Parcourir Faculté des arts et des sciences – Département de sciences économiques par sujet "[JEL:C10] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Généralités"
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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 ... -
Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition
(Université de Montréal. Département de sciences économiques., 1998)This paper considers various asymptotic approximations in the near-integrated firstorder autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero ... -
An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
(Université de Montréal. Département de sciences économiques., 1996)Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression ... -
Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models
(Université de Montréal. Département de sciences économiques., 1998)We consider the problem of accessing the uncertainty of calibrated parameters in computable general equilibrium (CGE) models through the construction of confidence sets (or intervals) for these parameters. We study two different setups under which this ... -
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
(Université de Montréal. Département de sciences économiques., 2001)This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit ... -
The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation
(Université de Montréal. Département de sciences économiques., 1998)This note investigates the adequacy of the finite-sample approximation provided by the Functional Central Limit Theorem (FCLT) when the errors are allowed to be dependent. We compare the distribution of the scaled partial sums of some data with the ... -
Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie
(Université de Montréal. Département de sciences économiques., 2001)Dans ce texte, nous analysons les développements récents de l’économétrie à la lumière de la théorie des tests statistiques. Nous revoyons d’abord quelques principes fondamentaux de philosophie des sciences et de théorie statistique, en mettant l’accent ... -
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 ... -
Probabilistic Assignments of Identical Indivisible Objects and Uniform Probabilistic Rules
(Université de Montréal. Département de sciences économiques., 2001)We consider a probabilistic approach to the problem of assigning k indivisible identical objects to a set of agents with single-peaked preferences. Using the ordinal extension of preferences, we characterize the class of uniform probabilistic rules by ... -
Risk Aversion, Intertemporal Substitution, and Option Pricing
(Université de Montréal. Département de sciences économiques., 1998)This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions ... -
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 Normality Tests in Linear Regressions
(Université de Montréal. Département de sciences économiques., 1998)In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the ... -
Upper Semicontinuous Extensions of Binary Relations
(Université de Montréal. Département de sciences économiques., 2002)Suzumura shows that a binary relation has a weak order extension if and only if it is consistent. However, consistency is demonstrably not sufficient to extend an upper semi-continuous binary relation to an upper semicontinuous weak order. Jaffray ...
