IDEAS home Printed from https://ideas.repec.org/f/psa1543.html
   My authors  Follow this author

abdessamad Saidi

Personal Details

First Name:Abdessamad
Middle Name:
Last Name:Saidi
Suffix:
RePEc Short-ID:psa1543
[This author has chosen not to make the email address public]

Affiliation

Bank Al-Maghrib

Rabat, Morocco
http://www.bkam.ma/
RePEc:edi:bamgvma (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. SAIDI, Abdessamad & BENAZZI, Sara & EL OTHMANI, Jawad, 2018. "Capital humain au Maroc: Evaluation fondée sur le revenu de la vie entière," Document de travail 2018-1, Bank Al-Maghrib, Département de la Recherche.
  2. Francq, Christian & Roy, Roch & Saidi, Abdessamad, 2011. "Asymptotic properties of weighted least squares estimation in weak parma models," MPRA Paper 28721, University Library of Munich, Germany.
  3. André Klein & Guy Melard & Abdessamad Saidi, 2008. "The asymptotic and exact Fisher information matrices," ULB Institutional Repository 2013/13766, ULB -- Universite Libre de Bruxelles.
  4. Marc Hallin & Abdessamad Saidi, 2007. "Optimal tests for non-correlation between multivariate time series," ULB Institutional Repository 2013/13406, ULB -- Universite Libre de Bruxelles.
  5. Guy Melard & Roch Roy & Abdessamad Saidi, 2006. "Exact maximum likelihood estimation of structured or unit root multivariate time series models," ULB Institutional Repository 2013/13754, ULB -- Universite Libre de Bruxelles.
  6. Marc Hallin & Abdessamad Saidi, 2005. "Testing non-correlation and non-causality between two multivariate ARMA time series," ULB Institutional Repository 2013/2129, ULB -- Universite Libre de Bruxelles.
  7. Marc Hallin & Abdessamad Saidi, 2005. "Testing non-correlation and non-causality between multivariate arma time series," ULB Institutional Repository 2013/127945, ULB -- Universite Libre de Bruxelles.

Articles

  1. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
  2. Klein, André & Mélard, Guy & Saidi, Abdessamad, 2008. "The asymptotic and exact Fisher information matrices of a vector ARMA process," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1430-1433, September.
  3. Saidi, Abdessamad & Roy, Roch, 2008. "Robust Optimal Tests For Causality In Multivariate Time Series," Econometric Theory, Cambridge University Press, vol. 24(4), pages 948-987, August.
  4. Roy, Roch & Saidi, Abdessamad, 2008. "Aggregation and systematic sampling of periodic ARMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4287-4304, May.
  5. Hallin, Marc & Saidi, Abdessamad, 2007. "Optimal Tests of Noncorrelation Between Multivariate Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 938-951, September.
  6. Melard, Guy & Roy, Roch & Saidi, Abdessamad, 2006. "Exact maximum likelihood estimation of structured or unit root multivariate time series models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2958-2986, July.
  7. Marc Hallin & Abdessamad Saidi, 2005. "Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 83-105, January.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Francq, Christian & Roy, Roch & Saidi, Abdessamad, 2011. "Asymptotic properties of weighted least squares estimation in weak parma models," MPRA Paper 28721, University Library of Munich, Germany.

    Cited by:

    1. Abdelouahab Bibi & Ahmed Ghezal, 2016. "On periodic time-varying bilinear processes: structure and asymptotic inference," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(3), pages 395-420, August.
    2. Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2020. "Periodic autoregressive conditional duration," MPRA Paper 101696, University Library of Munich, Germany, revised 08 Jul 2020.

  2. André Klein & Guy Melard & Abdessamad Saidi, 2008. "The asymptotic and exact Fisher information matrices," ULB Institutional Repository 2013/13766, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Cavicchioli, Maddalena, 2017. "Asymptotic Fisher information matrix of Markov switching VARMA models," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 124-135.
    2. Maddalena Cavicchioli, 2020. "A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(1), pages 129-139, March.

  3. Marc Hallin & Abdessamad Saidi, 2007. "Optimal tests for non-correlation between multivariate time series," ULB Institutional Repository 2013/13406, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Guochang Wang & Wai Keung Li & Ke Zhu, 2018. "New HSIC-based tests for independence between two stationary multivariate time series," Papers 1804.09866, arXiv.org.
    2. Bramati, Maria Caterina, 2013. "Optimal rank-based tests for block exogeneity in vector autoregressions," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 141-162.

  4. Guy Melard & Roch Roy & Abdessamad Saidi, 2006. "Exact maximum likelihood estimation of structured or unit root multivariate time series models," ULB Institutional Repository 2013/13754, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. José Casals Carro & Alfredo García-Hiernaux & Miguel Jerez, 2010. "From general State-Space to VARMAX models," Documentos de Trabajo del ICAE 1002, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Alj, Abdelkamel & Jónasson, Kristján & Mélard, Guy, 2016. "The exact Gaussian likelihood estimation of time-dependent VARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 633-644.
    3. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 10-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    4. Christian Kascha & Karel Mertens, 2006. "Business Cycle Analysis and VARMA models," Economics Working Papers ECO2006/37, European University Institute.
    5. Guy Melard, 2020. "An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators," Working Papers ECARES 2020-10, ULB -- Universite Libre de Bruxelles.
    6. Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.

  5. Marc Hallin & Abdessamad Saidi, 2005. "Testing non-correlation and non-causality between two multivariate ARMA time series," ULB Institutional Repository 2013/2129, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Guochang Wang & Wai Keung Li & Ke Zhu, 2018. "New HSIC-based tests for independence between two stationary multivariate time series," Papers 1804.09866, arXiv.org.

  6. Marc Hallin & Abdessamad Saidi, 2005. "Testing non-correlation and non-causality between multivariate arma time series," ULB Institutional Repository 2013/127945, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Guochang Wang & Wai Keung Li & Ke Zhu, 2018. "New HSIC-based tests for independence between two stationary multivariate time series," Papers 1804.09866, arXiv.org.
    2. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
    3. Bouhaddioui, Chafik & Roy, Roch, 2006. "On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 58-68, January.
    4. Chafik Bouhaddioui & Roch Roy, 2004. "A Generalized Portmanteau Test for Independence of Two Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2004s-06, CIRANO.
    5. Michael Eichler, 2007. "A Frequency-domain Based Test for Non-correlation between Stationary Time Series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 65(2), pages 133-157, February.
    6. Chafik Bouhaddioui & Roch Roy, 2003. "On the Distribution of the Residual Cross-Correlations between Two Uncorrelated Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2003s-41, CIRANO.
    7. Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne 16046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    8. Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska, 2020. "Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 785-807, November.

Articles

  1. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
    See citations under working paper version above.
  2. Klein, André & Mélard, Guy & Saidi, Abdessamad, 2008. "The asymptotic and exact Fisher information matrices of a vector ARMA process," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1430-1433, September.

    Cited by:

    1. Bao, Yong & Hua, Ying, 2014. "On the Fisher information matrix of a vector ARMA process," Economics Letters, Elsevier, vol. 123(1), pages 14-16.
    2. Cavicchioli, Maddalena, 2017. "Asymptotic Fisher information matrix of Markov switching VARMA models," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 124-135.

  3. Saidi, Abdessamad & Roy, Roch, 2008. "Robust Optimal Tests For Causality In Multivariate Time Series," Econometric Theory, Cambridge University Press, vol. 24(4), pages 948-987, August.

    Cited by:

    1. Taoufik Bouezmarni & Abderrahim Taamouti, 2014. "Nonparametric tests for conditional independence using conditional distributions," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(4), pages 697-719, December.
    2. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
    3. Ruiz-Castillo, Javier, 2012. "From the “European Paradox” to a European Drama in citation impact," UC3M Working papers. Economics we1211, Universidad Carlos III de Madrid. Departamento de Economía.
    4. Bai, Zhidong & Wong, Wing-Keung & Zhang, Bingzhi, 2010. "Multivariate linear and nonlinear causality tests," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 5-17.
    5. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.

  4. Roy, Roch & Saidi, Abdessamad, 2008. "Aggregation and systematic sampling of periodic ARMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4287-4304, May.

    Cited by:

    1. Caporin, Massimiliano & Preś, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
    2. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.

  5. Hallin, Marc & Saidi, Abdessamad, 2007. "Optimal Tests of Noncorrelation Between Multivariate Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 938-951, September.
    See citations under working paper version above.
  6. Melard, Guy & Roy, Roch & Saidi, Abdessamad, 2006. "Exact maximum likelihood estimation of structured or unit root multivariate time series models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2958-2986, July.
    See citations under working paper version above.
  7. Marc Hallin & Abdessamad Saidi, 2005. "Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 83-105, January.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ARA: MENA - Middle East & North Africa (1) 2018-06-11
  2. NEP-CIS: Confederation of Independent States (1) 2011-02-19
  3. NEP-ECM: Econometrics (1) 2011-02-19
  4. NEP-UPT: Utility Models & Prospect Theory (1) 2011-02-19

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Abdessamad Saidi should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.