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Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes

Author

Listed:
  • DUFOUR, Jean-Marie
  • NEIFAR, Malika
Abstract
Ce texte propose des méthodes d’inférence exactes (tests et régions de confiance) sur des modèles de régression linéaires avec erreurs autocorrélées suivant un processus autorégressif d’ordre deux [AR(2)], qui peut être non stationnaire. L’approche proposée est une généralisation de celle décrite dans Dufour (1990) pour un modèle de régression avec erreurs AR(1) et comporte trois étapes. Premièrement, on construit une région de confiance exacte pour le vecteur des coefficients du processus autorégressif (f ). Cette région est obtenue par inversion de tests d’indépendance des erreurs sur une forme transformée du modèle contre des alternatives de dépendance aux délais un et deux. Deuxièmement, en exploitant la dualité entre tests et régions de confiance (inversion de tests), on détermine une région de confiance conjointe pour le vecteur f et un vecteur d’intérêt g de combinaisons linéaires des coefficients de régression du modèle. Troisièmement, par une méthode de projection, on obtient des intervalles de confiance «marginaux» ainsi que des tests à bornes exacts pour les composantes de g. Ces méthodes sont appliquées à des modèles du stock de monnaie (M2) et du niveau des prix (indice implicite du PNB) américains.

Suggested Citation

  • DUFOUR, Jean-Marie & NEIFAR, Malika, 2003. "Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes," Cahiers de recherche 09-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Handle: RePEc:mtl:montec:09-2003
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    References listed on IDEAS

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    More about this item

    Keywords

    Régression linéaire; autocorrélation; AR(2); test exact; région de confiance exacte; test induit; teste à borne généralisé; projection; masse monétaire; M2; niveau des prix;
    All these keywords.

    JEL classification:

    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics

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