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Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models
Dufour, Jean-Marie; Touhami, Abdelkhalek - Centre Interuniversitaire de Recherche en Analyse des … - 2000
We consider the problem of assessing the uncertainty of calibrated parameters in computable general equilibrium (CGE) models through the construction of confidence sets (or intervals) for these parameters. We study two different setups under which this can be done. The first one extends earlier...
Persistent link: https://www.econbiz.de/10005100806
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Seasonal Time Series and Autocorrelation Function Estimation
Bell, William R.; Ghysels, Eric; Lee, Hahn Shik - Centre Interuniversitaire de Recherche en Analyse des … - 1997
Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing … to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard … series are seasonally demeaned has very important consequences on the asymptotic behavior of autocorrelation functions …
Persistent link: https://www.econbiz.de/10005100761
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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2005
coefficients d'autocorrélation : bornes exponen-tielles, bornes de type Eaton, bornes de Chebyshev et bornes de Berry … la performance des bornes et comparons celle-ci à celle de tests d'autocorrélation traditionnels. Les procédures …
Persistent link: https://www.econbiz.de/10005100838
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Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes
Dufour, Jean-Marie; Torrès, Olivier - Centre Interuniversitaire de Recherche en Analyse des … - 2000
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...
Persistent link: https://www.econbiz.de/10005100872