Výsledky vyhledávání - "Jean-Francois Lamarche"

Are Municipal Budget Cycles Political? Evidence From Ontario, Canada?

Autor: Zachary Spicer, Joseph Kushner, Jean-Francois Lamarche

Publikováno v: State and Local Government Review. :0160323X2311739

In this paper, we examine whether a political budget cycle exists in municipal governments that fall under tight financial and institutional regulation by senior orders of government. For other levels of government, there is evidence that politicians

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::480320993fa267775637b68b5274abf9
https://doi.org/10.1177/0160323x231173920

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Have structural changes eliminated the out-of-sample ability of financial variables to forecast real activity after the mid-1980s? Evidence from the Canadian economy

Autor: Akhter Faroque, William Veloce, Jean-Francois Lamarche

Publikováno v: Applied Economics. 44:3965-3985

This article evaluates how consistently reliable the information content of individual financial variables is for Canada's future output growth. We estimate the timing of structural changes in linear growth models and check robustness to specificatio

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eb38410f5aaeef922a67b2bbb96e4362
https://doi.org/10.1080/00036846.2011.583226

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STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA

Autor: Alain Guay, Jean-Francois Lamarche

Publikováno v: Econometric Theory. 28:1186-1228

This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith 1997, The Economic Journal107, 503–519) assigns a set of implied probabiliti

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7d5d4c6444fecc9ab03fd15b150ca00c
https://doi.org/10.1017/s0266466612000114

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Evidence of nonlinear mean reversion in the real interest rate

Autor: Jean-Francois Lamarche, Zisimos Koustas

Publikováno v: Applied Economics. 42:237-248

This article utilizes tests for a unit root that have power against nonlinear alternatives to provide empirical evidence on the time series properties of the ex-post real interest rate in the G7 countries. We find that the unit root hypothesis can be

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::f743a7779d5e031a32896cc389374285
https://doi.org/10.1080/00036840701579242

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Threshold random walks in the US stock market

Autor: Jean-Francois Lamarche, Zisimos Koustas, Apostolos Serletis

Publikováno v: Chaos, Solitons & Fractals. 37:43-48

This paper extends the work in Serletis and Shintani [Serletis A, Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons & Fractals 2003;17:449–54.] and Elder and Serletis [Elder J, Serletis A. On f

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::3117a3d1fd2a15aaab562fdf331ca761
https://doi.org/10.1016/j.chaos.2006.11.024

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The Numerical Performance of Fast Bootstrap Procedures

Autor: Jean-Francois Lamarche

Publikováno v: Computational Economics. 23:379-389

The numerical performance of faster ways to perform inference using the bootstrap are investigated. The bootstrap procedures are applied to tests for an unknown structural change and evaluated in a simulation environment. The simulation results indic

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::dc898edea07ca4d3494efa5fe0b43d1d
https://doi.org/10.1023/b:csem.0000026805.91428.af

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A robust bootstrap test under heteroskedasticity

Autor: Jean-Francois Lamarche

Publikováno v: Economics Letters. 79:353-359

A test for an unknown structural break based on an heteroskedasticity-robust artificial regression is considered. The test has good finite sample properties under different resampling procedures and transformations of the residuals.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::3be19983fdcb012d1a0c0833f82e1fcf
https://doi.org/10.1016/s0165-1765(03)00028-4

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Estimation of a nonlinear Taylor rule using real-time U.S. data

Autor: Jean-Francois Lamarche, Zisimos Koustasy

This paper extends the work in Orphanides (2003) by re-examining the empirical evidence for a Taylor rule in a nonlinear framework. In doing so, it updates the Greenbook dataset used by the afore men- tioned author to the most recent available period

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a7e968de91262a636b13a4c95be42d94
https://brocku.ca/repec/pdf/1005.pdf

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Structural change tests for GEL criteria

Autor: Jean-Francois Lamarche, Alain Guay

This article examines structural change tests based on generalized empirical likelihood methods in the time series context, allowing for dependent data. Standard structural change tests for the Generalized method of moments (GMM) are adapted to the g

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7a20d97ec85e0b6a54e05a9aa3e2c8ae
https://brocku.ca/repec/pdf/1002.pdf

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