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Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing

DUFOUR, Jean-Marie; JOUINI, Tarek - Centre Interuniversitaire de Recherche en Économie … - 2005

the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading …

Persistent link: https://www.econbiz.de/10008671539

Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form

DUFOUR, Jean-Marie; JOUINI, Tarek - Centre Interuniversitaire de Recherche en Économie … - 2005

In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...

Persistent link: https://www.econbiz.de/10008671561

Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics

DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2005

asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general …

Persistent link: https://www.econbiz.de/10008671575

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

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

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

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

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

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

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