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Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes.
Dufour, J.M.; Torres, O. - Centre Interuniversitaire de Recherche en Économie … - 2000
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models.
Persistent link: https://www.econbiz.de/10005729533
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Simulation-Based Finite and Large Sample Tests in Multivariate Regressions.
Dufour, J.M.; Khalaf, L. - Centre Interuniversitaire de Recherche en Économie … - 2000
criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of …
Persistent link: https://www.econbiz.de/10005353092
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Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions.
DUFOUR, Jean-Marie; KHALAF, Lynda - Département de Sciences Économiques, Université de … - 2000
Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We … statistics are pivotal under the null, which provides the justification for applying MC tests. Furthermore, we extend the exact … induced tests based on a set of simultaneous Harvey/Phillips-type tests and suggest a simulation-based solution to the …
Persistent link: https://www.econbiz.de/10005353294
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Non-Nested Pretest Tests.
Michelis, L. - University of Western Ontario, Department of Economics - 1995
Persistent link: https://www.econbiz.de/10005730758
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Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes.
Dolado, Juan J.; Mármol, Francisco - Banco de España - 1996
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.
Persistent link: https://www.econbiz.de/10005088308
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Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes.
Dolado, J.J.; Marmol, F. - 1996
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.
Persistent link: https://www.econbiz.de/10005618385
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On the Size and Power of System Tests for Cointegration.
Bewley, R.; Yang, M. - School of Economics, UNSW Business School - 1996
It is argued that size distortions and power properties of likelihood based tests for cointegration are so poor in many …
Persistent link: https://www.econbiz.de/10005631355
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Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes.
DUFOUR, Jean-Marie; TORRÈS, Olivier - Département de Sciences Économiques, Université de … - 2000
-sided autoregression to which standard classical linear regression inference techniques can be applied. We show how to derive tests and …
Persistent link: https://www.econbiz.de/10005353169
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Simulation-Based Finite and Large Sample Tests in Multivariate Regressions.
DUFOUR, Jean-Marie; KHALAF, Lynda - Département de Sciences Économiques, Université de … - 2000
criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of …. Implications for inference are two-fold. First, invariance to nuisance parameters entails that the technique of Monte Carlo tests … can be applied on all these statistics to obtain exact tests of uniform linear hypotheses. Second, the invariance property …
Persistent link: https://www.econbiz.de/10005353465
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White Noise and Other Experiments on Augmented Dickey-Fuller.
Fox, K. - School of Economics, UNSW Business School - 1995
Persistent link: https://www.econbiz.de/10005776970