Modèles à correction d'erreur : l'apport de la théorie de la co-intégration

Abstract

Error-Correction Models: the Contribution of Co-Integration Theory, by Françoise Maurel. Error-correction models have been used for several years by specialists in applied econometrics. Recently, the development of co-integration theory has provided an additionnai statistical basis for this type of dynamic model for formalising the notion of long-term relationships or relationships of equilibrium underlying the error-correction models, and by proposing procedures for testing the existence of such long-term relationships. This approach is essentially based on the theory of asymptotical behaviour of non-stationary series and on temporal series theory, but it has numerous applications in economics and applied econometrics.

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