This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in...

Using Monte Carlo experiments, we assessed the finite sample properties of dynamic panel data estimators with fixed effects when < , the results tell us that, we must to have 30 for using within estimator who is, among all estimators, the best when < with very low.

Using Monte Carlo experiments, we assessed the finite sample properties of dynamic panel data estimators with fixed effects when N =30.

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

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...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

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...

The CAPM theory provides a measure of the sensitivity of an asset to the market called the systematic risk. The Beta of equity is estimated by its market line. According to the OLS hypothesis, it is stable over time but this is not empirically verified. Many studies are in favour with this fact...

Following the high variability of floating exchange rates after the collapse of the Bretton-Wood System, policymakers have increasingly relied on weighted exchange rate indexes (nominal effective exchange rate index) or indexes of competitiveness (real effective exchange rate or...

This paper presents a retropolation of regional sectoral employment's data series since 1967 to 2006. They have been computed from various INSEE's data series distributed along various nomenclatures. We present a technique based on 1° the "classical" (econometric + RAS) method and 2° a matrix...