Identification et estimation des paramètres d'une équation d'Euler en présence de variables intégrées et cointégrées
Journal de la Société de statistique de Paris, Tome 136 (1995) no. 3, pp. 37-57.
@article{JSFS_1995__136_3_37_0,
     author = {Boughrara, Adel},
     title = {Identification et estimation des param\`etres d'une \'equation {d'Euler} en pr\'esence de variables int\'egr\'ees et coint\'egr\'ees},
     journal = {Journal de la Soci\'et\'e de statistique de Paris},
     pages = {37--57},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {136},
     number = {3},
     year = {1995},
     language = {fr},
     url = {http://archive.numdam.org/item/JSFS_1995__136_3_37_0/}
}
TY  - JOUR
AU  - Boughrara, Adel
TI  - Identification et estimation des paramètres d'une équation d'Euler en présence de variables intégrées et cointégrées
JO  - Journal de la Société de statistique de Paris
PY  - 1995
SP  - 37
EP  - 57
VL  - 136
IS  - 3
PB  - Société de statistique de Paris
UR  - http://archive.numdam.org/item/JSFS_1995__136_3_37_0/
LA  - fr
ID  - JSFS_1995__136_3_37_0
ER  - 
%0 Journal Article
%A Boughrara, Adel
%T Identification et estimation des paramètres d'une équation d'Euler en présence de variables intégrées et cointégrées
%J Journal de la Société de statistique de Paris
%D 1995
%P 37-57
%V 136
%N 3
%I Société de statistique de Paris
%U http://archive.numdam.org/item/JSFS_1995__136_3_37_0/
%G fr
%F JSFS_1995__136_3_37_0
Boughrara, Adel. Identification et estimation des paramètres d'une équation d'Euler en présence de variables intégrées et cointégrées. Journal de la Société de statistique de Paris, Tome 136 (1995) no. 3, pp. 37-57. http://archive.numdam.org/item/JSFS_1995__136_3_37_0/

Banerjee A., Dolado J., Hendry D.F. et Smith G.W. (1986) " Exploring Equilibrium Relationships in Econometrics Through Static Models : Some Monte Carlo Evidence", Oxford Bulletin of Economics and Stattstics, vol. 48, pp. 253-258.

Box G.E.P. et Jenkins G.M. (1976) Time Series Analysis-Forecasting and Control, San Francisco, CA :Holden-Day. | MR | Zbl

Box G.E.P. et Pierce D. (1970) " Distribution of Residuels Autocorrelation in Integrated Autoregressive Moving Average Time Series Models", Journal of the American, Statistical Association, Vol. 65, pp 1509-1526. | MR | Zbl

Cumby R., Huizinga J. et Obstfeld M. (1983) " Two-step Two-stage Least Squares Estimation in Models with Rational Expectations", Journal of Econometrics, Vol. 21, pp. 333-355. | MR | Zbl

Davidson R. et Mackinnon J. (1993) Estimation and Inference in Econometrics, Oxford, Oxford University Press. | MR | Zbl

Dicky D.A. et Fuller W.A. (1979) " Distribution of The Estimators for Autoregressive Time Series with a Unit Root", Journal of American Statistical Association, Vol. 74, pp 427-431. | MR | Zbl

Dicky D.A. et Fuller W.A. (1981) " Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica, Vol. 49, pp. 1057-72. | MR | Zbl

Dolado J.J., Galbraith G., Banerjee A. (1991) " Estimating Intertemporal Quadratic Adjustement Cost Models With Integrated Series", International Economic Review Vol. 32, pp. 919-935. | Zbl

Engle R.F. et Granger C.W.J. (1987) Cointegration and Error Correction : Representation, Estimation and Testing, Econometrica, Vol. 55, pp. 251-276. | MR | Zbl

Fuller W.A. (1976) Introduction to Statistical Time Series, New York, John Wiley & Sons. | MR | Zbl

Granger C.W. et Newbold G. (1987) Forecastmg Economic Time Series, Académic Press, San Fransisco.

Granger C.W. (1990) Where are the Controversies in Economics Methodology ?, In Modelling Economic Series, in Advanced Texts in Econometrics edited by C.W.J.Granger.

Gregory A.W., Pagan A.R. et Smith G.W. (1990) Estimating Linear Quadratic Models with integrated process, Research Working Paper, 247, University of Rochester, NY.

Gregory A.W., Pagan A.R. et Smith G.W. (1992) Estimating Quadratic Linear, Mimeo, University Rochester, NY.

Grubb D. et Symons J. (1987) " Biais in Regression with Lagged Variables", Econometric Theory, Vol. 4, pp. 371-386.

Hall A. (1993) " Some Aspects of Generalized Method of Moments Estimation", in Maddala, Rao & Vinod (eds), Handbook of Statistics, Vol. 11, Elsevier. | MR

Hansen L.P. (1982) " Large Sample Properties of GMM Estimators", Econometrica, Vol. 50, pp. 1029-1054. | MR | Zbl

Hansen L.P. (1985) " A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generelized Method of Moments", Journal of Econometrics Vol. 30, pp. 203-238. | MR | Zbl

Hansen L.P. et Sargent T.S. (1980) " Formulating and Estimating Dynamic Linear Rational Expectations Models", Journal of Economic Dynamics and Control, Vol. 2, pp. 7-46. | MR

Hansen L.P. et Sargent T.S. (1981) " A Note on Wiener-Kolmogorov Prediction Formulas for Rational Expectations Models", Economic Letters, n° 8, pp. 255-260. | MR

Hansen L.P. et Sargent T.S. (1982) " Instrumental Variables Procedures for Estimating Linear Rational Expectations Models", Journal of Monetary Economics, Vol. 9, pp. 263-296.

Illmakkunas P. (1989) " Survey Expectations vs Rational Expectations in The Estimation of a Dynamic Model : Demand For Labor in Finnish Manufacturing", Oxford Bulletin of Economics and Statistics, Vol. 51, pp. 297-314.

Johansan S. (1988) " Statistical Analysis of Co-integration Vectors", Journal of Economic Dynamics and control, Vol. 12, pp. 231-254. | MR | Zbl

Johansan S. (1992) The Role of Constant Term in Co-integration Analysis of Nonstationary Variables, Preprint 1, Institute of Mathematical Statistics, University of Copenhagn.

Johansan S. et Juselius K. (1990) " Maximum Likelihood Estimation and Inference Co-integration With Applications to the Demand for Money", Oxford Bulletin of Economics an Statistics, 52, n° 2, pp. 169-210.

Kennan J. (1979) " The Estimation of Partial Adjustement Models With Rational Expectations", Econometrica, Vol. 47, pp. 1441-1455. | MR | Zbl

Kinal T.W. (1980) " The Existence of Moments of k-class Estimators", Econometrica, Vol. 48, pp. 241-249. | MR | Zbl

Kwiatkowski D., Phillips P.C.B., Schmidt T. et Shin Y. (1992) " Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root", Journal of Econometrics, Vol. 54, pp.159-178. | Zbl

Mackinnon J.G. (1991) " Critical Values for Co-integration tests", in Long Run Economic Relationships : Reading in Cointegration, Oxford, Oxford University Press.

Mccallum B.T. (1976) " Rational Expectations and The Estimation of The Econometric Models : An Alternative Procedure", International Economic Review, Vol. 17, pp. 610-623. | Zbl

Nelson C.R. et Plosser C. I. (1982) " Trends et Random Walks in Macroe-conomic Time Series : Some Evidence and Implications", Journal of Monetary Economics, Vol. 10, pp. 139-162.

Nelson C.R. et Startz R. (1987) " Trends et Random Walks in Macroeconomic Time Series : Some Evidence and Implications", Journal of Monetary Economics, Vol. 10, pp. 139-162.

Newey W.K. et West K.D. ( 987) " A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrolation Consistent Covariance Matrix", Econometrica, Vol. 55, pp. 703-708. | MR | Zbl

Nickell S. (1985) " Error Correction, Partial Adjustement and All That : An Expository Note", Oxford Bulletin of Economics and Statistics, Vol. 47, pp. 119-129.

Pesaran H. (1981) " Identification of Rational Expectations Models", Journal of Econometrics, Vol. 16, pp. 375-398. | MR | Zbl

Pesaran H. (1987) The Limits To Rational Expectations, Oxford, Basil Blackwell.

Phillips P.C.B. (1989) " Partially Identified Econometric Models", Econometric Theory, Vol. 5, pp.181-240. | MR

Sargan J.D. (1958) " The Estimation of Economic Relationships Using Instrumental Variables", Econometrica, Vol. 26, 393-415. | MR | Zbl

Sargent T.J. (1978) " Estimation of Dynamic Labor Demand Schedules Under Rational Expectations", Journal of Political Economy, Vol. 86, pp. 1009-1044.

Sargent T.J. (1979) Macroeconomic Theory, New York, Academic Press. | Zbl

Sargent T.J. (1987) " Dynamic Macroeconomic Theory, Harvard University Press. | MR

Simon H.A. (1956) " Dynamic Programming under Uncertainty with a Quadratic Criterion Function", Econometrica, Vol. 24, pp. 74-81. | MR | Zbl

Stock J.H. (1987) " Asymptotic Properties of Least Squares Estimators of Cointegration Vectors", Econometrica, Vol. 55, pp. 1035-1056. | MR | Zbl

West K.D. (1986) " Full versus Limited Information of Rational Expectations Models. Some Numerical Comparisons", Journal of Econometris, Vol. 33, pp. 367-385. | Zbl

Wickens M.R. (1982) " The Efficient Estimation of Econometric Models with Rational Expectations", Review of Economic Studies, XLIX, pp. 55-67. | MR | Zbl