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Simulation-based finite sample normality tests in linear regressions
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- Månsson, Kristofer & Sjölander, Pär, 2014. "Testing for nonlinear panel unit roots under cross-sectional dependency — With an application to the PPP hypothesis," Economic Modelling, Elsevier, vol. 38(C), pages 121-132.
- Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002.
"Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach,"
Cahiers de recherche
17-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers 2002s-85, CIRANO.
- Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003. "Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach," Discussion Paper Series 1: Economic Studies 2003,01, Deutsche Bundesbank.
- BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 2002-17, Universite de Montreal, Departement de sciences economiques.
- Schützenmeister, André & Piepho, Hans-Peter, 2012. "Residual analysis of linear mixed models using a simulation approach," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1405-1416.
- Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003.
"Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 891-906, December.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 2003-09, Universite de Montreal, Departement de sciences economiques.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 07-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers 2003s-33, CIRANO.
- Dufour, Jean-Marie & Khalaf, Lynda, 2002.
"Simulation based finite and large sample tests in multivariate regressions,"
Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
- Jean-Marie Dufour & Lynda Khalaf, 2000. "Simulation Based Finite and Large Sample Tests in Multivariate Regressions," CIRANO Working Papers 2000s-15, CIRANO.
- Dufour, J.M. & Khalaf, L., 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Lynda Khalaf & Marcel Voia, 2013.
"Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability,"
CIRANO Working Papers
2013s-40, CIRANO.
- Jean-Marie DUFOUR & Lynda KHALAF & Marcel VOIA, 2013. "Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability," Cahiers de recherche 13-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003.
"Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models,"
Cahiers de recherche
2003-08, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers 2003s-34, CIRANO.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche 06-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, Jean-Marie & Khalaf, Lynda, 2002.
"Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions,"
Journal of Econometrics, Elsevier, vol. 106(1), pages 143-170, January.
- Jean-Marie Dufour & Lynda Khalaf, 2000. "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," CIRANO Working Papers 2000s-16, CIRANO.
- Dufour, J.M. & Khalaf, L., 2000. "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," Cahiers de recherche 2000-11, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," Cahiers de recherche 2000-11, Universite de Montreal, Departement de sciences economiques.
- Ghanem, Dalia & Hirshleifer, Sarojini & Ortiz-Becerra, Karen, 2019.
"Testing Attrition Bias in Field Experiments,"
2019 Annual Meeting, July 21-23, Atlanta, Georgia
291215, Agricultural and Applied Economics Association.
- Dalia Ghanem & Sarojini Hirshleifer & Karen Ortiz-Becerra, 2019. "Testing for Attrition Bias in Field Experiments," Working Papers 202010, University of California at Riverside, Department of Economics, revised Mar 2020.
- Sarojini Hirshleifer & Dalia Ghanem & Karen Ortiz-Becerra, 2019. "Testing for Attrition Bias in Field Experiments," Working Papers 201919, University of California at Riverside, Department of Economics, revised Aug 2019.
- Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999.
"Bartlett Identities Tests,"
LIDAM Discussion Papers IRES
1999019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Andrew Chesher & Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1999. "Bartlett Identities Tests," Working Papers 99-32, Center for Research in Economics and Statistics.
- CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier, 1999. "Bartlett identities tests," LIDAM Discussion Papers CORE 1999039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jean-Marie Dufour & Abdeljelil Farhat, 2001.
"Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions,"
CIRANO Working Papers
2001s-56, CIRANO.
- DUFOUR, Jean-Marie & FARHAT, Abdeljelil, 2001. "Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions," Cahiers de recherche 2001-23, Universite de Montreal, Departement de sciences economiques.
- Dufour, J.M. & Farhat, A., 2001. "Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions," Cahiers de recherche 2001-23, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, Jean-Marie, 2006.
"Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics,"
Journal of Econometrics, Elsevier, vol. 133(2), pages 443-477, August.
- Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO.
- DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche 2005-03, Universite de Montreal, Departement de sciences economiques.
- DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche 03-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jurgen A. Doornik & Henrik Hansen, 2008.
"An Omnibus Test for Univariate and Multivariate Normality,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
- Jurgen A Doornik & Henrik Hansen, "undated". "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
- Christian Bontemps & Nour Meddahi, 2012.
"Testing distributional assumptions: A GMM aproach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
- N. Meddahi & C. Bontemps, 2004. "Testing Distributional Assumptions: A GMM Approach," Econometric Society 2004 North American Winter Meetings 487, Econometric Society.
- Christian Bontemps & Nour Meddahi, 2012. "Testing distributional assumptions: A GMM aproach," Post-Print hal-02875123, HAL.
- Bontemps, Christian & Meddahi, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse.
- Khalaf, Lynda & Kichian, Maral, 2005. "Exact tests of the stability of the Phillips curve: the Canadian case," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 445-460, April.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions,"
Springer Books, in: Michèle Breton & Hatem Ben-Ameur (ed.), Numerical Methods in Finance, chapter 0, pages 173-191,
Springer.
- BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 2005-04, Universite de Montreal, Departement de sciences economiques.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO.
- BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 04-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Pavol Durana & Katarina Valaskova & Darina Chlebikova & Vladislav Krastev & Irina Atanasova, 2020. "Heads and Tails of Earnings Management: Quantitative Analysis in Emerging Countries," Risks, MDPI, vol. 8(2), pages 1-20, June.
- Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-Francois, 2003. "Simulation-based exact jump tests in models with conditional heteroskedasticity," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 531-553, December.
- Bontemps, Christian & Meddahi, Nour, 2005.
"Testing normality: a GMM approach,"
Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
- BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques.
- Christian Bontemps & Nour Meddahi, 2005. "Testing normality: a GMM approach," Post-Print hal-02875105, HAL.
- Christian BONTEMPS & Nour MEDDAHI, 2002. "Testing Normality : A Gmm Approach," Cahiers de recherche 14-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian, 2004. "Structural Change and Forecasting Long-Run Energy Prices," Staff Working Papers 04-5, Bank of Canada.
- Dufour, Jean-Marie & Khalaf, Lynda, 2001.
"Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions,"
Cahiers de recherche
0111, Université Laval - Département d'économique.
- Dufour, Jean-Marie & Khalaf, Lynda, 2001. "Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions," Cahiers de recherche 0105, GREEN.
- Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2014.
"Exact confidence sets and goodness-of-fit methods for stable distributions,"
Journal of Econometrics, Elsevier, vol. 181(1), pages 3-14.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2015. "Exact confidence sets and goodness-of-fit methods for stable distributions," CIRANO Working Papers 2015s-25, CIRANO.
- King, Maxwell L. & Zhang, Xibin & Akram, Muhammad, 2020.
"Hypothesis testing based on a vector of statistics,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 425-455.
- Maxwell King & Xibin Zhang & Muhammad Akram, 2019. "Hypothesis Testing Based on a Vector of Statistics," Monash Econometrics and Business Statistics Working Papers 30/19, Monash University, Department of Econometrics and Business Statistics.
- Poitras, Geoffrey, 2006. "More on the correct use of omnibus tests for normality," Economics Letters, Elsevier, vol. 90(3), pages 304-309, March.
- Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2020.
"Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 390-418.
- Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2016. "Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory," Cahiers de recherche 14-2016, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory," CIRANO Working Papers 2016s-62, CIRANO.
- Michael Creel, 2008.
"Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments,"
UFAE and IAE Working Papers
725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.
- Michael Creel & Dennis Kristensen, 2009. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 792.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Diego Valderrama, 2002. "The impact of financial frictions on a small open economy: when current account borrowing hits a limit," Working Paper Series 2002-15, Federal Reserve Bank of San Francisco.
- Jiwoong Kim, 2020. "Implementation of a goodness-of-fit test through Khmaladze martingale transformation," Computational Statistics, Springer, vol. 35(4), pages 1993-2017, December.
- Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000.
"Simulation-Based Exact Tests with Unidentified Nuisance Parameters under the Null Hypothesis : the Case of Jumps Tests in Model with Conditional Heteroskedasticity,"
Cahiers de recherche
0004, Université Laval - Département d'économique.
- Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN.
- Islam, Tanweer ul, 2008. "Normality Testing- A New Direction," MPRA Paper 16452, University Library of Munich, Germany.
- Hyeyun Ku & Jun Ho Maeng, 2021. "Extreme value analysis of the typhoon-induced surges on the coastal seas of South Korea," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 107(1), pages 617-637, May.
- Barrera, Carlos R., 2011. "Impacto amplificador del ajuste de inventarios ante choques de demanda según especificaciones flexibles," Working Papers 2011-009, Banco Central de Reserva del Perú.
- Jean-Marie Dufour & Byunguk Kang, 2022. "Reverse Regressions, Symmetry and Test Distributions in Linear Models," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 71-99, September.
- Hien Thu Pham & Shino Takayama, 2015. "Revisiting the Missing Middle: Production and Corruption," CEPA Working Papers Series WP022015, School of Economics, University of Queensland, Australia.