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Econométrie des modèles à changements de régimes: un essai de synthèse

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  • Remzi Uctum

    (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Ce travail de synthèse propose une typologie des modèles à changement de régimes selon que ces modèles incluent ou non une règle de sélection (information a priori sur les mécanismes qui président au choix d'un régime). Les modèles avec règle de sélection déterministe décrivent des transitions brutales (TAR) ou lisses (STAR) entre les régimes (modèles à seuils), tandis que ceux comportant une règle de sélection stochastique sont appropriés pour rendre compte de changements endogènes (ex : modèles de déséquilibre). Parmi les modèles sans règle de sélection (où la « vraie » règle de sélection non-observable est remplacée par des probabilités constantes inconnues associées aux régimes), une classe suppose que la nature choisit parmi les régimes selon des probabilités non conditionnelles aux régimes passés (modèles à mélanges de distributions) et une autre affecte aux régimes des probabilités de transition selon lesquelles la probabilité de réalisation d'un régime est conditionnelle au régime précédent (modèles à changements markoviens). La discussion comparative des différentes approches est complétée par un survol des études empiriques.

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  • Remzi Uctum, 2007. "Econométrie des modèles à changements de régimes: un essai de synthèse," Post-Print halshs-00174034, HAL.
  • Handle: RePEc:hal:journl:halshs-00174034
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00174034
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