Repenser le modèle à correction d’erreurs dans l’analyse macroéconométrique : Une revue

PINSHI, Christian P. (2021): Repenser le modèle à correction d’erreurs dans l’analyse macroéconométrique : Une revue.

Abstract

The methodology of cointegration filled the void that existed between economic theorists and econometricians in understanding the dynamics, equilibrium and reliability bias of macroeconomic and financial analysis, which is subject to revision non-stationary behavior. This article provides a relevant review of the power of the error correction model. Theorists and econometricians have shown that the error correction model is a powerful machine that offers macroeconomic policy refinement of econometric results.

• Item Type: MPRA Paper
• English Title: Rethinking the Error Correction Model in Macroeconometric Analysis: A Review
• Language: French
• Keywords: Cointegration, Error correction model, Inflation, Exchange rate
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C18 - Methodological Issues: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E60 - General; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics

References

Adouka L., Kchirid EM., Benzekoura A. et Bouguelli Z. (2013), “Modélisation de la fonction de la demande des dépenses publiques algérienne à l’aide de modèle ECM”, European Scientific Journal, vol.9, N°.22, Aout.

Banerjee A. et Hendry D. V. (1992), “testing integration and cointégration : an overview” Oxford bulletin of economicsc and statistics.

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

Castle J. L. et Hendry, D. F. (2016), “Clive W.J. Granger and cointegration economics”, Department and Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, UK, décembre.

Davidson J. E. H., Hendry D. F., Srba F. et Yeo S. (1978), “Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom", The Economic Journal, Vol. 88, No. 352, décembre.

Dolado J. J., Jenkinson T. et Sosvilla-Rivero S. (1990), “Cointegration and unit roots”, Journal of economic surveys, vol.4, n°3.

Engle R. F. etGranger C. W. J. (1987), “Co-integration and error correction: representation, estimation and testing”, Econometrica, vol.55, n°2, mars.

Eslamloueyan K. et Darvishi A. (2007), “Credit expansion and inflation in Iran: An unrestricted error correction model”, Iranian Economic Review, Vol.12, N°19.

Fonds monétaire international (2013), “Programmation et politiques financières”, institut du FMI pour le développement des capacités.

Godbout M. et Van Norden S. (1997), “Reconsidering cointegration in international finance: Three case studies of size distortion in finite samples”, Document de travail 97, Banque de Canada, janvier.

Granger C. W. J. (1986), “Developments in the Study of Co-Integrated Economic Variables,” Oxford Bulletin of Economics and Statistics, vol. 48. Granger C. W. J. et Newbold P. (1974), “Spurious regressions in econometrics”. Journal of Econometrics 2, 111–120.

Granger C. W. J. and Newbold P. (1977), “The time series approach to econometric model building”, In New methods in business cycle research, Sims ed. Federal Reserve Bank of Mineapolis.

Greene W. (2011), “Économétrie”, septième édition Pearson, Paris.

Hendry D. F. (1977). On the time series approach to econometric model building. Sims ed (1977). Reprinted in Hendry D. F., “Econometrics: Alchemy or Science?”, Oxford: Blackwell.

Hendry D. F. et Ericsson N. R. (1991), “An econometric analysis of u.k. money demand in monetary trends in the united states and the United Kingdom by Milton Friedman and Anna Schwartz”, American economic review, vol.81, n°1.

Johnston J. et Dinardo N. (1999), “Méthodes économétriques”, quatrième édition Economica, Paris.

Lardic S. et Mignon V. (2002), “Économetrie des series temporelles macroéconomiques et financières”, Economica, Paris.

Lardic S. et Mignon V. (2003), “Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003”, Revue d'économie politique, Vol. 114.

Lau S. H. P. (2008), “Using an error-correction model to test whether endogenous long-run growth exists”, Journal of Economic Dynamics & Control, vol.32, juin.

Maddala G. S. et In-Moo Kim (1998), “Unit roots, cointegration and structural change”, Cambridge University Press, New York.

Mehra Y. P. (1989), “Cointegration and a Quantity Theory Test of the of Money” Working Paper 89-2 Federal Reserve Bank of Richmond, avril.

Mehra Y. P. (1991), “An error-correction model of u.s. M2 demand”, Economic review, Federal Reserve Bank of Richmond, mai.

Meuriot V. (2015), “The concept of cointégration : the decisive meeting between Hendry and Granger (1975)”, Cahiers d’économie Politique / Papers in Political Economy, 68(1), doi:10.3917/cep.068.0091.

Morales A. (1998), “Determinants of growth in an error-correction model for El Salvador”, IMF Working paper 104, juillet.

Ntungila F. et Pinshi C. P. (2019), “Fluctuations de prix des matières premières et économie congolaise : manne d’espoir ou de malédiction ?”, MPRA Paper No. 95409, https://mpra.ub.uni-muenchen.de/id/eprint/95409 , août.

Özmen M. et Şanli S. (2018), “Seasonal error correction models for macroeconomic variables : the case of Turkish economy”, International European Journal of Managerial Research, decembre.

Pesaran H., Shin Y. et Smith R. J. (2001), “Bounds Testing Approaches to the Analysis of Level Relationship”, Journal of Applied Econometrics, vol.16, mai.

Pinshi C.P. et Sungani E. (2018), “the relevance of pass-through effect: should we revisit monetary policy regime?”, International Journal of Economics, Business and Management Research, février.

Sargan J. D. (1964), “Wages and prices in the United Kingdom: A study in econometric methodology”, In P.E. Hart, G. Mills, and J.K. Whitaker (eds.) Econometric Analysis for National Economic Planning vol. 16 of Colston Papers. London: Butterworth.

Sjö B. (2008), “Testing for Unit Roots and Cointegration”, août.

Van Quang T. (2007), “Testing cointegration for Czech stock market” Acta Oeconomica Pragensia, vo. 15, avril.