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Simulation based finite and large sample tests in multivariate regressions

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Dufour, Jean-Marie
Khalaf, Lynda

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 111 (2002)
Issue (Month): 2 (December)
Pages: 303-322
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Handle: RePEc:eee:econom:v:111:y:2002:i:2:p:303-322

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January. [Downloadable!] (restricted)
  2. Kiviet, Jan F. & Dufour, Jean-Marie, 1997. "Exact tests in single equation autoregressive distributed lag models," Journal of Econometrics, Elsevier, vol. 80(2), pages 325-353, October. [Downloadable!] (restricted)
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  3. Theil, Henri & Shonkwiler, J. S. & Taylor, Timothy G., 1985. "A Monte Carlo test of Slutsky symmetry," Economics Letters, Elsevier, vol. 19(4), pages 331-332. [Downloadable!] (restricted)
  4. Laitinen, Kenneth, 1978. "Why is demand homogeneity so often rejected?," Economics Letters, Elsevier, vol. 1(3), pages 187-191. [Downloadable!] (restricted)
  5. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics. [Downloadable!]
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  6. Eakin, B Kelly & McMillen, Daniel P & Buono, Mark J, 1990. "Constructing Confidence Intervals Using the Bootstrap: An Application to a Multi-Product Cost Function," The Review of Economics and Statistics, MIT Press, vol. 72(2), pages 339-44, May. [Downloadable!] (restricted)
  7. Meisner, James F., 1979. "The sad fate of the asymptotic Slutsky symmetry test for large systems," Economics Letters, Elsevier, vol. 2(3), pages 231-233. [Downloadable!] (restricted)
  8. Breusch, T S, 1979. "Conflict among Criteria for Testing Hypotheses: Extensions and Comments," Econometrica, Econometric Society, vol. 47(1), pages 203-07, January. [Downloadable!] (restricted)
  9. Dufour, Jean-Marie, 1989. "Nonlinear Hypotheses, Inequality Restrictions, and Non-nested Hypotheses: Exact Simultaneous Tests in Linear Regressions," Econometrica, Econometric Society, vol. 57(2), pages 335-55, March. [Downloadable!] (restricted)
  10. Rayner, Robert K., 1990. "Bartlett's correction and the bootstrap in normal linear regression models," Economics Letters, Elsevier, vol. 33(3), pages 255-258, July. [Downloadable!] (restricted)
  11. Evans, G B A & Savin, N E, 1982. "Conflict among the Criteria Revisited: The W, LR and LM Tests," Econometrica, Econometric Society, vol. 50(3), pages 737-48, May. [Downloadable!] (restricted)
  12. Amsler, Christine E. & Schmidt, Peter, 1985. "A Monte Carlo investigation of the accuracy of multivariate CAPM tests," Journal of Financial Economics, Elsevier, vol. 14(3), pages 359-375, September. [Downloadable!] (restricted)
  13. Jayatissa, W A, 1977. "Tests of Equality between Sets of Coefficients in Two Linear Regressions when Disturbance Variances Are Unequal," Econometrica, Econometric Society, vol. 45(5), pages 1291-92, July. [Downloadable!] (restricted)
  14. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
  15. Stewart, Kenneth G., 1995. "The functional equivalence of the W, LR, and LM statistics," Economics Letters, Elsevier, vol. 49(2), pages 109-112, August. [Downloadable!] (restricted)
  16. Affleck-Graves, John & McDonald, Bill, 1990. "Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 163-185, June. [Downloadable!]
  17. Hashimoto, Noriko & Ohtani, Kazuhiro, 1990. "An exact test for linear restrictions in seemingly unrelated regressions with the same regressors," Economics Letters, Elsevier, vol. 32(3), pages 243-246, March. [Downloadable!] (restricted)
  18. Taylor, Timothy G. & Shonkwiler, J. S. & Theil, Henri, 1986. "Monte Carlo and bootstrap testing of demand homogeneity," Economics Letters, Elsevier, vol. 20(1), pages 55-57. [Downloadable!] (restricted)
  19. DUFOUR, Jean-Marie & FARHAT, Abdeljelil & GARDIOL, Lucien, 1998. "Simulation-Based Finite-Sample Normality Tests in Linear Regressions," Cahiers de recherche 9811, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  20. Jean-Marie Dufour & Lynda Khalaf, 1999. "Simulation Based Finite- and Large-Sample Inference Methods in Simultaneous Equations," Computing in Economics and Finance 1999 824, Society for Computational Economics.
  21. Italianer, Alexander, 1985. "A small-sample correction for the likelihood ratio test," Economics Letters, Elsevier, vol. 19(4), pages 315-317. [Downloadable!] (restricted)
  22. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June. [Downloadable!]
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  23. Rothernberg, Thomas J, 1984. "Hypothesis Testing in Linear Models When the Error Covariance Matrix Is Nonscalar," Econometrica, Econometric Society, vol. 52(4), pages 827-42, July. [Downloadable!] (restricted)
  24. Jobson, J. D. & Korkie, Bob, 1982. "Potential performance and tests of portfolio efficiency," Journal of Financial Economics, Elsevier, vol. 10(4), pages 433-466, December. [Downloadable!] (restricted)
  25. Cribari-Neto, Francisco & Zarkos, Spyros G, 1997. "Finite-Sample Adjustments for Homogeneity and Symmetry Tests in Systems of Demand Equations: A Monte Carlo Evaluation," Computational Economics, Springer, vol. 10(4), pages 337-51, November. [Downloadable!]
  26. Breusch, Trevor S., 1980. "Useful invariance results for generalized regression models," Journal of Econometrics, Elsevier, vol. 13(3), pages 327-340, August. [Downloadable!] (restricted)
  27. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
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  28. Shanken, Jay, 1986. " Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note," Journal of Finance, American Finance Association, vol. 41(1), pages 269-76, March. [Downloadable!] (restricted)
  29. DUFOUR, Jean-Marie & KHALAF, Lynda, 1998. "Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions," Cahiers de recherche 9813, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
  30. Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Testing in Nonlinear Models," G.R.E.Q.A.M. 97a39, Universite Aix-Marseille III.
    Other versions:
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