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On Optimal Instrumental Variables Generators: An Application to Hedge Funds Returns

Racicot, François-Éric; Théoret, Raymond - In: International Advances in Economic Research 14 (2008) 4, pp. 473-474

Persistent link: https://www.econbiz.de/10005705535

A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited

Coen, Alain; Racicot, Francois-Éric - Départment des sciences administratives, Université … - 2006

an estimator based on cumulants of order three and four initially developed by Dagenais and Dagenais (1997) and lated …

Persistent link: https://www.econbiz.de/10005773131

Specification and aggregation errors in environmentally extended input–output models

Bouwmeester, Maaike C.; Oosterhaven, Jan - In: Environmental & resource economics : the official … 56 (2013) 3, pp. 307-335

Persistent link: https://www.econbiz.de/10010207856

A general property for time aggregation

Alexander, Carol; Rauch, Johannes - In: European journal of operational research : EJOR 291 (2021) 2, pp. 536-548

Persistent link: https://www.econbiz.de/10012495339

Removing specification errors from the usual formulation of binary choice models

Swamy, Paravastu A. V. B.; Chang, I-Lok; Mehta, Jatinder S. - In: Econometrics 4 (2016) 2, pp. 1-21

We develop a procedure for removing four major specification errors from the usual formulation of binary choice models. The model that results from this procedure is different from the conventional probit and logit models. This difference arises as a direct consequence of our relaxation of the...

Persistent link: https://www.econbiz.de/10011755331

The Pástor-Stambaugh empirical model revisited : evidence from robust instruments

Racicot, François-Éric; Rentz, William F. - In: The journal of asset management 16 (2015) 5, pp. 329-341

Persistent link: https://www.econbiz.de/10011416607

Evidence for state and time nonseparable preferences : the case of Finland

Virk, Nader Shahzad - In: Applied financial economics 23 (2013) 22/24, pp. 1821-1838

Persistent link: https://www.econbiz.de/10010337260

Removing specification errors from the usual formulation of binary choice models

Swamy, Paravastu A. V. B.; Chang, I-Lok; Mehta, Jatinder S. - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10011506387

A Monte Carlo study of time varying coefficient (TVC) estimation

Hall, Stephen G.; Gibson, Heather D.; Tavlas, George S.; … - In: Computational economics 56 (2020) 1, pp. 115-130

Persistent link: https://www.econbiz.de/10012272018

Specification errors of asset-pricing models for a market characterized by few large capitalization firms

Virk, Nader Shahzad; Butt, Hilal Anwar - In: Journal of economics and finance 40 (2016) 1, pp. 68-84

Persistent link: https://www.econbiz.de/10011589943

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