Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes

We evaluate the asymptotic and finite-sample properties of direct multi-step estimation (DMS) for forecasting at several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP are necessary, but when a model is well-specified, iterating the one-step ahead forecasts may not be asymptotically preferable. If a model is mis-specified for a non-stationary DGP, omitting either negative residual serial correlation or regime shifts, DMS can forecast more accurately. Monte Carlo simulations clarify the non-linear dependence of the estimation and forecast biases on the parameters of the DGP, and explain existing results.Adaptive estimation, multi-step estimation, dynamic forecasts, model mis-specification.

L’impact du taux de change sur le tourisme en France

La dégradation de la balance commerciale française de plus de 20 milliards d’euros observée entre 2001 et 2004 est liée à hauteur de 4 milliards d’euros à la réduction de l’excédent du tourisme. Parmi les explications possibles de ce repli se trouvent l’appréciation de la devise européenne, le traumatisme du 11 septembre 2001 et une perte d’attractivité du territoire français. Nous montrons à l’aide d’une analyse économétrique portant sur le nombre de touristes entrant et sortant de France, ainsi que leurs dépenses, que les variations du taux de change expliquent plus de 60 % de la dégradation de la balance du tourisme, relativisant ainsi le poids des autres facteurs. Le manque à gagner que l’appréciation de l’euro induit pour l’industrie française du tourisme est de 4,2 milliards d’euros entre 2001 et 2005.The reduction in the French trade balance observed since late 2001 has partly been caused by the weakness of the domestic tourism sector. Among potential explications thereof are the appreciation of euro; the post 9/11 trauma, and a possible decrease in the appeal of the French territory. We develop equilibrium correction models for the number of travelers in and out of the territory and their expenses. This helps us show that exchange rate variations are the main culprit as they account for over 60% of the reduction in the for tourism section of the balance of payments

Brouillard autour des puits de pétrole.

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Sedimentation of particulate matter in the south-west lagoon of New Caledonia : spatial and temporal patterns

Suspended and sedimented particulate materials were assessed monthly at five sites on the south-west lagoon of New Caledonia, from May 1986 to April 1987. Sedimentation of particulate matter was measured using sediment traps for 24 h. Resuspension, which accounted for more than 80% of the total sedimentation, was distinguished to calculate net sedimentation values. The mean net sedimentation rate for the lagoon varied according to the site from 0.481 to 1.157 gC/m2/day with a general mean value of 0.756 gC/m2/day. An increasing gradient from the reef to the shore stations was observed for both suspended and sedimented particles. The standing stocks and the fluxes of suspended particles were maximal in February, during the warm season associated with maximal rainfall, and minimal in August. The high C/N ratio in sedimented material compared to suspended particles indicated that organic matter degradation had occurred preferentially in the water column. The mean particulate organic carbon flux was about twice the lagoon pelagic primary production ; sedimented plant material only accounted for a small part of the organic carbon flux. The major source of sedimented organic carbon was therefore allochthonous and derived both from the reef and the shore. The latter seemed to predominate. Relative uncoupling between benthos and pelagos is suggested. (Résumé d'auteur