Search results for "Racine unitaire"
showing 3 items of 3 documents
Une stratégie de test de la racine unitaire
1991
This paper compares three approaches of the unit root testing strategy issue : i.e. the DICKEY, BELL and MILLER (1986) approach, elaborated for prevision purposes, which advocates the estimation of a model without trend at the outset, in opposition to the PERRON (1988) and HENIN and JOBERT (1990) testing strategies. The latter is undoubtedly operational in empirical works but it doesn’t encompass joint tests explicitly. We then suggest an unifiedgeneral framework embracing the last two appoaches and giving a practical scheme which is as complete and operational as possible. The behaviour of these strategies is assesed in an empirical study of the seasonaly adjusted real GDP in France and an…
Croissance et convergence des pays de la zone CFA : une étude par les données de panel non stationnaires
2011
During the recent years, african countries in the CFA zone have experienced many economic changes on the one hand through the measures initiated by bilateral and multilateral donors and on the other hand through the economic and monetary integration policies. Thus, relying on the assumption that because of these interventions, the economic systems incorporate various phenomena such as structural change and economic interdependencies, we studied their major implications on growth, convergence and growth predictability. Emphasis is first placed on the major features of integration policies in a monetary union, while stressing the possible implications of such policies on the economic dynamics…
Impact de l'intervalle d'échantillonnage sur les tests d'efficience : application au marché français des actions
1994
Efficiency of financial markets is one of the most studied subject in theoretical finance. Formalization of this idea is realised by the random walk model. Numerous tests have been developped to validate the hypothesis of identically and independantly distributed innovations. But the results of empirical works are not unanimous ; the acceptation of the random walk is not systematic and depend too much on sample features. This constatation leads us to study the impact of the sample frequency on empirical results by distinguishing two different methodologies of tests : the first one is based on unit root (DICKEY et FULLER 1979, 1981) and the other one on variance ratio (LO et MACKINLAY 1988).…