The recent crisis has revealed the potentially dramatic consequences of allowing the build-up of an overstretched leverage of the financial system, and prompted proposals by bank supervisors to significantly tighten bank capital requirements as part of the new Basel 3 regulations. Although these...

This paper is concerned with bootstrap hypothesis testing in high dimensional linear regression models. Using a theoretical framework recently introduced by Anatolyev (2012), we show that bootstrap F, LR and LM tests are asymptotically valid even when the numbers of estimated parameters and...

This paper proposes Pearson-type statistics based on implies probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith (1997)) assigns a set of probabilities to each observation such that moment conditions are satisfied. These restricted...

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...

The paper proposes and applies statistical tests for poverty dominance that check for whether poverty comparisons can be made robustly over ranges of poverty lines and classes of poverty indices. This helps provide both normative and statistical confidence in establishing poverty rankings across...

Dans ce texte, nous analysons les developpements recents de l'econometrie a la lumiere de la theorie des tests statistiques.

In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts.

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...

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...

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...