Browsing Faculté des arts et des sciences – Département de sciences économiques by Subject "[JEL:C19] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Divers"

Now showing items 1-3 of 3

  • An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests 

    Perron, Pierre; Ng, Serena (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 ...

  • Parametric and Nonparametric Approaches to Price and Tax Reform 

    Deaton, Angus; Ng, Serena (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 ...

  • Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices 

    Perron, Pierre; VODOUNOU, Cosme (Université de Montréal. Département de sciences économiques., 1998)
    We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. ...