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Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: β−mixing and ρ−mixing. Weshow that β−mixing and ρ−mixing with exponential decay are essentially equivalent...

Persistent link: https://www.econbiz.de/10005100536

Testing Normality: A GMM Approach

Bontemps, Christian; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the Stein (1972) equations. They coincide with the first class of moment conditions derived by...

Persistent link: https://www.econbiz.de/10005100582

Structural Change Tests for Simulated Method of Moments

Ghysels, Eric; Guay, Alain - Centre Interuniversitaire de Recherche en Analyse des … - 1998

asymptotic distribution nor the asymptotic local power of tests for structural change. A Monte Carlo investigation of the finite … sample size and power reveals, however, that simulation uncertainty does affect the properties of tests. Nevertheless, even a … relatively small number of simulations suffices to obtain tests with desirable small sample size and power properties. Les …

Persistent link: https://www.econbiz.de/10005100632

Content Horizons for Forecasts of Economic Time Series

Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 1999

We consider the problem of determining the horizon beyond which forecasts from time series models of stationary processes add nothing to the forecast implicit in the conditional mean. We refer to this as the content horizon for forecasts, and define a forecast content function at horizons s = 1,...

Persistent link: https://www.econbiz.de/10005100645

Testing for Structural Change in the Presence of Auxiliary Models

Ghysels, Eric; Guay, Alain - Centre Interuniversitaire de Recherche en Analyse des … - 2001

Several estimation procedures such as the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) and Indirect Inference procedure of Gouriéroux, Monfort and Renault (1993) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and...

Persistent link: https://www.econbiz.de/10005100664

Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model

Bec, Frédérique; Salem, Mélika Ben; Carrasco, Marine - Centre Interuniversitaire de Recherche en Analyse des … - 2009

purchasing power parity. Des études récentes sur les modèles d'équilibre général prenant en considération les coûts des …

Persistent link: https://www.econbiz.de/10005100696

Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression

Dufour, Jean-Marie; Farhat, Abdeljelil; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

biases against platikurtic alternatives. In general, our results show that concrete and non-spurious power gains (over …

Persistent link: https://www.econbiz.de/10005100723

On Stable Factor Structures in the Pricing of Risk

Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1995

Much of the research describing the cross-sectional and time series behavior of asset returns can be characterized as a search for the relevant state variables and also a search for the relevant model specification. Ultimately the scope of such efforts is to find a satisfactory and stable asset...

Persistent link: https://www.econbiz.de/10005100814

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

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:...

Persistent link: https://www.econbiz.de/10005100838

Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2005

The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided it does not involve nuisance parameters). We extend this method in two ways:...

Persistent link: https://www.econbiz.de/10005100868