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Structural change tests based on implied probabilities for gel criteria

Guay, Alain; Lamarche, Jean-François - In: Econometric theory 28 (2012) 6, pp. 1186-1228

Persistent link: https://www.econbiz.de/10009743176

Structural change tests for GEL criteria

Guay, Alain; Lamarche, Jean-François - In: Econometric reviews 37 (2018) 6/10, pp. 1000-1032

Persistent link: https://www.econbiz.de/10012040528

A robust bootstrap test under heteroskedasticity

Lamarche, Jean-François - In: Economics letters 79 (2003) 3, pp. 353-359

Persistent link: https://www.econbiz.de/10001755285

Instrumental variable estimation of a nonlinear Taylor rule

Koustas, Zisimos; Lamarche, Jean-François - In: Empirical economics : a journal of the Institute for … 42 (2012) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10009487396

Information-theoretic estimation of preference parameters : macroeconomic applications and simulation evidence

Gregory, Allan W.; Lamarche, Jean-François; Smith, … - In: Journal of econometrics 107 (2002) 1/2, pp. 213-233

Persistent link: https://www.econbiz.de/10001651284

Optimal predictive tests

Guay, Alain - In: Econometric reviews 22 (2003) 4, pp. 379-410

Persistent link: https://www.econbiz.de/10001843551

Identification of structural Vector Autoregressions through higher unconditional moments

Guay, Alain - In: Journal of econometrics 225 (2021) 1, pp. 27-46

Persistent link: https://www.econbiz.de/10013279004

A data-driven nonparametric specification test for dynamic regression models

Guay, Alain; Guerre, Emmanuel - In: Econometric theory 22 (2006) 4, pp. 543-586

Persistent link: https://www.econbiz.de/10003351859

Identification of technology shocks in structural VARs

Fève, Patrick (contributor); Guay, Alain (contributor) - 2006

Persistent link: https://www.econbiz.de/10003284518

Adaptive rate-optimal detection of small autocorrelation coefficient

Guay, Alain; Guerre, Emmanuel; Lazarová, Štepána - 2009

A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...

Persistent link: https://www.econbiz.de/10003850599