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Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory
Doko Tchatoka, Firmin - 2017
statistics for which no finite-sample distributional theory is yet available, such as the standard statistic proposed by Hausman … phenomenon typically disappears. We present simulation evidence which confirms the finite-sample theory. The theoretical results …
Persistent link: https://www.econbiz.de/10012966708
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Exact tests and confidence sets for the tail coefficient of α-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003
of confidence interval for estimates is usually based. Statistical theory for the MC method is given. A simulation study … statistische Theorie für die Monte-Carlo-Methode wird abgeleitet. Anhand einer Simulationsuntersuchung wird die Effizienz von …
Persistent link: https://www.econbiz.de/10011432250
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Exact tests and confidence sets for the tail coefficient of α-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003
of confidence interval for estimates is usually based. Statistical theory for the MC method is given. A simulation study …
Persistent link: https://www.econbiz.de/10001818512
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Testing mean-variance efficiency in CAPM with possibly non-Gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Christine (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947329
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
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. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10001731828
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
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. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10011431982
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
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. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10010295747
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Exact tests and confidence sets for the tail coefficient of a-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003
of confidence interval for estimates is usually based. Statistical theory for the MC method is given. A simulation study … statistische Theorie für die Monte-Carlo-Methode wird abgeleitet. Anhand einer Simulationsuntersuchung wird die Effizienz von …
Persistent link: https://www.econbiz.de/10010295764