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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
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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 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
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Exact Tests and Confidence Sets for the Tail Coefficient of A-Stable Distributions
Dufour, Jean-Marie - 2016
Persistent link: https://www.econbiz.de/10012991228
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Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie
Dufour, Jean-Marie - 2001
Persistent link: https://www.econbiz.de/10001614500
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Econométrie, théorie des tests et philosophie des sciences
Dufour, Jean-Marie - 2000
Persistent link: https://www.econbiz.de/10001574698
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Multivariate residual-based finite-sample tests for serial depenedence and ARCH effects with applications to asset pricing models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - In: Journal of applied econometrics 25 (2010) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10008667604
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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
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Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
Dufour, Jean-Marie; Valéry, Pascale - In: Journal of econometrics 150 (2009) 2, pp. 193-206
Persistent link: https://www.econbiz.de/10003858526
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Finite-sample simulation-based tests in seemingly unrelated regressions
Dufour, Jean-Marie; Khalaf, Lynda - In: Computer-aided econometrics, (pp. 11-35). 2003
Persistent link: https://www.econbiz.de/10002594801