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Bootstrap Methods in Econometrics
MacKinnon, James G. - Economics Department, Queen's University - 2006
There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as … regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work … very well. However, there are many other cases, such as regression models with dependent errors, in which bootstrap methods …
Persistent link: https://www.econbiz.de/10005688288
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Bootstrap Hypothesis Testing
MacKinnon, James G. - 2007
This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of … computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that … there are many different procedures for generating bootstrap samples for regression models and other types of model. As an …
Persistent link: https://www.econbiz.de/10011940741
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Bootstrap Hypothesis Testing
MacKinnon, James G. - Economics Department, Queen's University - 2007
This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of … computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that … there are many different procedures for generating bootstrap samples for regression models and other types of model. As an …
Persistent link: https://www.econbiz.de/10005688319
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...
Persistent link: https://www.econbiz.de/10005346022
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Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2003
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005133053
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Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models
DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003
We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...
Persistent link: https://www.econbiz.de/10005133089
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Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 2003
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005133161
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Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2000
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. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to...
Persistent link: https://www.econbiz.de/10005100560
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...
Persistent link: https://www.econbiz.de/10005100677
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Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing
Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2005
the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading … asymptotique ou une technique de bootstrap. Après avoir montré que ces méthodes peuvent être très peu fiables, même avec des …
Persistent link: https://www.econbiz.de/10005100698