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Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off

Perron, Benoit - Centre Interuniversitaire de Recherche en Analyse des … - 2002

Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors and with higher-order dependence between...

Persistent link: https://www.econbiz.de/10005100969

Semiparametric Innovation-Based Tests of Orthogonality and Causality Between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions

Bouhaddioui, Chafik; Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2011

weights depend on a kernel function and a truncation parameter. The asymptotic distributions of the test statistics under the … null hypothesis are derived, and consistency is established against fixed alternatives of serial cross-correlation of … number of lags, can be viewed as a special case of our procedure based on the truncated uniform kernel. A simulation study is …

Persistent link: https://www.econbiz.de/10008855594

Economic Policy when Models Disagree

Barrieu, Pauline; Sinclair-Desgagné, Bernard - Centre Interuniversitaire de Recherche en Analyse des … - 2009

This paper proposes a general way to craft public policy when there is no consensual account of the situation of interest. The design builds on a dual extension of the traditional theory of economic policy. It does not require a representative policymaker's utility function (as in the literature...

Persistent link: https://www.econbiz.de/10005100593

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