Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "[JEL:C12] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Tests d'hypothèses"
Now showing items 1-15 of 15
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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 ... -
Économétrie, théorie des tests et philosophie des sciences
(Université de Montréal. Département de sciences économiques., 2000)Dans ce texte, nous revoyons certains développements récents de l’économétrie qui peuvent être intéressants pour des chercheurs dans des domaines autres que l’économie et nous soulignons l’éclairage particulier que l’économétrie peut jeter sur certains ... -
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
(Université de Montréal. Département de sciences économiques., 2005)In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of ... -
Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models
(Université de Montréal. Département de sciences économiques., 2003)We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation ... -
Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
(Université de Montréal. Département de sciences économiques., 2003)In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate ... -
Finite-sample inference methods for simultaneous equations and models with unobserved and generated regressors
(Université de Montréal. Département de sciences économiques., 1998)We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by the presence of identification ... -
Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing
(Université de Montréal. Département de sciences économiques., 2005)Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with ... -
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 ... -
Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis
(Université de Montréal. Département de sciences économiques., 2005)In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model ... -
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 ... -
Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics
(Université de Montréal. Département de sciences économiques., 2005)The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided it does not involve nuisance ... -
Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices
(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. ... -
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 ... -
Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
(Université de Montréal. Département de sciences économiques., 2002)In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. ... -
Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
(Université de Montréal. Département de sciences économiques., 2005)Cet article illustre l’applicabilité des méthodes de rééchantillonnage dans le cadre des tests multiples (simultanés), pour divers problèmes économétriques. Les hypothèses simultanées sont une conséquence habituelle de la théorie économique, de sorte ...