We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

En formalisant une dynamique à effets de seuil, les modèles à équilibres multiples enrichissent le paradigme de la croissance endogène; l’objectif de cet article est de montrer qu’ils renforcent également la responsabilité de la politique économique. En effet, dès lors que les...

This document presents an overview of econometric tools recently developed for empirical ex post policy evaluation. The emphasis is laid on selection problems (how to disentangle the real effect of a policy from the personal features of the affected people), and on the practical issues of a...

This paper studies the existence of an diverging trend between the French Consumer Price Index and the cost of living, by an intertemporal comparison of food Engel curves. We use the methodology developed by Costa (2001) and Hamilton (2001). CPI bias estimates are derived from the gap between...

La programmation financière et monétaire tient une place centrale dans les négociations entre les autorités nationales des pays en développement et les institutions de Bretton Woods. Elle répond notamment à la nécessité d’établir une cohérence prospective entre l’évolution des...

Stochastic volatility models, aka SVOL, are more difficult to estimate than standard time-varying volatility models (ARCH). Advances in the literature now offer well tested estimators for a basic univariate SVOL model. However, the basic model is too restrictive for many economic and finance...

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture...