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Bootstrap tests in linear models with many regressors
Richard, Patrick - Département d'économique, Faculté d'administration - 2014
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 … the wild bootstrap in the presence of heteroskedasticity and to bootstrap methods for heavy tailed data. …
Persistent link: https://www.econbiz.de/10010942759
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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
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Short Run and Long Run Causality in Time Series : Inference
DUFOUR, Jean-Marie; PELLETIER, Denis; RENAULT, Éric - Centre Interuniversitaire de Recherche en Économie … - 2003
techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case …
Persistent link: https://www.econbiz.de/10005353062
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Simulation-Based Finite and Large Sample Tests in Multivariate Regressions.
DUFOUR, Jean-Marie; KHALAF, Lynda - Département de Sciences Économiques, Université de … - 2000
to be used in conjunction with more traditional simulation-based test methods (e.g., the parametric bootstrap) which may …
Persistent link: https://www.econbiz.de/10005353465
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A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
Bouezmarni, Taoufik; Rombouts, Jeroen V.K.; Taamouti, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
bootstrap technique that we use in finite sample settings. A simulation study illustrates the good size and power properties of …
Persistent link: https://www.econbiz.de/10008528557
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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 emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005133053
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Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models
DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003
We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...
Persistent link: https://www.econbiz.de/10005133089
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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 emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005133161
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On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests
Saphores, Jean-Daniel; Khalaf, Lynda; Pelletier, Denis - Groupe de recherche en économie de l'énergie, de … - 2000
discrete, unexpected events. To test for the presence of jumps and ARCH effects, we propose to use bounds and bootstrap test …
Persistent link: https://www.econbiz.de/10005067687
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Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions
Dufour, Jean-Marie; Khalaf, Lynda - Groupe de recherche en économie de l'énergie, de … - 2001
In this paper, we propose finite and large sample likelihood based test procedures for possibly non-linear hypotheses on the coefficients of SURE systems. Two complementary approaches are described. First, we propose an exact Monte Carlo bounds test based on the standard likelihood ratio...
Persistent link: https://www.econbiz.de/10005696246