Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "ARCH"
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Does the Barro-Gordon Model Explain the Behavior of US Inflation? a Reexamination of the Empirical Evidence
(Université de Montréal. Département de sciences économiques., 2002)This paper tests the predictions of the Barro-Gordon model using US data on inflation and unemployment. To that end, it constructs a general game-theoretical model with asymmetric preferences that nests the Barro-Gordon model and a version of Cukierman’s ... -
Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
(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 ...