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Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes
(Université de Montréal. Département de sciences économiques., 2000)
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The ...
Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
(Université de Montréal. Département de sciences économiques., 2000)
This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply ...
Économétrie, théorie des tests et philosophie des sciences
(Université de Montréal. Département de sciences économiques., 2000)
Dans ce texte, nous revoyons certains développements récents de l’économétrie qui peuvent être intéressants pour des chercheurs dans des domaines autres que l’économie et nous soulignons l’éclairage particulier que ...
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 ...