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Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "weak identification"

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  • ARMA Representation of Integrated and Realized Variances 

    Meddahi, Nour (Université de Montréal. Département de sciences économiques., 2002)
    This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as ...

  • Identification, Weak Instruments and Statistical Inference in Econometrics 

    Dufour, Jean Marie (Université de Montréal. Département de sciences économiques., 2003)
    We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric ...