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Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition

PERRON, Pierre; VODOUNOU, Cosme - Département de Sciences Économiques, Université de … - 1998

This paper considers various asymptotic approximations in the near-integrated firstorder autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero initial condition, to derive the expansion of...

Persistent link: https://www.econbiz.de/10005545707

Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models

ABDELKHALEK, Touhami; DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 1998

We consider the problem of accessing the uncertainty of calibrated parameters in computable general equilibrium (CGE) models through the construction of confidence sets (or intervals) for these parameters. We study two different setups under which this can be done.

Persistent link: https://www.econbiz.de/10005133130

An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests.

Perron, P.; Ng, S. - Département de Sciences Économiques, Université de … - 1996

Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression are commonly used. However, it is known that...

Persistent link: https://www.econbiz.de/10005133213

The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity.

MOON, Hyungsik Roger; PERRON, Benoit - Département de Sciences Économiques, Université de … - 2000

This paper studies seemingly unrelated linear models with integrated regressors and stationary errors. By adding leads and lags of the first differences of the regressors and estimating this augmented dynamic regression model by feasible generalized least squares using the long-run covariance...

Persistent link: https://www.econbiz.de/10005353140

Upper Semicontinuous Extensions of Binary Relations.

BOSSERT, Walter; SPRUMONT, Yves; SUZUMURA, Kotaro - Département de Sciences Économiques, Université de … - 2002

Suzumura shows that a binary relation has a weak order extension if and only if it is consistent. However, consistency … consistence rather than transitive relations. For asymmetric relations, consistency and upper semicontinuity suffice. For more … general relations, we prove one theorem using a further consistency property and another with an additional continuity …

Persistent link: https://www.econbiz.de/10005729752

Aggregations and Marginalization of GARCH and Stochastic Volatility Models

MEDDAHI, Nour; RENAULT, Éric - Département de Sciences Économiques, Université de … - 1998

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the … the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable … stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but …

Persistent link: https://www.econbiz.de/10005353319

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

DUFOUR, Jean-Marie; KHALAF, Lynda; BERNARD, Jean-Thomas - Département de Sciences Économiques, Université de … - 2001

) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one …

Persistent link: https://www.econbiz.de/10005729710

The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation

PERRON, Pierre; MALLET, Sylvie - Département de Sciences Économiques, Université de … - 1998

This note investigates the adequacy of the finite-sample approximation provided by the Functional Central Limit Theorem (FCLT) when the errors are allowed to be dependent. We compare the distribution of the scaled partial sums of some data with the distribution of the Wiener process to which it...

Persistent link: https://www.econbiz.de/10005729728

Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables

GARCIA, René; LUGER, Richard; RENAULT, Éric - Département de Sciences Économiques, Université de … - 2001

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option...

Persistent link: https://www.econbiz.de/10005729742

Simulation-Based Finite-Sample Normality Tests in Linear Regressions

DUFOUR, Jean-Marie; FARHAT, Abdeljelil; GARDIOL, Lucien - Département de Sciences Économiques, Université de … - 1998

In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the location-scale model; hence reliance on...

Persistent link: https://www.econbiz.de/10005133127