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Modèles à correction d'erreur : l'apport de la théorie de la co-intégration

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  • Françoise Maurel

Abstract

[eng] Error-Correction Models: the Contribution of Co-Integration Theory, . by Françoise Maurel.. . Error-correction models have been used for several years by specialists in applied econometrics. Recently, the development of co-integration theory has provided an additionnai statistical basis for this type of dynamic model for formalising the notion of long-term relationships or relationships of equilibrium underlying the error-correction models, and by proposing procedures for testing the existence of such long-term relationships. This approach is essentially based on the theory of asymptotical behaviour of non-stationary series and on temporal series theory, but it has numerous applications in economics and applied econometrics. [ger] Modelle mit einbezogener Fehlerkorrektur : die Aussagekraft der Ko-Integrationstheorie, . von Françoise Maurel.. . Die Modelle mit einbezogener Fehlerkorrektur werden von den Ökonometrieexperten schon seit einigen Jahren angewandt. In letzter Zeit konnte dieser Kategorie von dynamischen Modellen durch die Ausarbeitung der Ko-Integrationstheorie ein zusätzliches Fundament gegeben werden. Erreicht wurde dies durch die Formalisierung des Begriffs der Langzeit- oder Ausgleichsrelation, der den Modellen mit einbezogener Fehlerkorrektur zugrunde liegt, sowie durch die Einfiihrung von Testverfahren zur Ûberprùfung des Vorhandenseins solcher Langzeitrelationen. Diese Untersuchung beruht im wesentlichen auf dem asymptotischen Verhalten nichtstationärer Reihen sowie auf der Théorie der Zeitreihen, ihre Anwendungen in Wirtschaft und angewandter Ökonometrie sind indessen zahlreich. [fre] Modèles à correction d'erreur : l'apport de la théorie de la co-intégration, . par Françoise Maurel.. . Les modèles à correction d'erreur sont utilisés depuis déjà quelques années par les économètres praticiens. Récemment, le développement de la théorie de la co-intégration a permis de donner un fondement statistique supplémentaireàcetypede modèles dynamiquesen formalisant la notion de relation de long termeou d'équilibre, sous-jacente aux modèles à correction d'erreur, et en proposant des procédures de tests de l'existence de telles relations de long terme. Cette approche repose essentiellementsur le comportement asymptotique de séries non stationnaires etde la théorie des séries temporelles mais ses applications sont nombreuses en économie et économétrie appliquée. [spa] Modelos de correción de error : el aporte de la teoría de la cointegración,. por Françoise Maurel.. . Los modelos de corrección de error están siendo utilizados desde hace ya algunos años por los especialistas en econometría. Recientemente, el desarrollo de la teoría de la cointegración ha permitido dar un fundamento estadístico adicional a este tipo de modelos dinámicos convirtiendo en formai la noción de relación de largo plazo o de equilibrio, subyacente en los modelos de corrección de error, y proponiendo procedimientos de pruebas de la existencia de taies relaciones de largo plazo. Este enfoque se apoya esencialmente en el comportamiento asintótico de series no estacionarias y de la teoría de las series temporales, pero sus aplicactiones son numerosas en economía y econometría aplicada.

Suggested Citation

  • Françoise Maurel, 1989. "Modèles à correction d'erreur : l'apport de la théorie de la co-intégration," Économie et Prévision, Programme National Persée, vol. 88(2), pages 105-125.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1989_num_88_2_6076
    DOI: 10.3406/ecop.1989.6076
    Note: DOI:10.3406/ecop.1989.6076
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    References listed on IDEAS

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    1. Salmon, Mark H, 1982. "Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 92(367), pages 615-629, September.
    2. Salmon, M., 1988. "Error Correction Models, Co-Integration And The Internal Model Principle," The Warwick Economics Research Paper Series (TWERPS) 291, University of Warwick, Department of Economics.
    3. Currie, David A, 1981. "Some Long Run Features of Dynamic Time Series Models," Economic Journal, Royal Economic Society, vol. 91(363), pages 704-715, September.
    4. Gilbert, Christopher L, 1986. "Professor Hendry's Econometric Methodology," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 283-307, August.
    5. Escribano, A., 1987. "Error-correction systems: nonlinear adjustments to linear long-run relationships," LIDAM Discussion Papers CORE 1987030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Salmon, Mark, 1986. "Error correction modeler . co-integration and the internal model principle," Economic Research Papers 268250, University of Warwick - Department of Economics.
    7. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    8. Breusch, Trevor S & Wickens, Michael R., 1987. "Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models," CEPR Discussion Papers 154, C.E.P.R. Discussion Papers.
    9. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
    10. Escribano, A. & , ., 1987. "Co-integration, time co-trends and error-correction systems: an alternative approach," LIDAM Discussion Papers CORE 1987015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    1. Florence Contré & Ian Goldin, 1991. "L'agriculture en période d'ajustement au Brésil," Revue Tiers Monde, Programme National Persée, vol. 32(126), pages 271-302.
    2. Véronique Reiffers, 1995. "Une mise en perspective des déterminants de l'investissement : rôle du Q de Tobin sur la période 1972 -1991 en France," Revue Économique, Programme National Persée, vol. 46(4), pages 1167-1187.
    3. Michel Boutillier & Sabine Dérangère, 1992. "Le taux du crédit accordé aux entreprises françaises : coûts opératoires des banques et prime de risque de défaut," Revue Économique, Programme National Persée, vol. 43(2), pages 363-382.
    4. Françoise Maurel, 1990. "Dynamique de l'emploi et tendance de la productivité dans les années quatre-vingt," Économie et Statistique, Programme National Persée, vol. 237(1), pages 151-162.
    5. Pierre Poret, 1990. "Les salaires dans les grands pays de l'OCDE au cours des années quatre-vingt," Économie et Statistique, Programme National Persée, vol. 235(1), pages 3-15.

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