Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "[JEL:C52] Mathématiques et méthodes quantitatives - Modélisation économétrique - Évaluation de modèles et tests"
Now showing items 1-10 of 10
-
Cognition in Seemingly Riskless Choices and Judgments
(Université de Montréal. Département de sciences économiques., 1996)We instillate rational cognition and learning in seemingly riskless choices and judgments. Preferences and possibilities are given in a stochastic sense and based on revisable expectations. the theory predicts experimental preference reversals and ... -
An Eigenfunction Approach for Volatility Modeling
(Université de Montréal. Département de sciences économiques., 2001)In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the ... -
Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions
(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. ... -
Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis
(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 ... -
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 ... -
Paretian Quasi-Orders: Two Agents
(Université de Montréal. Département de sciences économiques., 1999)We characterize Paretian quasi-orders in the two-agent continuous case. -
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 ... -
Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy
(Université de Montréal. Département de sciences économiques., 1997)We study the problem of measuring the uncertainty of CGE (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first one uses a standard Wald-type ... -
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 ... -
A Theoretical Comparison Between Integrated and Realized Volatilies
(Université de Montréal. Département de sciences économiques., 2001)In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the ...