Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par auteur·e "Dufour, Jean Marie"
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Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
Dufour, Jean Marie; TAREK, Jouini (Université de Montréal. Département de sciences économiques., 2005)In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for ... -
Causalités à court et à long terme dans les modèles VAR et ARIMA multivariés
Dufour, Jean Marie; Renault, Éric (Université de Montréal. Département de sciences économiques., 1993)La causalité au sens de Granger est habituellement définie par la prévisibilité d'un vecteur de variables par un autre une période à l'avance. Récemment, Lutkepohl (1990) a proposé de définir la non-causalité entre deux variables (ou vecteurs) par la ... -
Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models
Abdelkader, Touhami; Dufour, Jean Marie (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 ... -
Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
Dufour, Jean Marie; Farhat, Abdeljelil; HALLIN, Marc (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
Dufour, Jean Marie (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 Inference Methods for First-Order Autoregressive Distributed Lag Models
Dufour, Jean Marie; Kiviet, J.F. (Université de Montréal. Département de sciences économiques., 1995) -
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude; Dufour, Jean Marie; Khalaf, Lynda (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 Nonparametric Orthogonality and Random Walk Tests
Dufour, Jean Marie; Campbell, Bryan (Université de Montréal. Département de sciences économiques., 1993) -
Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions
Dufour, Jean Marie; Farhat, Abdeljelil (Université de Montréal. Département de sciences économiques., 2001)In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. ... -
Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models
Dufour, Jean Marie; Khalaf, Lynda; Beaulieu, Marie-Claude (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 ... -
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 ... -
Exact Tests in Single Equation Autoregressive Distributed Lag Models
Dufour, Jean Marie; Kiviet, J.F. (Université de Montréal. Département de sciences économiques., 1995) -
Exact Tests Structural Change in First-Order Dynamic Models
Dufour, Jean Marie; Kiviet, J.F. (Université de Montréal. Département de sciences économiques., 1995) -
Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
Campbell, Bryan; Dufour, Jean Marie (Université de Montréal. Département de sciences économiques., 1994) -
Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean Marie; Khalaf, Lynda; Beaulieu, Marie-Claude (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
Dufour, Jean Marie; Jasiak, Joanna (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
Dufour, Jean Marie; Jouini, Tarek (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 ... -
Generalized Portmanteau Statistics and Tests of Randomness
Dufour, Jean Marie; ROY, Roch (Université de Montréal. Département de sciences économiques., 1985) -
Identification, Weak Instruments and Statistical Inference in Econometrics
Dufour, Jean Marie (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
Dufour, Jean Marie; Khalaf, Lynda; Kichian, Maral (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 ...