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Time Reversibility of Stationary Regular Finite State Markov Chains

McCAUSLAND, William - Département de Sciences Économiques, Université de … - 2004

We propose an alternate parameterization of stationary regular finite-state Markov chains, and a decomposition of the parameter into time reversible and time irreversible parts. We demonstrate some useful properties of the decomposition, and propose an index for a certain type of time...

Persistent link: https://www.econbiz.de/10005353406

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

GLS Bias Correction for Low Order ARMA models

Richard, Patrick - Département d'économique, Faculté d'administration - 2007

We study the problems of bias correction in the estimation of low order ARMA(p, q) time series models. We introduce a new method to estimate the bias of the parameters of ARMA(p, q) process based on the analytical form of the GLS transformation matrix of Galbraith and Zinde-Walsh (1992). We show...

Persistent link: https://www.econbiz.de/10005609427

Un système de demandes AIDS dans un contexte EGC microsimulation pour l'analyse de pauvreté et des inégalités

Savard, Luc - Département d'économique, Faculté d'administration - 2004

Dans ce travail nous explorons la contribution en terme d’introduire de l’hétérogénéité inter ménages d’intégrer une fonction de demande flexible dans un cadre d’analyse de modélisation en équilibre général calculable de type micro-simulation multi-ménages intégré...

Persistent link: https://www.econbiz.de/10005609438

Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions

Guay, Alain; Pelgrin, Florian - Centre Interuniversitaire sur le Risque, les Politiques … - 2007

In this paper, we investigate the information content of implied probabilities (Back and Brown, 1993) to improve estimation in unconditional moment conditions models. We propose and evaluate two 3-step euclidian empirical likelihood estimators and their bias-correction versions for weakly...

Persistent link: https://www.econbiz.de/10005015234

Nonparametric Density Estimation for Multivariate Bounded Data

Bouezmarni, Taoufik; Rombouts, Jeroen V.K. - Centre Interuniversitaire sur le Risque, les Politiques … - 2007

We propose a new nonparametric estimator for the density function of multivariate bounded data. As frequently observed in practice, the variables may be partially bounded (e.g., nonnegative) or completely bounded (e.g., in the unit interval). In addition, the variables may have a point mass. We...

Persistent link: https://www.econbiz.de/10005015239

Semiparametric Multivariate Density Estimation for Positive Data Using Copulas

Bouezmarni, Taoufik; Rombouts, Jeroen V.K. - Centre Interuniversitaire sur le Risque, les Politiques … - 2007

In this paper we estimate density functions for positive multivariate data. We propose a semiparametric approach. The estimator combines gamma kernels or local linear kernels, also called boundary kernels, for the estimation of the marginal densities with semiparametric copulas to model the...

Persistent link: https://www.econbiz.de/10005015255

GENERALIZED MIXED ESTIMATION OF A MULTINOMIAL DISCRETECONTINUOUS CHOICE MODEL FOR ELECTRICITY DEMAND

Kalulumia, Pene; Bolduc, Denis - Département d'économique, Faculté d'administration - 2004

In this paper, we applied the generalized mixed estimation approach to the problem of estimating the Quebec residential electricity demand for space and water heating. A multinomial discrete-continuous choice model is used and estimated in two stages. The discrete choice is modelled as a...

Persistent link: https://www.econbiz.de/10005642169

Modified Fast Double Sieve Bootstraps for ADF Tests

Richard, Patrick - Département d'économique, Faculté d'administration - 2008

This paper studies the finite sample performance of the sieve bootstrap augmented Dickey-Fuller (ADF) unit root test … underlying DGP. Through extensive simulations, we find that it also depends on the numbers of lags employed in the bootstrap DGP … and in the bootstrap ADF regression. Based on this finding and using some well established theoretical results, we propose …

Persistent link: https://www.econbiz.de/10005642188