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Estimation de relations de long terme sur données de panel : nouveaux résultats

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  • Alain Pirotte

Abstract

[fre] Estimation de relations de long terme sur données de panel : nouveaux résultats . . par Alain Pirotte . Cet article s'intéresse à la détermination des effets de long terme sur données de panel. On montre que l'estimateur inter-individuel (between) de la relation statique, alors que la vraie spécification est dynamique, converge toujours en probabilité vers les effets de long terme. Par contre, ce résultat ne s'applique pas systématiquement aux estimateurs des MCO et intra-individuel (within). D'autre part, nous mettons en évidence l'importance de l'effet individuel sur la variable explicative dans la convergence plus ou moins rapide des estimateurs between, des MCO et within vers le coefficient de long terme. En particulier, sa présence permet de retrouver l'association entre estimateurs des MCO et between pour retracer les effets de long terme. Enfin, l'estimation d'un modèle de demande de travail sur un panel de 93 entreprises françaises suivies de 1987 à 1991, nous permet de conclure quant à la pertinence empirique de nos résultats théoriques. [eng] Estimation of Long Run Effects on Panel Data: New Results by Alain Pirotte . This article is focus on estimated long run effects on panel data. We show that the probability limit of between estimator of a static model, whereas the true specification is a dynamic relationship, gives the long run effects. If the exogenous variable follows a stationary process with individual effects, we show that the convergence of Between estimator is more pronounced than the OLS and Within estimators. Moreover, with individual effects the association OLS and Between estimators with long run effects is proved. Finally, the estimation of a labour demand model on a french panel data of 93 firms over the period 1987 to 1991 confirms the theoretical results.

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  • Alain Pirotte, 1996. "Estimation de relations de long terme sur données de panel : nouveaux résultats," Économie et Prévision, Programme National Persée, vol. 126(5), pages 143-161.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_126_5_5828
    DOI: 10.3406/ecop.1996.5828
    Note: DOI:10.3406/ecop.1996.5828
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    References listed on IDEAS

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    1. Adama Zerbo, 2018. "Evidences empiriques sur la formation de l'équilibre du marché du travail : cas des pays de l'OCDE," Documents de travail 179, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV.
    2. Karine Berger & Aurélien Daubaire, 2003. "L'évolution du taux d'épargne des ménages dans quelques pays de l'OCDE une interprétation basée sur les déterminants de moyen terme," Revue d'économie politique, Dalloz, vol. 113(6), pages 829-849.
    3. Chiraz Feki & Sirine Mnif, 2016. "Entrepreneurship, Technological Innovation, and Economic Growth: Empirical Analysis of Panel Data," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 7(4), pages 984-999, December.

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