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Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie

  • Dufour, J.M.

Dans ce texte, nous analysons les developpements recents de l'econometrie a la lumiere de la theorie des tests statistiques.

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2001-15.

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Length: 18 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:mtl:montec:2001-15
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  1. Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
  2. Peter C.B. Phillips, 1987. "Partially Identified Econometric Models," Cowles Foundation Discussion Papers 845R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1988.
  3. Campbell, Bryan & Dufour, Jean-Marie, 1997. "Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(1), pages 151-73, February.
  4. Wouter J. Den Haan & Andrew T. Levin, 1996. "A Practitioner's Guide to Robust Covariance Matrix Estimation," NBER Technical Working Papers 0197, National Bureau of Economic Research, Inc.
  5. Charles Nelson & Richard Startz & Eric Zivot, 2000. "Improved Inference for the Instrumental Variables Estimator," Econometric Society World Congress 2000 Contributed Papers 1600, Econometric Society.
  6. Jean-Marie Dufour & Joanna Jasiak, 2000. "Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors," CIRANO Working Papers 2000s-13, CIRANO.
  7. Choi, In & Phillips, Peter C. B., 1992. "Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 113-150.
  8. Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Working Papers 88-06, University of Washington, Department of Economics.
  9. Dufour, Jean-Marie & Jasiak, Joann, 2001. "Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(3), pages 815-43, August.
  10. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, June.
  11. Charles R. Nelson & Richard Startz, 1988. "The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One," NBER Technical Working Papers 0069, National Bureau of Economic Research, Inc.
  12. Zivot, E & Startz, R & Nelson, C-R, 1997. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Working Papers 97-17, University of Washington, Department of Economics.
  13. Peter C.B. Phillips, 1982. "The Exact Distribution of LIML: I," Cowles Foundation Discussion Papers 658, Cowles Foundation for Research in Economics, Yale University.
  14. Dufour, J.M. & Campbell, B., 1993. "Exact Nonparametric Orthogonality and Random Walk Tests," Cahiers de recherche 9326, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  15. Dufour, J.M., 1981. "Rank Tests for Serial Dependence," Cahiers de recherche 8127, Universite de Montreal, Departement de sciences economiques.
  16. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  17. McManus, Douglas A. & Nankervis, John C. & Savin, N. E., 1994. "Multiple optima and asymptotic approximations in the partial adjustment model," Journal of Econometrics, Elsevier, vol. 62(2), pages 91-128, June.
  18. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
  19. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  20. ABDELKHALEK, Touhami & DUFOUR, Jean-Marie, 1997. "Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy," Cahiers de recherche 9713, Universite de Montreal, Departement de sciences economiques.
  21. 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.
  22. Hall, Alastair R & Rudebusch, Glenn D & Wilcox, David W, 1996. "Judging Instrument Relevance in Instrumental Variables Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 283-98, May.
  23. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  24. Sims, Christopher A, 1971. "Discrete Approximations to Continuous Time Distributed Lags in Econometrics," Econometrica, Econometric Society, vol. 39(3), pages 545-63, May.
  25. Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April.
  26. Buse, A, 1992. "The Bias of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 60(1), pages 173-80, January.
  27. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521405515, November.
  28. John Bound & David A. Jaeger & Regina Baker, 1993. "The Cure Can Be Worse than the Disease: A Cautionary Tale Regarding Instrumental Variables," NBER Technical Working Papers 0137, National Bureau of Economic Research, Inc.
  29. Jiahui Wang & Eric Zivot, 1998. "Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 66(6), pages 1389-1404, November.
  30. Blough, Stephen R, 1992. "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 295-308, July-Sept.
  31. Sargan, J D, 1983. "Identification and Lack of Identification," Econometrica, Econometric Society, vol. 51(6), pages 1605-33, November.
  32. Maddala, G S & Jeong, Jinook, 1992. "On the Exact Small Sample Distribution of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 60(1), pages 181-83, January.
  33. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  34. Jon Faust, 1996. "Theoretical confidence level problems with confidence intervals for the spectrum of a time series," International Finance Discussion Papers 575, Board of Governors of the Federal Reserve System (U.S.).
  35. Faust, Jon, 1996. "Near Observational Equivalence and Theoretical size Problems with Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 12(04), pages 724-731, October.
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