Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "[JEL:C53] Mathematical and Quantitative Methods - Econometric Modeling - Forecasting and Other Model Applications"
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Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off
(Université de Montréal. Département de sciences économiques., 1999)Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors ... -
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 ...