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Exact tests and confidence sets for the tail coefficient of α-stable distributions

Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003

In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of α-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...

Persistent link: https://www.econbiz.de/10011432250

Exact confidence sets and goodness-of-fit methods for stable distributions

Beaulieu, Marie-Claire; Dufour, Jean-Marie; Khalaf, Lynda - 2015

Persistent link: https://www.econbiz.de/10011411352

Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions : invariance and finite-sample distributional theory

Tchakota, Firmin Doko; Dufour, Jean-Marie - 2016

Persistent link: https://www.econbiz.de/10011502519

Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with hetereogenous dependent errors

Coudin, Elise; Dufour, Jean-Marie - 2017

Persistent link: https://www.econbiz.de/10011610097

Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory

Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2016

Persistent link: https://www.econbiz.de/10011578259

Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory

Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2016

Persistent link: https://www.econbiz.de/10011592683

Identification-robust moment-based tests for Markov switching in autoregressive models

Dufour, Jean-Marie; Luger, Richard - In: Econometric reviews 36 (2017) 6/9, pp. 713-727

Persistent link: https://www.econbiz.de/10011795382

Exact nonparametric two-sample homogeneity tests for possibly discrete distributions

Dufour, Jean-Marie; Farhat, Abdeljelil - 2001

Persistent link: https://www.econbiz.de/10001649024

Exact tests and confidence sets for the tail coefficient of α-stable distributions

Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003

In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of a-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...

Persistent link: https://www.econbiz.de/10001818512

Finite-sample diagnostics for multivariate regressions with applications to linear asset pricing models

Dufour, Jean-Marie (contributor); Khalaf, Lynda (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947817