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Voici les éléments 11-20 de 38
Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration
(Université de Montréal. Département de sciences économiques., 1995)
Short run and long run causality in time series: Inference
(Université de Montréal. Département de sciences économiques., 2003)
We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running ...
Pitfalls of Rescalling Regression Models with Box-Cox Transformations
(Université de Montréal. Département de sciences économiques., 1993)
Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie
(Université de Montréal. Département de sciences économiques., 2001)
Dans ce texte, nous analysons les développements récents de l’économétrie à la lumière de la théorie des tests statistiques. Nous revoyons d’abord quelques principes fondamentaux de philosophie des sciences et de théorie ...
Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions
(Université de Montréal. Département de sciences économiques., 2001)
In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on ...
Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
(Université de Montréal. Département de sciences économiques., 2001)
A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally ...
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 ...