Dans ce texte, nous analysons les developpements recents de l'econometrie a la lumiere de la theorie des tests statistiques.

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not.

In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of possibly nonlinear hypotheses on the coefficients...

This paper is concerned with tests for seasonal unit roots in a univariate time series process. We construct test statistics which are similar, both exactly and asymptotically, with respect to both the initial values of the process and the possibility of differential seasonal dirft under the...

A sequential procedure for determination of trend degree and testing for unit root is introduced; its properties are investigated by Monte Carlo experiments. We compare the performance of Augmented Dickey-Fuller tests and the GLS tests of Elliott, Rothenberg and Srock (1996), in both cases with lag...

In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.

This paper considers the problem of testing for a nonstochastic seasonal unit root in a seasonally observed time-series process against the alternative of a randomized seasonel root with mean unity; that is, the process displays heteroscedastic seasonal integration.

In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.