Deux exemples de modélisation économétrique

7/25/2019 Deux exemples de modélisation économétrique

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Mblilaçtrgm

Eitlgim Peiouy6:5=



Mx 5 ; de alrtedgtç gineitgdm

• @liiçms ; >0 peys, eiiçm 5778

•

^ergefdms ; ‒ AG ; de alrtedgtç gineitgdm

‒ ZGFP ; dm ZGF per tëtm




• Dm al`èdm dgi-dgi

W 1 ζ

ζ

X ν

• Dlrsqum X euoamitm `‗uim uigtç, W euoamitm

`m ζ uigtçs.




AG 1 5=?,06 ∖ :,:5ZGFP

•

Dlrsqum dm ZGF per tëtm euoamitm `‗uim uigtç,de alrtedgtç gineitgdm `gagium `m :,:5 uigtç.




• Dm al`èdm dgi-dlo

W 1 ζ

ζ

d i X ν

• Dlrsqum X euoamitm `m 5 %, W euoamitm `m

ζ uigtçs.




AG 1 0?8,68 ∖ =5,2> di ZGFP

•

Dlrsqum dm ZGF per tëtm euoamitm `m 5 %, dealrtedgtç gineitgdm `gagium `m =5,2> uigtçs.




• Dm al`èdm dlo-dgi

diW 1 ζ

ζ

X ν

• Dlrsqum X euoamitm `‗uim uigtç, W euoamitm

`m ζ %.




di AG 1 0,72 ∖ :,:::5ZGFP

•

Dlrsqum dm ZGF per tëtm euoamitm `‗uim uigtç,de alrtedgtç gineitgdm `gagium `m :,:::5 %.




• Dm al`èdm dlo-dlo

diW 1 ζ

ζ

d i X ν

• Dlrsqum X euoamitm `m 5 %, W euoamitm `m

ζ %.




di AG 1 8,:: ∖ :,=:di ZGFP

•

Dlrsqum dm ZGF per tëtm euoamitm `m 5 %, dealrtedgtç gineitgdm `gagium `m :,=: %.




• Dm al`èdm rçbgprlqum

W 1 ζ ζ

5

X

ν

• Dm al`èdm i‗mst pes dgiçegrm per repplrt ê de vergefdm X,aegs gd mst dgiçegrm per repplrt ê ζ mt ζ.

• Dlrsqum X brlét gi`çngigamit, dm tmram ζ 5 X tmi`vmrs : mt W tmi` vmrs de vedmur esyaptltgqum ζ.




• Dlrsqum dm ZGF/tëtm brlét, li s‗ettmi` ê uim fegssm`m de alrtedgtç gineitgdm ;

‒ dms açieoms pluveit blislaamr pdus `m smrvgbms `m

seitç, PBMZE.

• Bmttm rmdetgli i‗mst pes dgiçegrm ;

‒ quei` dm ZGF/tëtm ↕, gd y e eu `çfut uim très nlrtm → `m

de alrtedgtç gineitgdm 3 ‒ aegs bmttm `mrigèrm sm redmitgt evmb de heussm `u

ZGF/tëtm.




• Li bhmrbhm ê bliieétrm de vedmur esyaptltgqum `m

de alrtedgtç gineitgdm mi nlibtgli `u ZGF/tëtm.

• Li mstgam bmttm rmdetgli per al`èdm rçbgprlqum,

mt li lftgmit ;

AG 1 85,?7 6?62?,5? 5ZGFP




• Dlrsqum ZGF/tëtm euoamitm gi`çngigamit, de

alrtedgtç gineitgdm tmi` vmrs se vedmur

esyaptltgqum `‗mivgrli 86 `çbès plur 5:::

iegsseibms.

• Mxmapdm `‗eppdgbetgli aebrlçblilagqum ;

‒ De blurfm `m Zhgddgps




Al`èdm N-tmst (p-vedum)

dgi-dgi5=?,0600

(7,80=>)

-:,:550

(:,::26):,5? :,:::8

dgi-dlo 0?8,6?8:(06,=7?:)

-=5,2=>:(>,05=:)

:,=5 :,::::

dlo-dgi0,720:

(:,:7:7)

-:,:::5

(:,:::2):,60 :,::::

dlo-dlo8,::8?

(:,0556)

-:,07>7

(:,:>57) :,=5 :,::::

Vçbgprlqum85,?7

(5:,82)

6? 62?,5?

(2?>:,::):,0> :,::::

Plus dms blmnngbgmits slit sgoigngbetgns eu smugd `m 5 %, mitrm permithèsms dms çberts-typms.




• Blistrugrm dms gitmrveddms `m blingeibm `m

bhebui `ms blmnngbgmits `m bhequm al`èdm ;

‒ eu smugd `m = %

‒ eu smugd `m 5 %

• Gitmrprçtmr dms rçsudtets.



Mx 6 ; de blislaaetgli `m pludmt

• @‗eprès de thçlrgm ù blislaaetmur, de

`maei`m `‗ui fgmi `çpmi` `m ;

‒ ù prgx `m bm fgmi

‒ ù rmvmiu `gspligfdm

‒ ù prgx ù fgmi per repplrt eux fgmis edtmrietgns

(mt `ms prçnçrmibms ù blislaaetmur)




• @liiçms ; `liiçms gi`gvgùmddms alymiims sur de pçrgl`m 57>6-5786, ]R

• Li `gsplsm `ms vergefdms ;

‒ W ; blisl `m pludmt per tëtm (mi dgvrms)

‒ V ; rmvmiu `gspligfdm per tëtm (mi ]R@)

‒ ZD ; prgx rçmd `m `çtegd ù pludmt per dgvrm (mi ]R@)

‒ ZB ; prgx rçmd `m `çtegd ù plrb per dgvrm (mi ]R@)

‒ ZF ; prgx rçmd `m `çtegd ù fŒun per dgvrm (mi ]R@)

‒ GR ; prgx rçmd blaplsgtm `ms sufstgtuts ù pludmt per dgvrm (mi ]R@)




• Al`èdm 5 ;

di W 1 ε ε di V ε d i Z D ν

• Al`èdm 6

di W 1 ζ ζ di V ζ di ZD ζ di ZB ν• Al`èdm 2

di W 1 β β di V β di ZD β di ZF ν

• Al`èdm 0

di W 1 θ θ di V θ di ZD θ di ZB β di ZF ν• Al`èdm =

di W 1 γ γ d i V γ di ZD γ d i G R ν




• Gitmrprçtmr dms blmnngbgmits `m bhequm al`èdm.

• Rlit-gds blhçrmits evmb de thçlrgm çblilagqum <




• Al`èdm 5 ;

Blmnngbgmit Mbert-typm t-vedum p-vedum

Blisteitm 6,:2686 :,55>58 5?,07? :,:::: ***

Di(rmvmiu) :,0=5=2 :,:60>7 58,680 :,:::: ***

Di(Z\pludmt) -:,2?665 :,:>20? -=,8>= :,:::: ***

V6 :,78:5 N-tmst :,::::

V6 ekustç :,7?85 FZ-tmst :,>:=5




• Al`èdm 6 ;


Blisteitm 6,56==: :,52?88 5=,05= :,:::: ***

Di(rmvmiu) :,0:=76 :,:00?7 7,:>2 :,:::: ***

Di(Z\pludmt) -:,02886 :,:8222 -=,6>> :,:::: ***

Di(Z\plrb) :,5:>>> :,:8?80 5,650 :,60::

V6 :,785= N-tmst :,::::V6 ekustç :,7?8> FZ-tmst :,6:>=




• Al`èdm 2 ;


Blisteitm 6,:272> :,56626 5>,>?6 :,:::: ***

Di(rmvmiu) :,00:8? :,:=606 8,055 :,:::: ***

Di(Z\pludmt) -:,285=: :,:?>20 -0,77? :,:::: ***

Di(Z\flmun) :,:652? :,:76:5 :,626 :,857:

V6 :,78:5 N-tmst :,::::V6 ekustç :,7??: FZ-tmst :,856?




• Al`èdm 0 ;


Blisteitm 6,587?7 :,5==?5 50,:>2 :,:::: ***

Di(rmvmiu) :,206=> :,:826? 0,550 :,:::> ***

Di(Z\pludmt) -:,=:0=7 :,55:87 -0,==: :,:::6 ***

Di(Z\plrb) :,508== :,:77>? 5,07: :,5=2=

Di(Z\flmun) :,:755: :,5::?6 :,7:= :,2??>

V6 :,7862 N-tmst :,::::

V6 ekustç :,7?80 FZ-tmst :,6::7




• Al`èdm = ;


Blisteitm 6,:678> :,558>8 5?,5:2 :,:::: ***

Di(rmvmiu) :,08567 :,:>857 ?,:=8 :,:::: ***

Di(Z\pludmt) -:,2=:>2 :,:?727 -0,05> :,:::: ***

Di(Z\suf) -:,:>5:0 :,5677> -:,0?: :,>00:

V6 :,78:2 N-tmst :,::::V6 ekustç :,7??6 FZ-tmst :,7588




Blisteitm Vmvmiu Zludmt Zlrb FŒun Gi`. Ruf.

Al`èdm 5

(V¶ 1 :,78)

6,:268

***

:,0=5=

***

-:,2?66

***

Al`èdm 6(V¶ 1 :,78)

6,56==***

:,0:=7***

-:,0288***

:,5:>?

Al`èdm 2

(V¶ 1 :,78)

6,:270

***

:,00:7

***

-:,285=

***

:,:650

Al`èdm 0

(V¶ 1 :,78)

6,5878

***

:,206>

***

-:,=:0>

***

:,508> :,:755

Al`èdm =

(V¶ 1 :,78)

6,:677

***

:,0852

***

-:,2=:>

***

-:,:>5:




• Uumd al`èdm bhlgsgssmz-vlus <




• Al`èdm 5 ; fgegs `m spçbgngbetgli



• Al`èdm 0 ; rgsqum `m audtgbldgiçergtç

• Al`èdm = ; al`èdm rmtmiu



Nlrams nlibtgliimddms usumddms

Al`èdm Mquetgli Zmitm 1

Mdestgbgtç 1

.

Dgiçegrm W 1 ε ζX ζ ζ X

W

Dlo-dgi di W 1 ε ζX ζ(W) ζ(X)

Dgi-dlo W 1 ε ζ di X ζ 5

X

ζ 5

W

Dlo-dlo di W 1 ε ζ di X ζ W

Xζ

Uue`retgqum W 1 ε ζX¶ 6ζ X 6ζ X¶

W

Dlo-que`retgqum di W 1 ε ζX¶ 6ζ(XW) 6ζ(X¶)

Vçbgprlqum W 1 ε ζ 5

X ∖ζ

5X ∖ζ

5XW

Dlo-rçbgprlqum di W 1 ε ζ 5

X ∖ζ

W

X ∖ζ

5

X

Dlo-mxplimitgmd di W 1 e ζm ζ(mW) ζ(Xm)



Dgiçergsmr dms mxprmssglis sugveitms

Nlram gigtgedm Nlram dgiçergsç

W 1 ECD di W 1 di E ε di C ζ di D

W 1 fm

W 1 fX

W 1 m+

W 1 5

ζ ζX

W 1 X

ζ ζX

W 1 5

5 mxp(∖ζ ∖ ζX)5

W 1 ζ

ζ

X

W 1 mxp(ζ ζX)

5 mxp(ζ ζX)

Deux exemples de modélisation économétrique

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