Showing 1 - 10 of 15
This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to...
Persistent link: https://www.econbiz.de/10005100560
Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...
Persistent link: https://www.econbiz.de/10005100629
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/10005100677
the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading … asymptotique ou une technique de bootstrap. Après avoir montré que ces méthodes peuvent être très peu fiables, même avec des …
Persistent link: https://www.econbiz.de/10005100698
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 consistency and asymptotic normality are...
Persistent link: https://www.econbiz.de/10005100706
techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case …'application du bootstrap est aussi considérée. Les méthodes sont appliquées à un modèle VAR de l'économie américaine. …
Persistent link: https://www.econbiz.de/10005100843
asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general … montrons aussi que les tests basés sur la technique du bootstrap paramétrique peut s'interpréter comme une version simplifiée … plus générales que le bootstrap paramétrique. …
Persistent link: https://www.econbiz.de/10005100868
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/10005100885
to be used in conjunction with more traditional simulation-based test methods (e.g., the parametric bootstrap) which may … plus traditionnelles (telles que le bootstrap paramétrique) que l'on peut appliquer lorsque le test à borne n'est pas …
Persistent link: https://www.econbiz.de/10005100889
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 nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005100952