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Identification-robust inference for endogeneity parameters in linear structural models

Tchatoka, Firmin Doko; Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2014

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...

Persistent link: https://www.econbiz.de/10011183777

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

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

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

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

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

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size...

Persistent link: https://www.econbiz.de/10005101027

Short Run and Long Run Causality in Time Series: Inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

Persistent link: https://www.econbiz.de/10005100843

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … between implied and realized volatilities (the variance risk premium) and we find that a positive variance risk premium (an … anticipated increase in variance) has more impact on returns than a negative variance risk premium. …

Persistent link: https://www.econbiz.de/10008855592

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options

Rombouts, Jeroen; Stentoft, Lars Peter; Violente, Francesco - Centre Interuniversitaire de Recherche en Analyse des … - 2012

allows to consistently estimate the risk neutral dynamics with a manageable computational effort in relatively large scale …

Persistent link: https://www.econbiz.de/10009652126

Efficient estimation using the Characteristic Function

Carrasco, Marine; Kotchoni, Rachidi - Centre Interuniversitaire de Recherche en Analyse des … - 2013

The method of moments proposed by Carrasco and Florens (2000) permits to fully exploit the information contained in the characteristic function and yields an estimator which is asymptotically as efficient as the maximum likelihood estimator. However, this estimation procedure depends on a...

Persistent link: https://www.econbiz.de/10011183737

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