Similar Search Results - EconBiz

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

Exact optimal and adptive inference in regression models under heteroskedasticity and non-normality of unknown forms

Dufour, Jean-Marie; Taamouti, Abderrahim - 2008

Persistent link: https://www.econbiz.de/10003915193

Estimators of the disturbance variance in econometric models : small-sample bias and the existence of moments

Dufour, Jean-Marie - In: Journal of econometrics 37 (1988) 2, pp. 277-292

Persistent link: https://www.econbiz.de/10003533625

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

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

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

of confidence interval for estimates is usually based. Statistical theory for the MC method is given. A simulation study …

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

Finite and large sample distribution-free inference in median regressions with instrumental variables

Coudin, Elise; Dufour, Jean-Marie - 2010 - Rev.

Persistent link: https://www.econbiz.de/10009406540

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244

Identification-robust inference for endogeneity parameters in linear structural models

Doko Tchatoka, Firmin; Dufour, Jean-Marie - In: The econometrics journal 17 (2014) 1, pp. 165-187

Persistent link: https://www.econbiz.de/10010498748

Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions

Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - In: Journal of empirical finance 17 (2010) 2, pp. 180-194

Persistent link: https://www.econbiz.de/10009271855

Asymptotic distributions for quasi-efficient estimators in echelon VARMA models

Dufour, Jean-Marie; Jouini, Tarek - 2015

Persistent link: https://www.econbiz.de/10011411399

A service of the