Analyse quantitative des relations de causalité - Statistique pour ...

Simulation : séries temporellesREVENUDETTEmodèle x t = αx t-1 + ν x t+1 = αx t + ν y t = γx t + ζν ~ N(µ,σ 2 ) ζ ~ N(µ,σ 2 )α, γ 1.1 0.4µ 0 0σ 20 10donnéesmean 318.60 340.09 352.10 134.59stdev 179.07 199.44 196.82 83.52n 20 21 20 21t x t-1 x t x t+1 y t0 100.00 119.81 34.061 100.00 119.81 163.16 44.642 119.81 163.16 212.80 77.1619 637.31 695.68 769.93 271.6820 695.68 769.93 317.38COV 25'876.71 27'790.22 30'274.44 11'479.7831'106.70 33'705.89 12'862.2337'789.68 14'089.025'400.91Estimations des MCOx t = αx t-1 + νx t+1 = αx t + να = 1.07 1.08z 8.64 9.56γ = 0.41 y t = γx t + ζz 6.65x t+1 = γ* y t + ζ* γ* = 2.61x t+1 = (α/γ) y t + ζ* z 5.64γ* = α/γ ratio estim. 2.62ratio vraies val. 2.75AQC, Causalité, 12/3/2002GR 15