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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

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

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

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

Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie

DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 2001

Dans ce texte, nous analysons les développements récents de l’économétrie à la lumière de la théorie des tests statistiques. Nous revoyons d’abord quelques principes fondamentaux de philosophie des sciences et de théorie statistique, en mettant l’accent sur la parcimonie et la...

Persistent link: https://www.econbiz.de/10005353148

Risk Aversion, Intertemporal Substitution, and Option Pricing

GARCIA, René; RENAULT, Éric - Département de Sciences Économiques, Université de … - 1998

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not...

Persistent link: https://www.econbiz.de/10005353166

Probabilistic Assignments of Identical Indivisible Objects and Uniform Probabilistic Rules.

EHLERS, Lars; KLAUS, Bettina - Département de Sciences Économiques, Université de … - 2001

We consider a probabilistic approach to the problem of assigning k indivisible identical objects to a set of agents with single-peaked preferences. Using the ordinal extension of preferences, we characterize the class of uniform probabilistic rules by Pareto efficiency, strategy-proofness, and...

Persistent link: https://www.econbiz.de/10005353427