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...

This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. Our approach is based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria that can...

La littérature sur l'instabilité macroéconomique couvre un champ extrêmement vaste qui se révèle par le spectre très large de mesures utilisées pour appréhender ce phénomène. Le choix de la mesure de l'instabilité macroéconomique apparait généralement peu discuté sous le...

This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer-von-Mises type tests and calculate power of these tests...

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size...

Les relations entre les variables sociodémographiques et la pauvreté ont été étudiées à partir des données issues du recensement général de la population et de l'habitation de 2002 avec un modèle de régression fondé sur les caractéristiques d'habitation et les conditions de vie des...

The influence of relative wealth on fairness considerations is analyzed in an ultimatum game experiment in which participants receive large and widely unequal initial endowments. Subjects initially demonstrate a concern for fairness. With time however, behavior becomes at odds with both subgame...

We apply several recently proposed tests for structural breaks in conditional variance and covariance dynamics. The tests apply to both the class of ARCH and SV type processes and allow for long memory features. We also apply them to data-driven volatility estimators using high-frequency data...