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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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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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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2005
In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...
Persistent link: https://www.econbiz.de/10008671570
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Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2003
distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …
Persistent link: https://www.econbiz.de/10005133053
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Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 2003
distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …
Persistent link: https://www.econbiz.de/10005133161
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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
DUFOUR, Jean-Marie; FARHAT, Abdeljelil; HALLIN, Marc - Centre Interuniversitaire de Recherche en Économie … - 2005
We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential...
Persistent link: https://www.econbiz.de/10008671553
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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.
DUFOUR, Jean-Marie; KHALAF, Lynda; BERNARD, Jean-Thomas - Département de Sciences Économiques, Université de … - 2001
A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although … that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap … conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of …
Persistent link: https://www.econbiz.de/10005729710
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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
DUFOUR, Jean-Marie; FARHAT, Abdekjelik; HALLIN, Marc - Département de Sciences Économiques, Université de … - 2005
We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential...
Persistent link: https://www.econbiz.de/10005729725
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Bootstrap tests in linear models with many regressors
Richard, Patrick - Département d'économique, Faculté d'administration - 2014
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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The Information Content of Implied Probabilities to Detect Structural Change
Guay, Alain; Lamarche, Jean-François - Centre Interuniversitaire sur le Risque, les Politiques … - 2008
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...
Persistent link: https://www.econbiz.de/10005015266