Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "hétéroscédasticité"

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  • Identification, Weak Instruments and Statistical Inference in Econometrics 

    Dufour, Jean Marie (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 in turn inference in nonparametric ...

  • Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie 

    Dufour, Jean Marie (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 statistique, en mettant l’accent ...

  • Quadratic M-Estimators for ARCH-Type Processes 

    Meddahi, Nour; Renault, Éric (Université de Montréal. Département de sciences économiques., 1998)
    This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account ...

  • Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects 

    Dufour, Jean Marie; Khalaf, Lynda; Bernard, Jean-Thomas; GENEST, Ian (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 based on asymptotic approximations ...