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Lubrano

Publications

Approximation des identités comptables dans les modéles spécifiés en logarithmeJournal articleMichel Lubrano, Annals of Economics and Statistics, Issue 22, pp. 91-102, 1991

When a linear econometric model is expressed in logarithms, the presence of identities entails a strong non-linearity for the simulation stage of the complete model. This aspect can be damageable for the simulation algorithms which are implemented on microcomputers. A traditional solution consists in linearizing the identity by a Taylor expansion around the mean of the variables. In this paper we propose an approximation based on an error correction mecanism which takes into account the statistical properties of the series. The quality of the approximation is shown on a three equation econometric model estimated on french quartely data covering the period 1963-1985.
Stability of a U.K. Money Demand Equation: A Bayesian Approach to Testing ExogeneityJournal articleMichel Lubrano, Richard G. Pierse et Jean-François Richard, Review of Economic Studies, Volume 53, Issue 4, pp. 603-634, 1986

The paper analyses an M3 demand for money equation for the United Kingdom. Attention is paid to the policy change that occurred in 1971 with the introduction of the measure known as Competition and Credit Control. Classical and Bayesian single equation instrumental variables procedures are developed to investigate the exogeneity of the short-term interest rate and the constancy of the parameters of the underlying relationships. The parameters of the short-term equation have changed as well as the exogeneity status of the interest rate variable but the parameters of the long-term equation appear to be less affected by the policy change.
Some aspects of prior elicitation problems in disequilibrium modelsJournal articleMichel Lubrano, Journal of Econometrics, Volume 29, Issue 1-2, pp. 165-172, 1985

No abstract is available for this item.
Bayesian analysis of switching regression modelsJournal articleMichel Lubrano, Journal of Econometrics, Volume 29, Issue 1-2, pp. 69-95, 1985

No abstract is available for this item.