Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with fairly large samples, especially when the number...

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

We consider testing for long-run homogeneity within a dynamic consumer demand system allowing for non-stationarities. The static long-run solution is assumed to follow the Linear Almost Ideal Demand System and we test for long-run homogeneity within this system utilizing a triangular...

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:...

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...

French Abstract: L'objectif de cet article est d'étudier le lien de causalité entre l'approfondissement financier de l'intermédiation financière bancaire et la croissance économique dans le cas de la Tunisie. Les données utilisées sont de périodicités annuelles et s'étalent de 1980 à...

French Abstract: L'objectif de cet article est d'étudier le lien de causalité entre l'approfondissement financier de l'intermédiation financière bancaire et la croissance économique dans le cas de la Tunisie. Les données utilisées sont de périodicités annuelles et s'étalent de 1980 à...

The aim of this article is to examine the effects of insurance development on health expenditure and economic growth for 31 Organization for Economic Cooperation and Development (OECD) countries covering the period 1995-2015, using a panel causality approach. We also tested the causal effect of...

This paper seeks to explore the impact of oil price shocks, real industrial production and interest rate on stock prices for six oil exporting countries and five oil importing countries using nonlinear autoregressive distributed lags (NARDL)model using monthly data for the period 1993 :...

In this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the...