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Christopher A. Sims et la représentation VAR

  • Jean-Baptiste Gossé

    ()

    (CEPN - Centre d'Economie de l'Université Paris Nord - CNRS : UMR7234 - Université Paris 13 - Université Sorbonne Paris Cité (USPC))

  • Cyriac Guillaumin

    (CREG - Centre de recherche en économie de Grenoble - Université Pierre-Mendès-France - Grenoble II : EA4625)

le 10 octobre 2011, l'Académie Royale des Sciences de Suède a attribué le prix Nobel d'économie à Thomas Sargent et Christopher Sims " pour leurs recherches empiriques sur la cause et l'effet en macroéconomie ". Cet article se propose de présenter les travaux pour lesquels Sims a été primé. Pour commencer, nous retraçons son parcours académique. Nous présentons ensuite de façon synthétique les travaux qui ont valu à Sims d'être récompensé. Face aux insuffisances des modèles macroéconométriques d'inspiration keynésienne, Sims (1980) émet la fameuse critique de Sims et propose une modélisation multivariée dont les seules restrictions sont le choix des variables sélectionnées et le nombre de retards intégrés. Nous proposons en conclusion un panorama des nombreuses recherches suscitées par les travaux pionniers de Sims.

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Paper provided by HAL in its series CEPN Working Papers with number hal-00642920.

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Date of creation: 19 Nov 2011
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Handle: RePEc:hal:cepnwp:hal-00642920
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00642920
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