Now showing items 1-3 of 3

  • Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions 

    Dufour, Jean Marie; Khalaf, Lynda (Université de Montréal. Département de sciences économiques., 2000)
    This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo ...
  • The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity 

    MOON, Hyungsik Roger; Perron, Benoit (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 and Large Sample Tests in Multivariate Regressions 

    Dufour, Jean Marie; Khalaf, Lynda (Université de Montréal. Département de sciences économiques., 2000)
    In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of ...