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Now showing items 11-20 of 21
Simulation-Based Finite and Large Sample Tests in Multivariate Regressions
(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 ...
Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
(Université de Montréal. Département de sciences économiques., 2005)
In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. ...
Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing
(Université de Montréal. Département de sciences économiques., 2005)
Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be ...
Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis
(Université de Montréal. Département de sciences économiques., 2005)
In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian ...
Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
(Université de Montréal. Département de sciences économiques., 2005)
Cet article illustre l’applicabilité des méthodes de rééchantillonnage dans le cadre des tests multiples (simultanés), pour divers problèmes économétriques. Les hypothèses simultanées sont une conséquence habituelle de la ...
Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
(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 ...
Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
(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, ...
Identification, Weak Instruments and Statistical Inference in Econometrics
(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 ...
Méthodes d’inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes
(Université de Montréal. Département de sciences économiques., 2003)
Ce texte propose des méthodes d’inférence exactes (tests et régions de confiance) sur des modèles de régression linéaires avec erreurs autocorrélées suivant un processus autorégressif d’ordre deux [AR(2)], qui peut être ...
Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
(Université de Montréal. Département de sciences économiques., 2003)
It is well known that standard asymptotic theory is not valid or is extremely unreliable in models with identification problems or weak instruments [Dufour (1997, Econometrica), Staiger and Stock (1997, Econometrica), Wang ...