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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 ...
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, ...
Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models
(Université de Montréal. Département de sciences économiques., 2003)
We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is ...