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Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives

Author

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  • Francois-Éric Racicot

    () (Département des sciences administratives, Université du Québec (Outaouais) et LRSP)

Abstract

Dans cet essai, nous présentons deux nouveaux estimateurs qui ont la propriété d’être convergents en présence d’erreurs de mesure sur les variables. Ces estimateurs sont basés sur les cumulants d’ordre deux et trois de la matrice des variables explicatives. Nous présentons également de nouveaux tests d’erreurs de mesure basés sur la procédure d’Hausman. Nous évaluons la performance échantillonnale de ces nouveaux estimateurs à l’aide d’expériences de Monte Carlo. Nos résultats préliminaires montrent qu’ils se comportent bien dans la mesure où la taille des erreurs de mesure est suffisamment importante.

Suggested Citation

  • Francois-Éric Racicot, 2007. "Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives," RePAd Working Paper Series UQO-DSA-wp022007, Département des sciences administratives, UQO.
  • Handle: RePEc:pqs:wpaper:022007
    as

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    File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/a11g638FER.pdf
    File Function: First version, 2007
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    Cited by:

    1. repec:lrk:eeaart:36_1_17 is not listed on IDEAS
    2. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

    More about this item

    Keywords

    Erreurs de mesure; estimateurs convergents; moments supérieurs; régressions artificielles; test d’Hausman; variables instrumentales;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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