Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "[JEL:C15] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Méthodes de simulation statistique: la méthode Monte Carlo"
Now showing items 1-14 of 14
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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 ... -
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 ... -
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 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 ... -
The Ghost in the Machine: Inferring Machine-Based Strategies from Observed Behavior
(Université de Montréal. Département de sciences économiques., 2004)We introduce a procedure to infer the repeated-game strategies that generate actions in experimental choice data. We apply the technique to set of experiments where human subjects play a repeated Prisoner's Dilemma. The technique suggests that two types ... -
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 ... -
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 ... -
Methods to Estimate Dynamic Stochastic General Equilibrium Models
(Université de Montréal. Département de sciences économiques., 2003)This paper employs the one-sector Real Business Cycle model as a testing ground for four different procedures to estimate Dynamic Stochastic General Equilibrium (DSGE) models. The procedures are: 1 ) Maximum Likelihood, with and without measurement ... -
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 ... -
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 ... -
Simulation-Based Finite-Sample Normality Tests in Linear Regressions
(Université de Montréal. Département de sciences économiques., 1998)In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the ... -
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 ...