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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

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

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including … dans le contexte du modèle du CAPM (Capital Asset Pricing Model), permettent de considérer diverses classes de …

Persistent link: https://www.econbiz.de/10005100885

Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis

Hodgson, Douglas James; Seckin, Aylin - Centre Interuniversitaire de Recherche en Analyse des … - 2011

Although the market for Canadian paintings is now of substantial magnitude, with several works having recently sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and held only by Canadian...

Persistent link: https://www.econbiz.de/10008833341

Nonlinearity and Temporal Dependence

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

Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions

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

-based tests. The power of the MC induced tests improves appreciably in comparison to standard Bonferroni tests and in certain …

Persistent link: https://www.econbiz.de/10005100560

A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure

Ghysels, Eric; Ng, Serena - Centre Interuniversitaire de Recherche en Analyse des … - 1997

Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility functions are affine functions of the state variable process. These models involve very specific parametric choices of factors and functional specifications of the drift and...

Persistent link: https://www.econbiz.de/10005100561

Testing Normality: A GMM Approach

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

is unspecified. We also make a theoretical comparison of our tests with Jarque and Bera (1980) and OPG regression tests …

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

Simulation-based estimation methods have become more widely used in recent years. We propose a set of tests for structural change in models estimates via Simulated Method of Moments (see Duffie and Singleton (1993)). These tests extend the recent work of Andrews (1993) and Sowell (1996a, b)...

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