Zobrazeno 1 - 10
of 14
pro vyhledávání: '"modèles à équations multiples et simultanées"'
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:
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:
Jean-Marie Dufour, Tarek Jouini
Publikováno v:
Statistical Modeling and Analysis for Complex Data Problems ISBN: 9780387245546
In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eb5718a9be05344a6ba0486ab523e524
https://doi.org/10.1007/0-387-24555-3_11
https://doi.org/10.1007/0-387-24555-3_11
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:
AMBEC, Stefan, POITEVIN, Michel
This paper addresses the question of whether R&D should be carried out by an independent research unit or be produced in-house by the firm marketing the innovation. We define two organizational structures. In an integrated structure, the firm that ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::3d8ff8d731d9509de2fdce70361faaa3
https://hdl.handle.net/1866/352
https://hdl.handle.net/1866/352
Autor:
Meddahi, Nour, Renault, Éric
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 acc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::3bc2e3437b66c7642a2c1f1ab48a29f7
http://hdl.handle.net/1866/463
http://hdl.handle.net/1866/463
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
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