Parcourir Faculté des arts et des sciences – Département de sciences économiques par sujet "[JEL:C14] Mathematical and Quantitative Methods - Econometric and Statistical Methods: General - Semiparametric and Nonparametric Methods"
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Aggregations and Marginalization of GARCH and Stochastic Volatility Models
(Université de Montréal. Département de sciences économiques., 1998)The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger ... -
Bayesian Analysis for a Theory of Random Consumer Demand: The Case of Indivisible Goods
(Université de Montréal. Département de sciences économiques., 2004)McCausland (2004a) describes a new theory of random consumer demand. Theoretically consistent random demand can be represented by a \"regular\" \"L-utility\" function on the consumption set X. The present paper is about Bayesian inference for regular ... -
Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
(Université de Montréal. Département de sciences économiques., 2005)We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation ... -
Identification, Weak Instruments and Statistical Inference in Econometrics
(Université de Montréal. Département de sciences économiques., 2003)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 ... -
Parametric and Nonparametric Approaches to Price and Tax Reform
(Université de Montréal. Département de sciences économiques., 1996)In the analysis of tax reform, when equity is traded off against efficiency, the measurement of the latter requires us to know how tax-induced price changes affect quantities supplied and demanded. in this paper, we present various econometric procedures ... -
The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity
(Université de Montréal. Département de sciences économiques., 2000)This paper studies seemingly unrelated linear models with integrated regressors and stationary errors. By adding leads and lags of the first differences of the regressors and estimating this augmented dynamic regression model by feasible generalized ... -
Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
(Université de Montréal. Département de sciences économiques., 2001)A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations ...
