Zobrazeno 1 - 10
of 14
pro vyhledávání: '"généralités - Tests d'hypothèses"'
Publikováno v:
Articles. 80:501-522
Cet article illustre l’applicabilité des méthodes de rééchantillonnage dans le cadre des tests multiples (simultanés), pour divers problèmes économétriques. Les hypothèses simultanées sont une conséquence habituelle de la théorie écono
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7f65b9ab6f9ed17c79e6f3a33b3a2729
https://doi.org/10.7202/011397ar
https://doi.org/10.7202/011397ar
Publikováno v:
Oxford Bulletin of Economics and Statistics. 65:891-906
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 invariant to the unknown cross-eq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7c31b3c3da770306077105477bd5afe8
https://doi.org/10.1046/j.0305-9049.2003.00085.x
https://doi.org/10.1046/j.0305-9049.2003.00085.x
Autor:
Jean-Marie Dufour
Publikováno v:
Canadian Journal of Economics/Revue Canadienne d`Economique. 36:767-808
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 nonpara
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b0be2a01caf84eeec3a58672cbb753f1
https://doi.org/10.1111/1540-5982.t01-3-00001
https://doi.org/10.1111/1540-5982.t01-3-00001
Publikováno v:
Journal of Econometrics, 130
We consider the problem of testing whether the observations X 1 , … , X n of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::36f679add9a98eb3c9afb3e87af1ae47
https://dipot.ulb.ac.be/dspace/bitstream/2013/2143/1/mh-0082.pdf
https://dipot.ulb.ac.be/dspace/bitstream/2013/2143/1/mh-0082.pdf
Publikováno v:
Numerical Methods in Finance ISBN: 9780387251172
In this chapter, 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 assumption on the distribution
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f890a9fa1a5bfd741970b4e1742bede5
http://www.cireqmontreal.com/wp-content/uploads/cahiers/04-2005-cah.pdf
http://www.cireqmontreal.com/wp-content/uploads/cahiers/04-2005-cah.pdf
Autor:
Dufour, Jean Marie, Jouini, Tarek
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 very misleading even with fa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::c6117c3cfd4915e26254fc0ad75ca358
http://hdl.handle.net/1866/541
http://hdl.handle.net/1866/541
In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the mod
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc834e1074c422d219dd2d93830ff1c1
https://hdl.handle.net/1866/546
https://hdl.handle.net/1866/546
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, at univariate and multiva
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::932aff17ac1b2f3682c2d2226956d60a
http://www.cireqmontreal.com/wp-content/uploads/cahiers/06-2003-cah.pdf
http://www.cireqmontreal.com/wp-content/uploads/cahiers/06-2003-cah.pdf
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 normality as a special case. T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::607b8620ee5024226e23c6a125fc4c43
http://www.cireqmontreal.com/wp-content/uploads/cahiers/17-2002-cah.pdf
http://www.cireqmontreal.com/wp-content/uploads/cahiers/17-2002-cah.pdf
Autor:
Dufour, Jean Marie
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 m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::22cba69cffb68f7dd78e9ae0c56bd38f
http://hdl.handle.net/1866/355
http://hdl.handle.net/1866/355