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ONATSKI, Alexei; RUGE-MURCIA, Francisco J. - Département de Sciences Économiques, Université de … - 2010

We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allows us to shed some light on the practical...

Persistent link: https://www.econbiz.de/10010933690

Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis

DUFOUR, Jean-Marie Dufour; KHALAF, Lynda; KICHIAN, Maral - Département de Sciences Économiques, Université de … - 2005

Persistent link: https://www.econbiz.de/10005353311

Inflation Dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis

DUFOUR, Jean-Marie; KHALAF, Lynda; KICHIAN, Maral - Centre Interuniversitaire de Recherche en Économie … - 2005

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve … concerning: (i) identification difficulties, (ii) backward-looking behavior, and (ii) the frequency of price adjustments. Overall … findings underscore the need for employing identification robust inference methods in the estimation of expectations …

Persistent link: https://www.econbiz.de/10008671536

Factor Analysis of a Large DSGE Model

ONATSKI, Alexei; RUGE-MURCIA, Francisco J. - Centre Interuniversitaire de Recherche en Économie … - 2010

We study the workings of the factor analysis of high-dimensional data using arti?cial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical bene?ts...

Persistent link: https://www.econbiz.de/10008671571

The Econometrics of Social Networks

Bramoullé, Yann; Fortin, Bernard - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

on both aspects of social networks and discuss the identification and estimation issues they raise. …

Persistent link: https://www.econbiz.de/10005015238

Identification of Peer Effects through Social Networks

Bramoullé, Yann; Djebbari, Habiba; Fortin, Bernard - Centre Interuniversitaire sur le Risque, les Politiques … - 2007

We provide new results regarding the identification of peer effects. We consider an extended version of the linear … cases, we provide easy-to-check necessary and sufficient conditions for identification. We show that endogenous and … exogenous effects are generally identified under network interaction, although identification may fail for some particular …

Persistent link: https://www.econbiz.de/10005015298

Identification, Weak Instruments and Statistical Inference in Econometrics

DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2003

We discuss statistical inference problems associated with identification and testability in econometrics, and we …

Persistent link: https://www.econbiz.de/10005133053

Identification, Weak Instruments and Statistical Inference in Econometrics

DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 2003

We discuss statistical inference problems associated with identification and testability in econometrics, and we …

Persistent link: https://www.econbiz.de/10005133161

Gini-PLS Regressions

Mussard, Stephane; Souissi-Benrejab, Fattouma - Département d'économique, Faculté d'administration - 2015

Data contamination and excessive correlations between regressors (multicollinearity) constitute a standard and major problem in econometrics. Two techniques enable solving these problems, in separate ways: the Gini regression for the former, and the PLS (partial least squares) regression for the...

Persistent link: https://www.econbiz.de/10011272942

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 Économie … - 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/10005346022