Search
Now showing items 1-3 of 3
The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation
(Université de Montréal. Département de sciences économiques., 1998)
This note investigates the adequacy of the finite-sample approximation provided by the Functional Central Limit Theorem (FCLT) when the errors are allowed to be dependent. We compare the distribution of the scaled partial ...
Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions
(Université de Montréal. Département de sciences économiques., 1998)
In the context of multivariate regression (MLR) and seemingly unrelated regressions (SURE) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. in this paper, ...
Computation and Analysis of Multiple Structural-Change Models
(Université de Montréal. Département de sciences économiques., 1998)
In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, ...