3 Pages
English

Replace this text with your own abstract

Gain access to the library to view online
Learn more

Description

Niveau: Supérieur, Master
The Title The Author The Date Abstract Replace this text with your own abstract. Partie II : Estimation d?une Courbe de Phillips Hybride par GMM Question 1 ( 1.5 point) : E [h (0; wt)] = E 0 @ [it it+1 (1 ) it1 zt] it1 [it it+1 (1 ) it1 zt] zt [it it+1 (1 ) it1 zt] zt1 1 A = 0 (1) On a donc : h (0; wt) = 0 @ [it it+1 (1 ) it1 zt] it1 [it it+1 (1 ) it1 zt] zt [it it+1 (1 ) it1 zt] zt1 1 A g (YT ; ) = 1 T TX t=1 h (; wt) = 1 T TX t=1 0 @ [it it+1 (1 ) it1 zt] it1 [it it+1 (1 ) it1 zt] zt [it it+1 (1 ) it1 zt] zt1 1 A (2) Question 2 (1.5 point) : Système sur-identifé, 1 condition suridenti?ante. Donc l?estimateur GMM bT est obtenu en minimisant la fonction critère (ou fonction de perte) : Q (; YT ) = [g (YT ; )] 0 (1;r) S1 (r;r) g (YT ; ) (r;1) (3)

  • condition suridenti?ante

  • it1itv1 it1ztv

  • courbe de phillips hybride par gmm

  • i2t1 it1zt

  • itv itv

  • gmm bt

  • it1zt1 z2t


Subjects

Informations

Published by
Reads 38
Language English
The Title
The Author The Date
Abstract Replace this text with your own abstract. Partie II : Estimation dune Courbe de Phillips Hybride par GMM
Question 1 (1.5 point):
0 1 [it it+1(1)it1 zt]it1 @ A E[h(0; wt)] =E[it it+1(1)it1 zt]zt= 0(1) [it it+1(1)it1 zt]zt1 On a donc : 0 1 [it it+1(1)it1 zt]it1 @ A h(0; wt[) =it it+1(1)it1 zt]zt [it it+1(1)it1 zt]zt1 0 1 [it it+1(1)it1 zt]it1 T T X X 1 1 @ A g(Y ;) =h(; w) =[i i(1)i z]z T tt t+1t1t t T T [i i(1)i z]z t=1t=1 t t+1t1t t1 (2) Question 2(1.5 point) :Système sur-identifé, 1 condition suridentiante. b Donc lestimateur GMMTest obtenu en minimisant la fonction critère (ou fonction de perte) : 0 1 Q(; YT) =[g(YT; )]S g(YT; )(3) (1;r) (r;r) (r;1) 1