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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2005

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:...

Persistent link: https://www.econbiz.de/10005100838

Identification, Weak Instruments and Statistical Inference in Econometrics

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2003

distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …

Persistent link: https://www.econbiz.de/10005100952

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although … that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap … conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type or …

Persistent link: https://www.econbiz.de/10005101027

Economies d?échelle, économies de diversification et efficacité productive des banques luxembourgeoises : une analyse comparative des frontières stochastiques sur données en panel...

Rouabah, Abdelaziz - Central Bank of Luxembourg - 2002

This study analyses productive efficiency in banking and scale and scope economies using stochastic frontier analysis. The European banking sector underwent great changes during the period under study (1995-2000), featuring a marked increase in competition. Empirical results suggest that...

Persistent link: https://www.econbiz.de/10009276951

Does the credit channel work in Europe? A study based on the heterogeneity of investment behaviours from aggregated balance-sheet data

BEAUDU, A.; HECKEL, Th. - Département des Études Économiques d'Ensemble (D3E), … - 2001

This article studies the impact of monetary policy on real economy in Europe through a particular transmission mechanism: the credit channel. The credit channel is based on the existence of information asymmetries in financial markets that change the agents financing conditions. According to the...

Persistent link: https://www.econbiz.de/10009001095

Factors in business investment: an expectation based approach using business survey data

NABOULET, A.; RASPILLER, S. - Département des Études Économiques d'Ensemble (D3E), … - 2004

This paper analyses the determinants of the investment decision by focusing on the firms subjective judgments about the impact of some economic factors. This work uses data from the INSEEs business surveys on investment in the industry, over the period 1991-2002. In October, these data contain...

Persistent link: https://www.econbiz.de/10009003480

Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue

Flachaire, Emmanuel - In: Annales d'économie et de statistique 77 (2005), pp. 187-199

Persistent link: https://www.econbiz.de/10003190829

Hétérogénéité spatiale : principes et méthodes

Le Gallo, Julie - In: Economie & prévision : EP 162 (2004) 1, pp. 151-172

Persistent link: https://www.econbiz.de/10002352694

Un test d'hétéroscédasticité conditionnelle inspiré de la modélisation en termes de réseaux neuronaux artificiels

Caulet, Renaud; Péguin-Feissolle, Anne - In: Annales d'économie et de statistique (2000), pp. 177-197

Persistent link: https://www.econbiz.de/10001536355

Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2001

heteroskedasticity, non-normality or dynamic specification. We point out that these difficulties often originate from the ambition to …

Persistent link: https://www.econbiz.de/10005101036

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