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Exact Tests Structural Change in First-Order Dynamic Models
(Université de Montréal. Département de sciences économiques., 1995)
Exact Nonparametric Orthogonality and Random Walk Tests
(Université de Montréal. Département de sciences économiques., 1993)
Exact Tests in Single Equation Autoregressive Distributed Lag Models
(Université de Montréal. Département de sciences économiques., 1995)
Generalized Portmanteau Statistics and Tests of Randomness
(Université de Montréal. Département de sciences économiques., 1985)
Short-Run and Long-Rub Causality in Time Series: Theory
(Université de Montréal. Département de sciences économiques., 1995)
Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
(Université de Montréal. Département de sciences économiques., 1995)
Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
(Université de Montréal. Département de sciences économiques., 2005)
We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the ...
Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics
(Université de Montréal. Département de sciences économiques., 2005)
The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided ...
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
(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 ...
Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
(Université de Montréal. Département de sciences économiques., 1994)