complété par La mémoire longue en économie : discussion et commentaires
complété par La mémoire longue en économie : discussion et commentaires
complété par Long memory in economics discussion and comments
complété par La mémoire longue en économie : discussion et commentaires
complété par La mémoire longue en économie : discussion et commentaires
complété par Long memory in economics : discussion and comments
complété par La mémoire longue en économie : discussion et commentaires
@article{JSFS_1999__140_2_5_0, author = {Lardic, Sandrine and Mignon, Val\'erie}, title = {La m\'emoire longue en \'economie : une revue de la litt\'erature}, journal = {Journal de la Soci\'et\'e fran\c{c}aise de statistique}, pages = {5--48}, publisher = {Soci\'et\'e fran\c{c}aise de statistique}, volume = {140}, number = {2}, year = {1999}, language = {fr}, url = {http://www.numdam.org/item/JSFS_1999__140_2_5_0/} }
TY - JOUR AU - Lardic, Sandrine AU - Mignon, Valérie TI - La mémoire longue en économie : une revue de la littérature JO - Journal de la Société française de statistique PY - 1999 SP - 5 EP - 48 VL - 140 IS - 2 PB - Société française de statistique UR - http://www.numdam.org/item/JSFS_1999__140_2_5_0/ LA - fr ID - JSFS_1999__140_2_5_0 ER -
%0 Journal Article %A Lardic, Sandrine %A Mignon, Valérie %T La mémoire longue en économie : une revue de la littérature %J Journal de la Société française de statistique %D 1999 %P 5-48 %V 140 %N 2 %I Société française de statistique %U http://www.numdam.org/item/JSFS_1999__140_2_5_0/ %G fr %F JSFS_1999__140_2_5_0
Lardic, Sandrine; Mignon, Valérie. La mémoire longue en économie : une revue de la littérature. Journal de la Société française de statistique, Tome 140 (1999) no. 2, pp. 5-48. http://www.numdam.org/item/JSFS_1999__140_2_5_0/
Processus transformés d'un ARMA ou d'un processus de Wiener. Problèmes d'estimation", Thèse, Université de Lille.
(1988) "Estimation de l'exposant de longue dépendance dans un cadre semi-paramétrique", CRAS, série I math, n° 6, pp. 611-614. | MR | Zbl
et (1993) "Long-Memory Inflation Uncertainty : Evidence from the Term Structure of Interest Rates", Journal of Money, Credit and Banking, pp. 681-700.
et (1993) "Long Memory Processes and Fractional Integration in Econometrics", Journal of Econometrics, Vol. 73, n° 1, pp. 5-59. | MR | Zbl
(1996), "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics", Journal of Finance, Vol. 49, pp. 737-745.
et (1994) "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, Vol. 74, n° 1, pp. 3-30. | MR | Zbl
, , et (1996), "Analyzing Inflation by the Fractionally Integrated ARFIMA-GARCH Model", Journal of Applied Econometrics, 11, pp. 23-40.
, et (1996) "Long Memory in the Greek Stock Market", Working Paper, Boston College.
, et (1996) "Persistence in International Inflation Rates", Working Paper, Boston College.
, et (1997) "Fractional Monetary Dynamics", Working Paper, Boston College.
, et (1998) "Fractional Dynamics in a System of Long Term International Interest Rates", Working Paper, Boston College.
, et (1998) "Long Memory or Structural Breaks : Can Either Explain Nonstationarity Real Exchange Rates under the Current Float ?", Working Paper, Boston College.
, et ( 1999a) "A Reexamination of the Long-Memory Evidence in the Foreign Currency Market", Working Paper, Boston College.
, et ( 1999b) "Short and Long Run Dependence in Swedish Stock Returns", Working Paper, Uppsala University, n° 1996 :19.
et (1996) "Generalized Autoregressive Conditional Heteroskedasti-city", Journal of Econometrics, Vol. 31, pp. 307-327. | MR | Zbl
(1986), "Les modèles ARCH en finance : un point sur la théorie et les résultats empiriques", Annales d'économie et de statistique, n° 24, pp. 1-59.
, , et (1991), "Modelling the Persistence of Conditional Variances", Econometric Reviews, 5, pp. 1-50. | MR | Zbl
et (1986), "Modeling and Pricing Long Memory in Stock Market Volatility", Journal of Econometrics, Vol. 73, n° 1, pp. 151-184. | Zbl
et (1996), "R/S Analysis of Foreign Exchange Rates under Two International Monetary Regimes", Journal of Monetary Economics, pp. 407-415.
, et "Long Memory and Level shifts : Re-Analyzing Inflation rates", Tinbergen Institute Discussion Paper, T198-039/4.
, et (1998) "Time Series : Theory and Methods, Springer Verlag. | MR | Zbl
et (1991)Habit Persistence and Lags in Consumer Behavior", Journal of Econometrics.
(1952) "Tests for Fractional Integration : A Monte Carlo Investigation", Journal of Time Series Analysis, Vol. 14, n° 4. pp. 331-345. | MR | Zbl
(1993) "Long-Memory in Foreign Exchange Rates", Journal of Business and Economic Statistics, 11, pp. 93-101.
(1993) "On Maximum Likelihood Estimation of the Differencing Parameter of Fractionally-Integrated Noise with Unknown Mean", Journal of Econometrics, Vol. 62, pp.301-316.
et (1994) "A Fractional Cointegration Analysis of Purchasing Power Parity", Journal of Business and Economic Statistics, 11, pp. 103-112
et (1993) "Estimating a Generalized Long Memory Process", Journal of Econometrics, Vol. 73, pp. 237-259. | MR | Zbl
(1996) "Long-Range Dependence in the Conditional Variance of Stock Returns, Economics Letters, 45, pp. 281-285. | Zbl
et (1994) "Fractional Integration Analysis of Long Run Behavior for US Macroeconomic Time Series", Economics Letters, 45, pp. 287-291. | Zbl
et (1994) "New Methods for the Analysis of Long-Memory Time Series : Application to Spanish Inflation", Journal of Forecasting, Vol. 13, pp. 97-107.
et (1994) "Real Exchange Rates Under the Gold Standard", Journal of Political Economy, 99, pp. 1252-1271.
, et (1991) "Long Memory and Persistence in , Aggregate Output", Journal of Monetary Economics, Vol. 24, n° 2, pp. 189-209.
et (1989) "Is Consumption too Smooth? Long Memory and the Deaton Paradox", Review of Economics and Statistics, 71, pp. 1-9.
et (1991) "Modeling Volatility Persistence of Speculative Returns : A New Approach", Journal of Econometrics, Vol. 73, n° 1, pp. 185-215. | MR | Zbl
et (1996), "Efficient Capital Markets : A Review of Theory and Empirical Work", Journal of Finance, n° 2, pp. 383-417. | MR
(1970) "Efficient Capital Markets : II", Journal of Finance, n° 5, pp. 1575-1617.
(1991) "Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series", Annals of Statistics, Vol. 14, pp. 517-532. | MR | Zbl
et (1986) "A Theory of the Consumption Function, New York.
(1957)The Estimation and Application of Long Memory Time Series Models", Journal of Time Series Analysis, Vol. 4, n° 4, pp. 221-238. | MR | Zbl
et (1983) "Long Range Correlations and the Estimation of the Self Similarity Parameter, Ph. D. Thesis, ETH Zrich, n° 7357.
(1983)Developments in the Study of Cointegrated Economic Variables", Oxford Bulletin of Economics and Statistics, Vol. 48, n° 3, pp. 213-228.
(1986) "An Introduction to Long-Memory Time Series Models and Fractional Differencing", Journal of Time Series Analysis, Vol. 1, n° 1, pp. 15-29. | MR | Zbl
et (1980) "On Generalized Fractional Processes", Journal of Time Series Analysis, Vol. 10, n° 3, pp. 233-257. | MR | Zbl
, et (1989) "Long-Term Dependence in Common Stock Returns", Journal of Financial Economics, Vol. 4, pp. 339-349.
et (1977) "Multiple Time Series, John Wiley. | MR | Zbl
(1970)The Asymptotic Theory of Linear Time Series Models", Journal of Applied Probabilities, Vol. 10, pp. 130-145. | MR | Zbl
(1973) "Estimation du paramètre fractionnaire par la méthode des contrastes", Thèse, Université de Paris I.
(1993) "Long Memory in Stochastic Volatility", Working Paper, London School of Economics.
(1993) "Is the Aggregate Labor Market Exploding?", Manuscript, Graduate School of Business, Columbia University, New-York.
(1990) "Long Memory in Inflation Rates : International Evidence", Journal of Business and Economic Statistics, 13, pp. 37-45.
et (1995) "Consumption and Fractional Differencing : Old and New Anomalies", Working Paper, University of Pennsylvania.
(1992) "Maximum Likelihood Estimators for ARMA and ARFIMA Models : A Monte Carlo Study", à paraître dans Journal of Statistical Planning and Inference. | MR | Zbl
(1998) "Approach to an Irregular Time Series on the Basis of the Fractal Theory", Physica, 31D, pp. 277-283. | MR | Zbl
(1988) "Fractional Differencing", Biometrika, Vol. 68, n° 1. | MR | Zbl
(1981) "Modeling Persistence in Hydrological Time Series Using Fractional Differencing", Water Resources Research, Vol. 20, pp. 1898-1908.
(1984) "Long-Term Storage Capacity of Reservoirs", Transactions of the American Society of Civil Engineers, Vol. 116, pp. 770-799.
(1951) "Determining the Degree for Time Series via the Log Spectrum", Journal of Time Series Analysis, Vol. 3, pp. 177-183. | MR
(1982) "Theory of Probability, Clarendon Press, Oxford. | JFM | MR | Zbl
( 1939, 1948, 1961)Estimation in Long-Memory Time Series Model", Journal of Time Series Analysis, Vol. 9, n° 1, pp. 35-41. | MR | Zbl
et (1988) "Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum", Comptes Rendus (Doklady) de l'Académie des Sciences de l'URSS, XXVI, n° 2, pp. 115-118. | JFM | MR | Zbl
(1940) "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models", à paraître dans Journal of Econometrics. | Zbl
, , et (1995) "Distributed Lags and Investment Analysis, Amsterdam.
(1954)La non-stationnarité des séries macro économiques, Mémoire de DEA, Université Paris X-Nanterre.
(1992)Non stationnarité, mémoire des séries et hystérésis", Revue d'Economie Politique, Vol. 106, n° 3, pp. 417-450.
(1996) "L'hystérésis en économie : théorie et mesure, Thèse pour le doctorat de Sciences Economiques, Université Paris X - Nanterre.
(1997)Les tests de mémoire longue appartiennent-ils au "camp du démon" ?", Revue Economique, Vol. 47, n° 3, pp. 531-540.
et (1996) "Essai de mesure du degré de mémoire longue des séries. L'exemple de la modélisation ARFIMA", Economie Appliquée, n° 2, pp. 161-195.
et (1997) "Prévision ARFIMA des taux de change : les modélisateurs doivent-ils encore exhorter à la naïveté des prévisions ?", Annales d'Economie et de Statistique, n° 54, pp. 47-68.
et ( 1999a) "Modélisation FIGARCH appliquée à l'analyse de la structure par terme des taux d'intérêt", Finance, Vol. 20, pp. 91-114.
et ( 1999b) "Fractional Time Series Modelling", Biometrika, Vol. 73, n° 1, pp. 217-221. | MR
et (1986) "Long-Term Memory in Stock Market Prices", Econometrica, Vol. 59, n° 5, pp. 1279-1313. | Zbl
(1991) "Real and Spurious Long Memory Properties of Stock Market Data", Working Paper, University of Iowa.
et (1996) "Preservation of the Rescaled Adjusted Range, 1, A Reassessment of the Hurst Phenomenon", Water Resources Research, 14, pp. 491-508.
et (1978) "Une classe de processus stochastiques homothétiques à soi ; application à la loi climatologique de H. E. Hurst", Comptes rendus de l'Académie des Sciences de Paris, 260, pp. 3274-3277. | MR | Zbl
(1965) "Statistical Methodology for Nonperiodic Cycles : From the Covariance to R/S Analysis", Annals of Economic and Social Measurement, Vol. 1, n° 3, pp. 259-290.
(1972) "Le problème de la réalité des cycles lents et le syndrome de Joseph", Economie Appliquée, Vol. 26, pp. 349-365.
(1973) "Robust R/S Analysis of Long Run Serial Correlation", Bulletin of the International Statistical Institute, 48, n° 2, pp. , 69-104. | MR | Zbl
et (1979) "Fractional Brownian Motions, Fractional Noises and Applications", SIAM Review, Vol. 10, n° 4, pp. 422-437. | MR | Zbl
et (1968) "Noah, Joseph and Operational Hydrology", Water Resources Research, 4, n° 5, pp. 909-918.
et , (1968) "Computer Experiments with Fractional Gaussian Noises", Water Resources Research, 5, pp. 228-267.
et , ( 1969a) "Some Long Run Properties of Geophysical Records", Water Resources Research, 5, n° 2, pp. 321-340.
et , ( 1969b) "Robustness of the Rescalled Range R/S in the Measurement of Noncyclic Long Run Statistical Dependance", Water Resources Research, 5, n° 5, pp. 967-988.
et , ( 1969c) "Empirical Exchange Rate Models of the Seventies : Do They Fit Out of Sample ?", Journal of International Economics, Vol. 14, pp. 3-24.
et (1983) "Les implications de la mémoire longue et de la non linéarité sur l'efficience du marché des changes", Journal de la Société de Statistique de Paris, n° 1, pp. 51-72.
(1996) "Marchés financiers et modélisation des rentabilités boursières, Economica, collection Approfondissement de la Science Economique.
(1998)Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières", Economie et Prévision, n° 132-133, pp. 193-214.
(1998) "Trends and Random Walks in Macroeconomic Time Series : Some Evidence and Implications", Journal of Monetary Economics, 10, pp. 139-162.
et (1982) "A Generalized Theory of the Combination of Observations so as to Obtain the Best Result", American Journal of Mathematics, 8, pp. 343-366. | JFM | MR
(1886) "Asymptotic Properties of the Periodogram of a Discrete Stationary Process", Journal of Applied Probability, 5, pp. 508-528. | MR | Zbl
(1967) "The Science of Fractal Images, Springer Verlag. | MR
et (1988)Chaos and Order in the Capital Markets, John Wiley & Sons.
(1991)Fractal Market Analysis, John Wiley &; Sons.
(1994)An Application of the Seasonal Fractionally Differenced Model to the Monetary Agregates", Journal of the American Statistical Association, Vol. 85, n° 410, pp. 338-344.
(1990) "Long-Range Forecasting of IBM Product Revenues Using a Seasonal Fractionally Differenced ARMA Model", International Journal of Forecasting, 9, pp. 255-269.
(1993) "Semiparametric Analysis of Long Memory Time Series", Annals of Statistics, 22, pp. 515-539. | MR | Zbl
(1994) "Gaussian Semiparametric Estimation of Long Range Dependence", Annals of Statistics, 23, pp. 1630-1661. | MR | Zbl
( 1995a) "Log Periodogram Regression of Time Séries with Long Range Dependence", Annals of Statistics, 23, pp. 1048-1072. | MR | Zbl
( 1995b) "Semiparametric Frequency Domain Analysis of Fractional Cointegration", London School of Economics, Discussion Paper n° EM/98/348.
et (1998) "Long-Term Memory in Stock Market Prices : International Evidence", Working Paper, La Trobe, Department of Economics.
et (1998) "Stable Non-Gaussian Processes : Stochastic Models with Infinite Variance, Chapman & Hall. | MR | Zbl
et (1994)Uncertainty and Implied Variance Bounds in Long-Memory Models of the Interest Rate Term Structure", Empirical Economics, Vol. 16, pp. 287-312.
(1991) "An Empirical Law Describing Heterogeneity in the Yields of Agricultural Crops", Journ. Agric. Sci., 28, pp. 1-23.
(1938) "Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models", Journal of Econometrics, Vol. 53, pp. 165-188. | MR
( 1992a) "Modeling Long-Run Behavior with the Fractional ARIMA Model", Journal of Monetary Economics, Vol. 29, pp. 277-302.
( 1992b) "Errors of Routine Analysis", Biometrika, 19, pp. 151-164.
(1927) "Does the Stock Market Rationally Reflect Fundamental Values?", Journal of Finance, n° 3, pp. 591-601.
(1986) "Estimators of Long-Range Dependence : An Empirical Study", Preprint, Boston University, 18 pages.
, et (1995) "Strongly Dependent Economic Time Series : Theory and Applications", Ph.D., Michigan State University.
(1992) "On the Variation of Yield Variance with Plot Size", Biometrika, 43, pp. 337-343. | MR | Zbl
(1956) "Stock Market Prices and Long Range Dependence", Finance and Stochastics, n° 1, pp. 1-14. | Zbl
, et (1999) "On Estimation of Long Memory Time Series Models", Australian Journal of Statistics, Vol.27, pp. 303-320. | MR | Zbl
(1985) "