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Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing
Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2005
Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving … general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In … considered as special cases. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy …
Persistent link: https://www.econbiz.de/10005100698
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Short Run and Long Run Causality in Time Series: Inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003
, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at … applied to a VAR model of the U.S. economy. Nous proposons des méthodes pour tester des hypothèses de non-causalité à … différents horizons, tel que défini dans Dufour et Renault (1998, Econometrica). Nous étudions le cas des modèles VAR en détail …
Persistent link: https://www.econbiz.de/10005100843
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The pension projection package of the Destinie 2 model: users guide
BLANCHET, Didier; CRENNER, E. - Département des Études Économiques d'Ensemble (D3E), … - 2010
The Destinie model is a dynamic microsimulation model whose main purpose is the long run projection of pensions both at the macro and micro levels. This document presents how such simulations can be built with the new version of the model. They do not rely on a closed ready-made program where...
Persistent link: https://www.econbiz.de/10008539989
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Beam search-based algorithms for the circular packing problem.
Akeb, Hakim; Hifi, Mhand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007
In this paper, we propose to solve the circular packing problem (CPP) whose objective is to pack n different circles C(i) of known radius r(i) , i = 1, …, n into the smallest containing circle C. The objective is to determine the radius r of C as well as the coordinates (x(i) , y(i)) of the...
Persistent link: https://www.econbiz.de/10005510602
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Nouveaux instruments d’évaluation pour le risque financier d’entreprise
Falavigna, Greta - Istituto di Ricerca sulla Crescita Economica … - 2008
On a wake of Basel II in 2004, banks and financial institutions had focused on the default analysis of firms. In this contribution, artificial neural networks are used for extracting balance-sheet variables determining the default of enterprises on a base of prospective vision. A manufacturing...
Persistent link: https://www.econbiz.de/10005585425
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Inter- vs Intra-generational Production Teams: A Young Worker's Perspective
Breton, Michèle; St-Amour, Pascal; Vencatachellum, Désiré - Centre Interuniversitaire de Recherche en Analyse des … - 2002
We ask whether young agents prefer to work in different-age or same-age production pairs in an overlapping-generations model where wages are reputation-based. We find that inter-generational teams (i) produce more heterogeneity in the old workers' reputations, (ii) generate a greater share of...
Persistent link: https://www.econbiz.de/10005100566
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Modelisation des Marches avec Defauts de Paiements et Evaluation des Credits Defaults Swaps (Credit Default Swap Pricing in Default-prone Markets)
Seror, Jonathan - 2020
French Abstract: Les Credit Default Swaps (CDS) sont de plus en plus populaires pour la protection contre les défauts et la spéculation. Cette étude se concentre sur la modélisation précise du défaut en temps continu, puis sur l'evaluation des CDS. De nombreux cas entraînent l'annulation...
Persistent link: https://www.econbiz.de/10012831561
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Pauvreté multidimensionnelle et politiques sociales au Bénin
Vodounou, Cosme - Partenariat en Politiques Économiques (PEP), … - 2009
Les relations entre les variables sociodémographiques et la pauvreté ont été étudiées à partir des données issues du recensement général de la population et de l'habitation de 2002 avec un modèle de régression fondé sur les caractéristiques d'habitation et les conditions de vie des...
Persistent link: https://www.econbiz.de/10008630019
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Microsimulation of demographic behaviours using 2 alternative data sources
ROBERT-BOBÉE, I. - Département des Études Économiques d'Ensemble (D3E), … - 2002
A microsimulation of demographic behaviours using the 1997 Insee Survey about Young People and Job Histories (Robert-Bobée 2001) leads to the following results: if demographic behaviours remain the same as the ones observed in 1995-1996, completed fertility may decrease to less than 2 children...
Persistent link: https://www.econbiz.de/10009001099
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Is the transmission of crude oil prices to gasoline prices asymmetric?
AUDENIS, C.; BISCOURP, P.; RIEDINGER, N. - Département des Études Économiques d'Ensemble (D3E), … - 2001
This paper provides evidence based on French macroeconomic data, that shocks on the cost of oil inputs are transmitted asymmetrically to the prices of fuel. We use an error correction model to estimate the dynamics of the transmission of the cost of crude oil expressed in French currency, to the...
Persistent link: https://www.econbiz.de/10009001134