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On the Forecasting Accuracy of Multivariate GARCH Models
Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2010
model based one-step-ahead conditional variance forecasts over a period of 10 years using the model confidence set (MCS) and … conditional variance process generates superior forecasts. The SPA test suggests that, independently from the period, the best … models do not provide significantly better forecasts than the DCC model of Engle (2002) with leverage in the conditional …
Persistent link: https://www.econbiz.de/10008595652
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On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability. The ranking of multivariate volatility models is...
Persistent link: https://www.econbiz.de/10008567826
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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
In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...
Persistent link: https://www.econbiz.de/10005353311
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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 (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a rational...
Persistent link: https://www.econbiz.de/10008671536
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Multidimensional Poverty Dominance: Statistical Inference and an Application to West Africa
Batana, Yélé Maweki; Duclos, Jean-Yves - Centre Interuniversitaire sur le Risque, les Politiques … - 2008
This paper tests for robust multidimensional poverty comparisons across six countries of the West African Economic and Monetary Union (WAEMU). Two dimensions are considered, nutritional status and assets. The estimation of the asset index is based on two factorial analysis methods. The first...
Persistent link: https://www.econbiz.de/10005015291
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Comparing Multidimensional Poverty with Qualitative Indicators of Well-Being
Batana, Yélé Maweki; Duclos, Jean-Yves - Centre Interuniversitaire sur le Risque, les Politiques … - 2010
This paper examines multidimensional stochastic dominance when one of the indicators of well-being, such as household size or place of residence, is qualitative. It also uses a test for strict dominance based on the empirical likelihood ratio. Empirical applications are based on the DHS...
Persistent link: https://www.econbiz.de/10008630015
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Quadratic M-Estimators for ARCH-Type Processes
MEDDAHI, Nour; RENAULT, Éric - Département de Sciences Économiques, Université de … - 1998
This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account the covariance between the mean and the...
Persistent link: https://www.econbiz.de/10005729782
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Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
DUFOUR, Jean-Marie; FARHAT, Abdekjelik; KHALAF, Lynda - Département de Sciences Économiques, Université de … - 2005
Cet article illustre l’applicabilité des méthodes de rééchantillonnage dans le cadre des tests multiples (simultanés), pour divers problèmes économétriques. Les hypothèses simultanées sont une conséquence habituelle de la théorie économique, de sorte que le contrôle de la...
Persistent link: https://www.econbiz.de/10005729689
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Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics
DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 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/10005545677
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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 Économie … - 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/10008671569