Similar Search Results

Simple estimators and inference for higher-order stochastic volatility models

Ahsan, Nazmul; Dufour, Jean-Marie - In: Journal of econometrics 224 (2021) 1, pp. 181-197

Persistent link: https://www.econbiz.de/10013275370

A simple efficient moment-based estimator for the stochastic volatility model

Ahsan, Nazmul; Dufour, Jean-Marie - 2019

Persistent link: https://www.econbiz.de/10012244154

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

Monte Carlo tests with nuisance parameters : a general approach to finite-sample inference and nonstandard asymptotics

Dufour, Jean-Marie - In: Journal of econometrics 133 (2006) 2, pp. 443-477

Persistent link: https://www.econbiz.de/10003359541

Hodges-Lehmann sign-based estimators and generalized confidence distributions in linear median regressions with moment-free heterogenous errors and dependence of unknown form

Coudin, Elise; Dufour, Jean-Marie - 2008

Persistent link: https://www.econbiz.de/10003871341

Multivariate tests of mean-variance efficiency with possibly non-Gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 398-410

Persistent link: https://www.econbiz.de/10003566050

Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49

Persistent link: https://www.econbiz.de/10003876273

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

Identification-robust inference for endogeneity parameters in linear structural models

Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2012

Persistent link: https://www.econbiz.de/10009624382

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