Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "uniform linear hypothesis"

Now showing items 1-4 of 4

  • Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions 

    Beaulieu, Marie-Claude; Dufour, Jean Marie; Khalaf, Lynda (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 ...

  • Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models 

    Dufour, Jean Marie; Khalaf, Lynda; Beaulieu, Marie-Claude (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 ...

  • Simulation-Based Finite and Large Sample Tests in Multivariate Regressions 

    Dufour, Jean Marie; Khalaf, Lynda (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 ...

  • Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach 

    Beaulieu, Marie-Claude; Dufour, Jean Marie; Khalaf, Lynda (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. ...