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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. It is well known that this test’s accuracy in terms of rejection probability under the null depends greatly on the underlying DGP. Through extensive simulations, we find that...

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

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 that the resulting bias corrected estimator is consistent and …

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

An Extension of the Concordet Criterion and Kemeny Orders

Truchon, Michel - Département d'Économique, Université Laval - 1998

The usual Condorcet Criterion says that if an alternative is ranked ahead of all other alternatives by an absolute majority of voters, it should be declared the winner. The following partial extension of this criterion to other ranks is proposed: If an alternative is consistently ranked ahead of...

Persistent link: https://www.econbiz.de/10005696427

Aggregations and Marginalization of GARCH and Stochastic Volatility Models

MEDDAHI, Nour; RENAULT, Éric - Département de Sciences Économiques, Université de … - 1998

weakens the GARCH structure in order to obtain required robustness properties with respect to various kinds of aggregation. It … assumptions, thanks to a state-space setting, we obtain aggregation results without renouncing to the conditional variance concept … (and related leverage effects), as it is the case for the recently suggested weak GARCH model which gets aggregation …

Persistent link: https://www.econbiz.de/10005353319

Tests of Joint Hypotheses for Time Series Regression with a Unit Root

Perron, P. - Département de Sciences Économiques, Université de … - 1986

and Fuller (1981) in a Less General Framework. the Limiting Distributions Are Found Using Functinal Central Limit Theory …

Persistent link: https://www.econbiz.de/10005729885

Methodology in Economics: the Logic of Appraisal

Perron, P. - Département de Sciences Économiques, Université de … - 1985

This Paper Intends to Develop a Coherent Methodological Framework Concerned with the Appraisal of Scientific Theories in Economics, and Which Is Based on a Postulated Aim of Science. We First Define the Scope of a Methodological Inquiry (Precise Definition of What Is Meant by the Logic of...

Persistent link: https://www.econbiz.de/10005731916

Is the Environmental Kuznets Curve hypothesis valid for developing countries? A survey

He, Jie - Département d'économique, Faculté d'administration - 2007

This paper surveys the existing Environmental Kuznets Curve studies and discusses to what extent they may be valid and applicable for developing countries. We found that, given the shortcomings in both the theoretical and empirical aspects of the analyses applied to this hypothesis, no...

Persistent link: https://www.econbiz.de/10005609426

Rate-Of-Return Regulated Cost Function: Shephard's Lemma and Curvature Properties

Lasserre, P.; Ouellette, P. - Département de Sciences Économiques, Université de … - 1987

In This Note, We Present the Appropriate Forms of Shephard's Lemma, As Well As the Curvature and Homogeneity Properties, for the Case of a Rate-Of- Return Regulated Cost Function Where Capital Is a Quasi-Fixed Input.

Persistent link: https://www.econbiz.de/10005170716