Parcourir Faculté des arts et des sciences par sujet "hypothèse linéaire uniforme"

Voici les éléments 1-2 de 2

  • 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. ...