The new distribution class, Asymmetric Exponential Power Distribution (AEPD), proposed in this paper generalizes the class of Skewed Exponential Power Distributions (SEPD) in a way that in addition to skewness introduces different decay rates of density in the left and right tails. Our...

This paper proposes tests for stochastic dominance in mobility based on the empirical likelihood ratio. Two views of mobility are considered, either based on measures of absolute mobility or on transition matrices. First-order and second-order dominance conditions in mobility are first derived,...

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 rational...

We propose to compute the implied expected returns from several candidate mean-variance efficient portfolios, exploiting the fundamental relation between the expected returns, covariance matrix and the corresponding set of mean-variance efficient portfolios. Over the 1987-2012 period and for the...

In this paper, we explore the contribution of introducing a flexible form for household consumption in a macro-micro modelling context for poverty and income distribution analysis. The almost ideal demand system exhibits interesting features allowing for the introduction of inter-household...

This paper considers various asymptotic approximations in the near-integrated firstorder autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero initial condition, to derive the expansion of...

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The permanent component is a standard...

Dans ce texte, nous revoyons certains développements récents de l’économétrie qui peuvent être intéressants pour des chercheurs dans des domaines autres que l’économie et nous soulignons l’éclairage particulier que l’économétrie peut jeter sur certains thèmes généraux de...

This paper studies seemingly unrelated linear models with integrated regressors and stationary errors.

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