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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003

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 multivariate levels, with Gaussian and non-Gaussian...

Persistent link: https://www.econbiz.de/10005346022

TESTING MEAN-VARIANCE EFFICIENCY IN CAPM WITH POSSIBLY NON-GAUSSIAN ERRORS : AN EXACT SIMULATION-BASED APPROACH

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2002

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/10005729586

KIMBALL'S INEQUALITY AND BOUNDS TESTS FOR COMPARING SEVERAL REGRESSIONS UNDER HETERSKEDASTICITY.

DUFOUR, J.M. - Centre Interuniversitaire de Recherche en Économie … - 1990

Persistent link: https://www.econbiz.de/10005729573

Identification, Weak Instruments and Statistical Inference in Econometrics

DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2003

distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …

Persistent link: https://www.econbiz.de/10005133053

An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient.

Dufour, J.-M.; Hallin, M. - Centre Interuniversitaire de Recherche en Économie … - 1991

Persistent link: https://www.econbiz.de/10005545587

Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

DUFOUR, Jean-Marie; FARHAT, Abdeljelil; HALLIN, Marc - Centre Interuniversitaire de Recherche en Économie … - 2005

We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential...

Persistent link: https://www.econbiz.de/10008671553

Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models

TCHATOKA, Firmin DOKO; DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2014

dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-square methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …

Persistent link: https://www.econbiz.de/10010894992