Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions

Dufour, Jean Marie; Khalaf, Lynda

dc.contributor.author	Dufour, Jean Marie
dc.contributor.author	Khalaf, Lynda
dc.date.accessioned	2006-09-22T19:55:56Z
dc.date.available	2006-09-22T19:55:56Z
dc.date.issued	1998
dc.identifier.uri	http://hdl.handle.net/1866/462
dc.format.extent	1111716 bytes
dc.format.mimetype	application/pdf
dc.publisher	Université de Montréal. Département de sciences économiques.	fr
dc.subject	[JEL:C20] Mathematical and Quantitative Methods - Econometric Methods: Single Equation Models; Single Variables - General	en
dc.subject	[JEL:C21] Mathematical and Quantitative Methods - Econometric Methods: Single Equation Models; Single Variables - Cross-Sectional Models; Spatial Models; Treatment Effect Models	en
dc.subject	[JEL:C40] Mathematical and Quantitative Methods - Econometric and Statistical Methods: Special Topics - General	en
dc.subject	[JEL:C20] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équation unique - Généralités	fr
dc.subject	[JEL:C21] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équation unique - Modèles de coupes instantanées	fr
dc.subject	[JEL:C40] Mathématiques et méthodes quantitatives - Méthodes statistiques et économétriques: sujets spéciaux - Généralités	fr
dc.title	Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions
dc.type	Article
dc.contributor.affiliation	Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques
dcterms.abstract	In the context of multivariate regression (MLR) and seemingly unrelated regressions (SURE) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. in this paper, we propose finite-and large-sample likelihood-based test procedures for possibly non-linear hypotheses on the coefficients of MLR and SURE systems.
dcterms.isPartOf	urn:ISSN:0709-9231
UdeM.VersionRioxx	Version publiée / Version of Record
oaire.citationTitle	Cahier de recherche
oaire.citationIssue	9813

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