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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 ...
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 ...
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 ...
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 ...
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 ...