Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "ARCH"

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  • Does the Barro-Gordon Model Explain the Behavior of US Inflation? a Reexamination of the Empirical Evidence 

    Ruge-Murcia, Francisco (Université de Montréal. Département de sciences économiques., 2002)
    This paper tests the predictions of the Barro-Gordon model using US data on inflation and unemployment. To that end, it constructs a general game-theoretical model with asymmetric preferences that nests the Barro-Gordon model and a version of Cukierman’s ...

  • Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects 

    Dufour, Jean Marie; Khalaf, Lynda; Bernard, Jean-Thomas; GENEST, Ian (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 ...