaire, croissance endogène et fluctuations," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 175-204, mars et j.
    5. Valerie Cerra & Antonio Fatás & Sweta C. Saxena, 2023. "Hysteresis and Business Cycles," Journal of Economic Literature, American Economic Association, vol. 61(1), pages 181-225, March.
    6. Robert F. Engle & Joao Victor Issler, 1993. "Estimating Sectoral Cycles Using Cointegration and Common Features," NBER Working Papers 4529, National Bureau of Economic Research, Inc.
    7. Leo Butler, 1996. "The Bank of Canada's New Quarterly Porjection Model Part 4 : A Semi- Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter," Technical Reports 77, Bank of Canada.
    8. Giorgio Calcagnini & Germana Giombini & Giuseppe Travaglini, 2021. "The Productivity Gap Among Major European Countries, USA and Japan," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 7(1), pages 59-78, March.
    9. Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello, 2014. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 62-78.
    10. Jordi Gali, 1999. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," American Economic Review, American Economic Association, vol. 89(1), pages 249-271, March.
    11. Lawrence J. Christiano, 1987. "Why is consumption less volatile than income?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 11(Fall), pages 2-20.
    12. Escañuela Romana, Ignacio, 2016. "Azar, Determinismo e Indecidibilidad en la Teoría del Ciclo Económico [Randomness, Determinism and Undecidability in the Business Cycle Theory]," MPRA Paper 72978, University Library of Munich, Germany.
    13. Alejandro Cunat & Marco Maffezzoli, 2004. "Hecksher-Ohlin Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(3), pages 555-585, July.
    14. John P. Judd & Bharat Trehan, 1989. "Unemployment-rate dynamics: aggregate-demand and -supply interactions," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 20-37.
    15. Ribba, Antonio, 2007. "Permanent disinflationary effects on unemployment in a small open economy: Italy 1979-1995," Economic Modelling, Elsevier, vol. 24(1), pages 66-81, January.
    16. Pranab Bardhan, 1993. "Economics of Development and the Development of Economics," Journal of Economic Perspectives, American Economic Association, vol. 7(2), pages 129-142, Spring.
    17. Verma, R. & Wilson, E.J., 2005. "Savings, Investment, Foreign Inflows and Economic Growth of the Indian Economy 1950-2001," Economics Working Papers wp05-23, School of Economics, University of Wollongong, NSW, Australia.
    18. Martin Fleming, 2021. "Productivity Growth and Capital Deepening in the Fourth Industrial Revolution," Working Papers 010, The Productivity Institute.
    19. Glass, Anthony, 2009. "Government expenditure on public order and safety, economic growth and private investment: Empirical evidence from the United States," International Review of Law and Economics, Elsevier, vol. 29(1), pages 29-37, March.
    20. Nassif, André & Feijó, Carmem Aparecida & Araújo, Eliane, 2017. "A structuralist-Keynesian model for determining the optimum real exchange rate for Brazil’s economic development process: 1999-2015," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.

    More about this item

    Keywords

    modeles economiques ; cointegration;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fth:pariem:92.42. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/cerp1fr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/cerp1fr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.