Hostname: page-component-cd9895bd7-q99xh Total loading time: 0 Render date: 2024-12-26T17:52:53.181Z Has data issue: false hasContentIssue false
  • English
  • Français

Analyse chronologique Spécification de modèles dynamiques à equations simultanées

Published online by Cambridge University Press:  17 August 2016

Franz Palm
Get access

Extract

II y a un quart de siècle, en 1950, J. Marschak introduisait le lecteur à la monographic «Statistical Inference in Dynamic Economic Models», l'œuvre de pionniers en économétrie, par la phrase suivante (je traduis) :

«La base de l'économique quantitative est triple : formuler des hypotheses économiques, recueillir les donnees appropriees et confronter les hypothèses et les donneés »

Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 42 , Issue 1 , March 1976 , pp. 37 - 52
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1976 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

1

Texte présenté à l'occasion de la défense publique d'une thèse de doctorat en Sciences Economiques, Palm (1975).

L'auteur est Aspirant du Fonds National de la Recherche Scientiflque. Mes recherches n'auraient pas ete possibles sans l'aide et l'ingéniosité de mon directeur de thése, Arnold Zellner, qui est co-auteur d'une partie de ce travail. Je tiens à lui exprimer ma profonde gratitude.

References

Références

Anderson, O.D. (1975): « On a Lemma Associated with Box, Jenkins and Granger », Journal of Econometrics, 3, 151–156.10.1016/0304-4076(75)90043-3Google Scholar
Box, G.E.P., and Jenkins, G.M. (1970) : Time Series Analysis, Forecasting and Control, San Francisco : Holden-Day, Inc.Google Scholar
Bray, J. (1971) : « Dynamic Equations for Economic Forecasting with G.D.P. in the United Kingdom as an Example », Journal of the Royal Statistical Society, Series A, 134, 167–227.10.2307/2343872Google Scholar
Cooper, R.L. (1972) : « The Predictive Performance of Quarterly Econometric Models of the United States », 813–948, in Hickman, B.J. (ed.), Econometric Models of Cyclical Behavior, NBER Studies in Income and Wealth, 36.Google Scholar
Dhrymes, P.J. (1970) : Econometrics, Statistical Foundations and Applications, New York, Harper and Row, Inc.Google Scholar
Dhrymes, P.J. (1971) : Distributed Lags, San Francisco, Holden-Day, Inc.Google Scholar
Friedman, M. (1970) : « A Theoretical Framework for Monetary Analysis », Journal of Political Economy, 78, 193–238.10.1086/259623Google Scholar
Granger, C.W.J. (1972) : « Time Series Modelling and Interpretation », paper presented to the European Econometric Congress, Budapest.Google Scholar
Granger, C.W.J., and Newbold, P. (1975) : « Economic Forecasting : the Atheist’s Viewpoint », 131–147, in Renton, G.A. (ed.), Modelling the Economy, London : Heinemann Educational Books Ltd.Google Scholar
Hannan, E.J. (1970) : Multiple Time Series, New York, J. Wiley & Sons, Inc.10.1002/9780470316429Google Scholar
Jenkins, G.M., and Watts, D.G. (1969) : Spectral Analysis and its Applications, San Francisco : Holden-Day, Inc.Google Scholar
Marschak, J. (1950): « Statistical Inference in Economics: An Introduction », in Koopmans, T.C. (ed.), Statistical Inference in Dynamic Economic Models, New York : Wiley.Google Scholar
Nelson, Ch.R. (1972) : « The Prediction Performance of the FRB- MIT- PENN Model of the U.S. Economy », American Economic Review, 62, 902–917.Google Scholar
Palm, F. (1975) : « Time Series Analysis and Simultaneous Equation Models with Macroeconomic Applications », Unpublished Doctoral Dissertation, Université Catholique de Louvain.Google Scholar
Quenouille, M.H. (1957) : The Analysis of Multiple Time Series, London : C. Griffin and Co.Google Scholar
Renton, G.A. (ed.) (1975): Modelling the Economy, London: Heinemann Educational Books Ltd.Google Scholar
Tinbergen, J. (1939) : Statistical Testing of Business-Cycle Theories, II : Business Cycles in the U.S.A., 1919–1932, Geneva : League of Nations.Google Scholar
Zellner, A. (1962) : « An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias », Journal of the American Statistical Association, 57, 348–368.10.1080/01621459.1962.10480664Google Scholar
Zellner, A., and Palm, F. (1974) : « Time Series Analysis and Simultaneous Equation Econometric Models », Journal of Econometrics, 2, 17–54.10.1016/0304-4076(74)90028-1Google Scholar
Zellner, A., and Palm, F. (1975) : « Time Series and Structural Analysis of Monetary Models of the U.S. Economy », Sankhyà : The Indian Journal of Statistics, Series C; 37, Pt 2, 12–56.Google Scholar