Zobrazeno 1 - 10
of 373
pro vyhledávání: '"Dufour, Jean Marie"'
We present the R package MSTest, which implements hypothesis testing procedures to identify the number of regimes in Markov switching models. These models have wide-ranging applications in economics, finance, and numerous other fields. The MSTest pac
Externí odkaz:
http://arxiv.org/abs/2411.08188
Autor:
Dufour, Jean-Marie, Wang, Endong
This paper introduces a novel two-stage estimation and inference procedure for generalized impulse responses (GIRs). GIRs encompass all coefficients in a multi-horizon linear projection model of future outcomes of y on lagged values (Dufour and Renau
Externí odkaz:
http://arxiv.org/abs/2409.10820
Publikováno v:
In Econometrics and Statistics January 2025 33:230-245
Publikováno v:
Essays in Honor of Joon Y. Park: Econometric Theory
Publikováno v:
In Journal of Econometrics September 2023 236(1)
The Wald test statistic has been shown to diverge (Dufour et al, 2013, 2017) under some conditions. This note links the divergence to eigenvalues of a polynomial matrix and establishes the divergence rate.
Externí odkaz:
http://arxiv.org/abs/1906.05951
Identification-robust Inference for Endogeneity Parameters in Models with an Incomplete Reduced Form
Autor:
Dufour, Jean-Marie, Nguyen, Vinh
Publikováno v:
Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology
We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We consider linear structural models with possibly non-Gaussian errors, whe
Externí odkaz:
http://arxiv.org/abs/1701.07050
Autor:
Dufour, Jean-Marie, Luger, Richard
This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based inference
Externí odkaz:
http://arxiv.org/abs/1701.00029
Autor:
Ahsan, Md. Nazmul, Dufour, Jean-Marie
Publikováno v:
In Journal of Econometrics September 2021 224(1):181-197