Narrow search
Showing 1 - 10 of 47
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
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...
Persistent link: https://www.econbiz.de/10010295747
Cover Image
Exact tests and confidence sets for the tail coefficient of a-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003
statistische Theorie für die Monte-Carlo-Methode wird abgeleitet. Anhand einer Simulationsuntersuchung wird die Effizienz von …
Persistent link: https://www.econbiz.de/10010295764
Cover Image
The demand for money during the German hyperinflation : a recursive stability analysis
Dufour, Jean-Marie - 1982
Persistent link: https://www.econbiz.de/10000809014
Cover Image
On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression
Dufour, Jean-Marie; Valéry, Pascale - 2006
Persistent link: https://www.econbiz.de/10003331387
Cover Image
The Phillips Curve as a macroeconometric relation : evolution and recent econometric developments
Dufour, Jean-Marie; Scheufele, Rolf - In: Empirische Makroökonomik für Deutschland: Analysen, …, (pp. 27-48). 2009
Persistent link: https://www.econbiz.de/10003792075
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
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...
Persistent link: https://www.econbiz.de/10011431982
Cover Image
Exact tests and confidence sets for the tail coefficient of α-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003
statistische Theorie für die Monte-Carlo-Methode wird abgeleitet. Anhand einer Simulationsuntersuchung wird die Effizienz von …
Persistent link: https://www.econbiz.de/10011432250
Cover Image
Control function methods in applied econometrics
Wooldridge, Jeffrey M. - In: Journal of human resources : JHR 50 (2015) 2, pp. 420-445
Persistent link: https://www.econbiz.de/10011305698
Cover Image
Finite population causal standard errors
Abadie, Alberto; Athey, Susan; Imbens, Guido; … - 2014
Persistent link: https://www.econbiz.de/10010393956