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La methode d'estimation des moindres carres modifies ou fully modified

Author

Listed:
  • Hurlin, C.
  • MB.P. N'Diaye, P.

Abstract

Cet article presente la methode d'estimation des Moindres Carres Modifies ou "Fully Modified" (FM) proposee par Phillips et Hansen (1990) et Phillips (1995). A partir d'un exemple simple, nous examinons l'incidence des biais d'endogeneite de long terms sur les estimations par les Moindres Carres Ordinaires des parametres d'une relation de cointegration et nous proposons une interpretation simple de la correction FM.

Suggested Citation

  • Hurlin, C. & MB.P. N'Diaye, P., 1998. "La methode d'estimation des moindres carres modifies ou fully modified," Papiers d'Economie Mathématique et Applications 98.26, Université Panthéon-Sorbonne (Paris 1).
  • Handle: RePEc:fth:pariem:98.26
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    References listed on IDEAS

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    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
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    4. Chateauneuf, Alain & Cohen, Michele, 1994. "Risk Seeking with Diminishing Marginal Utility in a Non-expected Utility Model," Journal of Risk and Uncertainty, Springer, vol. 9(1), pages 77-91, July.
    5. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
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    7. Allais Maurice, 1990. "Cardinal Utility," Journal des Economistes et des Etudes Humaines, De Gruyter, vol. 1(2), pages 1-38, June.
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    Cited by:

    1. Fabien Rondeau, 2006. "Pattern of trade and European economic integration : an unexpected relation," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 200614, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.

    More about this item

    Keywords

    MOINDRE CARRE ; COINTEGRATION;

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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