Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "[JEL:C22] Mathematical and Quantitative Methods - Econometric Methods: Single Equation Models; Single Variables - Time-Series Models"

Now showing items 1-5 of 5

  • 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 ...

  • GLS Detrending, Efficient Unit Root Tests and Structural Change 

    Perron, Pierre; Rodriguez, Gabriel (Université de Montréal. Département de sciences économiques., 1998)
    We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of ...

  • Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics 

    Dufour, Jean Marie (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 ...

  • A Semi-Parametric Factor Model for Interest Rates 

    Ghysels, Eric; Ng, Serena (Université de Montréal. Département de sciences économiques., 1996)
    Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows ...

  • Time Reversibility of Stationary Regular Finite State Markov Chains 

    McCausland, William J. (Université de Montréal. Département de sciences économiques., 2004)
    We propose an alternate parameterization of stationary regular finite-state Markov chains, and a decomposition of the parameter into time reversible and time irreversible parts. We demonstrate some useful properties of the decomposition, and propose ...