Search
Now showing items 1-8 of 8
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 ...
Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
(Université de Montréal. Département de sciences économiques., 2005)
We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the ...
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 ...
Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics
(Université de Montréal. Département de sciences économiques., 2005)
The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided ...
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
(Université de Montréal. Département de sciences économiques., 2005)
In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality ...
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 ...
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 ...