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Özgür, Onur - Centre Interuniversitaire de Recherche en Analyse des … - 2010

Local interactions refer to social and economic phenomena where individuals' choices are influenced by the choices of others who are `close' to them socially or geographically. This represents a fairly accurate picture of human experience. Furthermore, since local interactions imply particular...

Persistent link: https://www.econbiz.de/10008591372

Do Peers Affect Student Achievement? Evidence from Canada Using Group Size Variation

Boucher, Vincent; Bramoullé, Yann; Djebbari, Habiba; … - Centre Interuniversitaire de Recherche en Analyse des … - 2010

We provide the first empirical application of a new approach proposed by Lee (2007) to estimate peer effects in a linear-in-means model. This approach allows to control for group-level unobservables and to solve the reflection problem. We investigate peer effects in student achievement in...

Persistent link: https://www.econbiz.de/10008542599

Innovative Sales, R&D and Total Innovation Expenditures: Panel Evidence on their Dynamics

Raymond, Wladimir; Mohnen, Pierre; Palm, Franz; Loeff, … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

unbalanced panel of enterprise data from five waves of the Community Innovation Survey during 1994-2004. We estimate by maximum … likelihood a dynamic panel data bivariate tobit with double-index sample selection accounting for individual effects. We find … données de panel de cinq vagues d'enquêtes d'innovation communautaires (CIS) aux Pays-Bas couvrant la période 1994 à 2004 …

Persistent link: https://www.econbiz.de/10005078716

Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions

Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2000

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

Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

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

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 Analyse des … - 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/10005100677

Régulation et mode de gestion : une étude économétrique sur les prix et la performance dans le secteur de l'eau potable

Boyer, Marcel; Garcia, Serge - Centre Interuniversitaire de Recherche en Analyse des … - 2008

services in order to compare their performance and pricing. We estimate the models from panel data in France. We show that the …'eau potable afin de comparer leurs performances et la tarification. Nous estimons ces modèles sur des données de panel en France …

Persistent link: https://www.econbiz.de/10005100789

Persistence of Innovation in Dutch Manufacturing: Is it Spurious?

Raymond, Wladimir; Mohnen, Pierre; Palm, Franz; Loeff, … - Centre Interuniversitaire de Recherche en Analyse des … - 2006

1998-2000. We estimate by maximum likelihood a dynamic panel data type 2 tobit model accounting for individual effects and … données de panel avec effets individuels et traitement explicite des conditions initiales. Nous concluons qu'il n'y a pas de …

Persistent link: https://www.econbiz.de/10005100853

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 Analyse des … - 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/10005100885

Simulation Based Finite and Large Sample Tests in Multivariate Regressions

Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2000

In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a generalmethod for constructing exact tests of possible nonlinear hypotheses on the coefficients...

Persistent link: https://www.econbiz.de/10005100889