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Le pseudo-maximum de vraisemblance théorique et simulé. Application au cas des modèles de déséquilibre

Author

Listed:
  • Riadh Ben Jelili
  • Salima Hamouche
  • Ferhat Mihoubi

Abstract

[spa] El seudomáximo de verosimilitud teórico y simulado : aplicación al caso de los modelos de desequilibrio, . por Riadh Ben Jalili, Salima Hamouche y Ferhat Minhoubi.. . Esta reseñia metodológica tiene por objeto aclarar, mediante un ejemplo, la puesta en aplicación del método de evaluación por el seudomáximo de verosimilitud teórico y simulado. Este método, relativamente flexible, se aplica a una categoría muy general de modelos no lineales estáticos y dinámicos. El método propuesto permite obtener evaluaciones sumamente satisfactorias a cambio de un reducido costo de cálculo. Los modelos de desequilibrio, por definición no lineales, permiten ilustrar, efectivamente, la utilidad de semejante procedimiento. [fre] Le pseudo-maximum de vraisemblance théorique et simulé : application au cas des modèles de déséquilibre, . par Riadh Ben Jelili, Salima Hamouche et Ferhat Mihoubi.. . Cette note méthodologique a pour but d'expliciter, à travers un exemple, la mise en oeuvre de la méthode d'estimation par le . pseudo-maximum de vraisemblance théorique et simulé. Cette méthode, relativement souple, s'applique à une classe très générale de modèles non linéaires statiques ou dynamiques. Elle fournit des estimations très satisfaisantes pour un faible coût de calcul. Les modèles de déséquilibre, par essence non linéaires, permettent en effet d'illustrer l'utilité d'une telle procédure. . Les mots clés et leur traduction : . Pseudo-maximum de vraisemblance, méthode de simulation ou méthode de Monte Carlo, modèles latents, information discriminante de Kullback, modèles canoniques de déséquilibre, variables latentes retardées, micro-marchés, marché du travail. [ger] heoretischer und simulierter Pseudo-Maximum-Likelihood-Ansatz: Anwendung auf den Fall der Ungleichgewichtsmodelle, . von Riadh Ben Jelili, Salima Hamouche und Ferhat Mihoubi.. . In diesem methodologischen Aufsatz soil anhand eines Beispiels die Anwendung des Verfahrens der Schätzung mit dem theoretischen und sirnulierten Pseudo-Maximum-Likelihood-Ansatz aufgezeigt werden. Diese relativ flexible Méthode kommt bei einer sehr allgemeinen Klasse von statischen oder dynamischen nicht-Iinearen Modellen zur Anwendung. Sie liefert überaus zufriedenstellende Schätzungen bei nur geringen Rechenkosten. Mit den Ungleichgewichtsmodellen, die wesensgemäß nicht linear sind, läßt sich in der Tat der Nutzen eines solchen Verfahrens veranschaulichen. [eng] Theoretical and Simulated Pseudo Maximum Likelihood Applied to Disequilibrium Models, . by Riadh Ben Jelili, Salima Hamouche and Ferhat Mihoubi.. . This methodological note takes an example to explain the use of the theoretical and simulated pseudo maximum likelihood estimation method. This relatively flexible method can be applied to a wide range of static and dynamic non-linear models. It provides highly satisfactory estimates at a low calculation cost. Essentially non-linear disequilibrium models illustrate the value of such a procedure. Key Words: . Pseudo maximum likelihood, simulation or Monte Carlo method, latent models, Kullback discriminant information, canonical disequilibrium models, lagged latent variables, micromarkets, labour market.

Suggested Citation

  • Riadh Ben Jelili & Salima Hamouche & Ferhat Mihoubi, 1994. "Le pseudo-maximum de vraisemblance théorique et simulé. Application au cas des modèles de déséquilibre," Économie et Prévision, Programme National Persée, vol. 112(1), pages 149-174.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1994_num_112_1_5659
    DOI: 10.3406/ecop.1994.5659
    Note: DOI:10.3406/ecop.1994.5659
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    References listed on IDEAS

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