Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par sujet "heteroskedasticity"

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  • 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 ...

  • 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 ...

  • Quadratic M-Estimators for ARCH-Type Processes 

    Meddahi, Nour; Renault, Éric (Université de Montréal. Département de sciences économiques., 1998)
    This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account ...

  • 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 ...