Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par sujet "[JEL:C42] Mathématiques et méthodes quantitatives - Méthodes statistiques et économétriques: sujets spéciaux - Méthodes d'enquête"
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The Bootstrap of Mean for Dependent Heterogeneous Arrays
(Université de Montréal. Département de sciences économiques., 2001)Presently, conditions ensuring the validity of bootstrap methods for the sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are unknown. Here we establish the validity of the bootstrap in this context, ... -
Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
(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 ... -
Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes
(Université de Montréal. Département de sciences économiques., 2000)In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes ... -
Simulation-Based Finite and Large Sample Tests in Multivariate Regressions
(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 ...
