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Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics

Citations

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Cited by:

  1. MacKinnon, James G. & Webb, Matthew D., 2020. "Randomization inference for difference-in-differences with few treated clusters," Journal of Econometrics, Elsevier, vol. 218(2), pages 435-450.
  2. Mari Myllymäki & Tomáš Mrkvička & Pavel Grabarnik & Henri Seijo & Ute Hahn, 2017. "Global envelope tests for spatial processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 381-404, March.
  3. 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.
  4. Bertrand Candelon & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2011. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 314-343, Spring.
  5. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2009. "Finite sample multivariate tests of asset pricing models with coskewness," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2008-2021, April.
  6. Firmin Doko Tchatoka, 2015. "On bootstrap validity for specification tests with weak instruments," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 137-146, February.
  7. Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory," School of Economics and Public Policy Working Papers 2016-01, University of Adelaide, School of Economics and Public Policy.
  8. Marcin Faldzinski & Magdalena Osinska, 2016. "Volatility estimators in econometric analysis of risk transfer on capital markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 21-35.
  9. Frank A. Cowell & Emmanuel Flachaire, 2014. "Statistical Methods for Distributional Analysis," Working Papers halshs-01115996, HAL.
  10. 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.
  11. Araújo Santos, P. & Fraga Alves, M.I., 2012. "A new class of independence tests for interval forecasts evaluation," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3366-3380.
  12. 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.
  13. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020. "Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference," CIRANO Working Papers 2020s-30, CIRANO.
  14. Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
  15. 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.
  16. Christoph Strumann, 2019. "Hodges–Lehmann Estimation of Static Panel Models with Spatially Correlated Disturbances," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 141-168, January.
  17. 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.
  18. Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2016. "Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution," International Journal of Forecasting, Elsevier, vol. 32(2), pages 437-457.
  19. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
  20. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 2005-12, Universite de Montreal, Departement de sciences economiques.
  21. Davy Paindaveine & Julien Remy & Thomas Verdebout, 2017. "Testing for Principal Component Directions under Weak Identifiability," Working Papers ECARES ECARES 2017-37, ULB -- Universite Libre de Bruxelles.
  22. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
  23. Élise, COUDIN & Jean-Marie DUFOUR, 2017. "Finite-Sample Generalized Confidence Distributions and Sign-Based Robust Estimators in Median Regressions with Heterogeneous Dependent Errors," Cahiers de recherche 01-2017, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  24. Doko Tchatoka, Firmin, 2012. "Specification tests with weak and invalid instruments," Working Papers 15063, University of Tasmania, Tasmanian School of Business and Economics, revised 26 Jun 2012.
  25. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
  26. Jean-Marie Dufour & Richard Luger, 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 713-727, October.
  27. Bernard, Jean-Thomas & Idoudi, Nadhem & Khalaf, Lynda & Yelou, Clement, 2007. "Finite sample multivariate structural change tests with application to energy demand models," Journal of Econometrics, Elsevier, vol. 141(2), pages 1219-1244, December.
  28. Firmin Doko Tchatoka & Jean‐Marie Dufour, 2014. "Identification‐robust inference for endogeneity parameters in linear structural models," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 165-187, February.
  29. Jean-Thomas Bernard & Nadhem Idoudi & Lynda Khalaf & Clément Yélou, 2007. "Finite sample inference methods for dynamic energy demand models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(7), pages 1211-1226.
  30. Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Finance, Presses universitaires de Grenoble, vol. 33(1), pages 79-112.
  31. Jean-Marie Dufour & Joachim Wilde, 2018. "Weak identification in probit models with endogenous covariates," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(4), pages 611-631, October.
  32. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009. "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2129-2154, April.
  33. Janusz L. Wywiał, 2018. "Application of Two Gamma Distributions Mixture to Financial Auditing," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(1), pages 1-18, May.
  34. Andrés González & Timo Teräsvirta, 2006. "Simulation‐based Finite Sample Linearity Test against Smooth Transition Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 797-812, December.
  35. Khalaf, Lynda & Kichian, Maral, 2007. "Exact test for breaks in covariance in multivariate regressions," Economics Letters, Elsevier, vol. 95(2), pages 241-246, May.
  36. Elena-Ivona DUMITRESCU & Christophe HURLIN & Jaouad MADKOUR, 2011. "Testing Interval Forecasts: A New GMM-based Test," LEO Working Papers / DR LEO 1549, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  37. Helmut Herwartz & Florian Siedenburg & Yabibal M. Walle, 2016. "Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 727-750, May.
  38. Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.
  39. Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, vol. 31(C), pages 276-285.
  40. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
  41. Małecka Marta, 2021. "Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model," Statistics in Transition New Series, Polish Statistical Association, vol. 22(1), pages 145-162, March.
  42. Sriananthakumar, Sivagowry, 2015. "Approximate Non-Similar critical values based tests vs Maximized Monte Carlo tests," Economic Modelling, Elsevier, vol. 49(C), pages 387-394.
  43. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
  44. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
  45. Sermin Gungor & Richard Luger, 2016. "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.
  46. Chen, Xiaohong & Ponomareva, Maria & Tamer, Elie, 2014. "Likelihood inference in some finite mixture models," Journal of Econometrics, Elsevier, vol. 182(1), pages 87-99.
  47. Victor Chernozhukov & Ivan Fernandez-Val & Jinyong Hahn & Whitney K. Newey, 2008. "Identification and estimation of marginal effects in nonlinear panel models," CeMMAP working papers CWP25/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  48. Frésard, Laurent & Pérignon, Christophe & Wilhelmsson, Anders, 2011. "The pernicious effects of contaminated data in risk management," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2569-2583, October.
  49. Dufour, Jean-Marie & Valéry, Pascale, 2009. "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 193-206, June.
  50. Dufour, Jean-Marie & Khalaf, Lynda, 2001. "Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions," Cahiers de recherche 0111, Université Laval - Département d'économique.
  51. 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.
  52. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2011. "Evaluating Value-at-Risk Models with Desk-Level Data," Management Science, INFORMS, vol. 57(12), pages 2213-2227, December.
  53. Al-Sadoon, Majid M., 2019. "Testing subspace Granger causality," Econometrics and Statistics, Elsevier, vol. 9(C), pages 42-61.
  54. James Davidson, 2000. "Bootstrap Tests for Fractional Cointegration: A Reappraisal of the Relationship Between Government Popularity and Economic Performance in the UK," Econometric Society World Congress 2000 Contributed Papers 0324, Econometric Society.
  55. Florios, Kostas & Skouras, Spyros, 2008. "Exact computation of max weighted score estimators," Journal of Econometrics, Elsevier, vol. 146(1), pages 86-91, September.
  56. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 84-108.
  57. 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.
  58. Bergamelli, Michele & Bianchi, Annamaria & Khalaf, Lynda & Urga, Giovanni, 2019. "Combining p-values to test for multiple structural breaks in cointegrated regressions," Journal of Econometrics, Elsevier, vol. 211(2), pages 461-482.
  59. Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society.
  60. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
  61. Marta Małecka, 2021. "Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model," Statistics in Transition New Series, Polish Statistical Association, vol. 22(1), pages 145-162, March.
  62. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2532-2553, November.
  63. Thor Pajhede, 2015. "Backtesting Value-at-Risk: A Generalized Markov Framework," Discussion Papers 15-18, University of Copenhagen. Department of Economics.
  64. Elena-Ivona DUMITRESCU, 2011. "Backesting Value-at-Risk: From DQ (Dynamic Quantile) to DB (Dynamic Binary) Tests," LEO Working Papers / DR LEO 262, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  65. Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
  66. 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.
  67. Ludwig, Alexander, 2013. "Sovereign risk contagion in the Eurozone: A time-varying coefficient approach," Dresden Discussion Paper Series in Economics 02/13, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
  68. Luca Fanelli & Giulio Palomba, 2011. "Simulation‐based tests of forward‐looking models under VAR learning dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 762-782, August.
  69. Xu, Ke-Li, 2018. "A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes," Journal of Econometrics, Elsevier, vol. 206(1), pages 258-278.
  70. Amengual, Dante & Carrasco, Marine & Sentana, Enrique, 2020. "Testing distributional assumptions using a continuum of moments," Journal of Econometrics, Elsevier, vol. 218(2), pages 655-689.
  71. Catani, P.S. & Ahlgren, N.J.C., 2017. "Combined Lagrange multiplier test for ARCH in vector autoregressive models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 62-84.
  72. Kim P. Huynh & Luke Ignaczak & Marcel-Cristian Voia, 2010. "Stochastic Dominance, Estimation and Inference for Censored Distributions with Nuisance Parameter," Carleton Economic Papers 10-02, Carleton University, Department of Economics.
  73. François-Éric Racicota & David Tessierc, 2023. "On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note," Working Papers 2023-001, Department of Research, Ipag Business School.
  74. Bertrand Candelon & Marc Joëts & Sessi Tokpavi, 2012. "Testing for crude oil markets globalization during extreme price movements," Post-Print hal-01411687, HAL.
  75. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
  76. Luger, Richard, 2006. "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Elsevier, vol. 133(2), pages 513-529, August.
  77. Leccadito, Arturo & Boffelli, Simona & Urga, Giovanni, 2014. "Evaluating the accuracy of value-at-risk forecasts: New multilevel tests," International Journal of Forecasting, Elsevier, vol. 30(2), pages 206-216.
  78. Khalaf, Lynda & Saunders, Charles J., 2017. "Monte Carlo forecast evaluation with persistent data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 1-10.
  79. Tabri, Rami Victor, 2014. "Testing for normality in linear regression models using regression and scale equivariant estimators," Economics Letters, Elsevier, vol. 122(2), pages 192-196.
  80. Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
  81. Xiaofeng Lv & Gupeng Zhang & Xinkuo Xu & Qinghai Li, 2017. "Bootstrap-calibrated empirical likelihood confidence intervals for the difference between two Gini indexes," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 15(2), pages 195-216, June.
  82. Frédéric Jouneau-Sion & Olivier Torrès, 2014. "In Fisher's net : exact F-tests in semi-parametric models with exchangeable errors," Working Papers halshs-01062623, HAL.
  83. Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2018_1709, CEMFI.
  84. Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol, 2010. "Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 180-194, March.
  85. Baddeley, Adrian & Hardegen, Andrew & Lawrence, Thomas & Milne, Robin K. & Nair, Gopalan & Rakshit, Suman, 2017. "On two-stage Monte Carlo tests of composite hypotheses," Computational Statistics & Data Analysis, Elsevier, vol. 114(C), pages 75-87.
  86. Ollech, Daniel & Webel, Karsten, 2020. "A random forest-based approach to identifying the most informative seasonality tests," Discussion Papers 55/2020, Deutsche Bundesbank.
  87. Herwartz, Helmut, 2008. "Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device," Economics Working Papers 2008-16, Christian-Albrechts-University of Kiel, Department of Economics.
  88. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
  89. Lixiong Li & Marc Henry, 2022. "Finite Sample Inference in Incomplete Models," Papers 2204.00473, arXiv.org, revised Apr 2024.
  90. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2019. "Range-based DCC models for covariance and value-at-risk forecasting," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 58-76.
  91. Lin, Jen-Wen & McLeod, A.Ian, 2006. "Improved Pena-Rodriguez portmanteau test," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1731-1738, December.
  92. 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.
  93. Yicong Lin & Hanno Reuvers, 2020. "Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?," Papers 2009.02262, arXiv.org, revised Dec 2021.
  94. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
  95. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
  96. Elena‐Ivona Dumitrescu & Christophe Hurlin & Jaouad Madkour, 2013. "Testing Interval Forecasts: A GMM‐Based Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(2), pages 97-110, March.
  97. Nikola Radivojevic & Milena Cvjetkovic & Saša Stepanov, 2016. "The new hybrid value at risk approach based on the extreme value theory," Estudios de Economia, University of Chile, Department of Economics, vol. 43(1 Year 20), pages 29-52, June.
  98. Xiaofeng Lv & Gupeng Zhang & Xinkuo Xu & Qinghai Li, 2017. "Bootstrap-calibrated empirical likelihood confidence intervals for the difference between two Gini indexes," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 15(2), pages 195-216, June.
  99. repec:ipg:wpaper:28 is not listed on IDEAS
  100. Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2010. "Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 263-285.
  101. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Paper 1127, Economics Department, Queen's University.
  102. Ludwig, Alexander, 2014. "A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 125-146.
  103. Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3198-3211.
  104. 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).
  105. Elise Coudin & Jean-Marie Dufour, 2010. "Finite and Large Sample Distribution-Free Inference in Median Regressions with Instrumental Variables," Working Papers 2010-56, Center for Research in Economics and Statistics.
  106. Marc Joëts, 2012. "Energy price transmissions during extreme movements," Working Papers hal-04141047, HAL.
  107. repec:ipg:wpaper:2013-028 is not listed on IDEAS
  108. Marcel Voia & Liqun Wang & Ricardas Zitikis, 2009. "A Distributional Analysis of Treatment Effects on Subpopulations of a Socioeconomic Experiment," Carleton Economic Papers 09-02, Carleton University, Department of Economics, revised 05 Feb 2010.
  109. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
  110. Davy Paindaveine & Julien Remy & Thomas Verdebout, 2019. "Sign Tests for Weak Principal Directions," Working Papers ECARES 2019-01, ULB -- Universite Libre de Bruxelles.
  111. Jean-Marie Dufour & Emmanuel Flachaire & Lynda Khalaf, 2019. "Permutation Tests for Comparing Inequality Measures," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 457-470, July.
  112. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  113. Lingxiang Zhang, 2020. "Linearity tests and stochastic trend under the STAR framework," Statistical Papers, Springer, vol. 61(6), pages 2271-2282, December.
  114. Frédéric Jouneau-Sion & Olivier Torrès, 2014. "In Fisher’s net : exact F-tests in semi-parametric models with exchangeable errors," Working Papers 1422, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  115. Dufour, Jean-Marie & Jouini, Tarek, 2014. "Asymptotic distributions for quasi-efficient estimators in echelon VARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 73(C), pages 69-86.
  116. Arno Onken & Valentin Dragoi & Klaus Obermayer, 2012. "A Maximum Entropy Test for Evaluating Higher-Order Correlations in Spike Counts," PLOS Computational Biology, Public Library of Science, vol. 8(6), pages 1-12, June.
  117. Taehoon Kim & Jacob Schwartz & Kyungchul Song & Yoon-Jae Whang, 2019. "Monte Carlo Inference on Two-Sided Matching Models," Econometrics, MDPI, vol. 7(1), pages 1-15, March.
  118. Khalaf, Lynda & Saunders, Charles J., 2020. "Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels," Journal of Econometrics, Elsevier, vol. 218(2), pages 419-434.
  119. 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.
  120. Jean-Marie Dufour & Pascale Valery, 2000. "Monte Carlo Test Applied to Models Estimated by Indirect Inference," Econometric Society World Congress 2000 Contributed Papers 1667, Econometric Society.
  121. Bunzel, Helle & Iglesias, Emma M., 2006. "Testing for Breaks Using Alternating Observations," Staff General Research Papers Archive 12694, Iowa State University, Department of Economics.
  122. Nikola Radivojević & Nikola V. Ćurčić & Djurdjica Dj. Vukajlović, 2017. "Hull-White’s value at risk model: case study of Baltic equities market," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 18(5), pages 1023-1041, September.
  123. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
  124. Sriananthakumar, Sivagowry, 2013. "Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors: A point optimal testing approach," Economic Modelling, Elsevier, vol. 33(C), pages 126-136.
  125. Dalia Ghanem & Sarojini Hirshleifer & Karen Ortiz-Becerra, 2019. "Testing Attrition Bias in Field Experiments," Working Papers 202218, University of California at Riverside, Department of Economics, revised Oct 2022.
  126. Marta Małecka, 2014. "Duration-Based Approach to VaR Independence Backtesting," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 15(4), pages 627-636, September.
  127. Jean-Marie Dufour & David Tessier, 2006. "Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices," Staff Working Papers 06-39, Bank of Canada.
  128. Christian Gourieroux & Joann Jasiak, 2022. "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers 2202.09473, arXiv.org.
  129. Gungor, Sermin & Luger, Richard, 2020. "Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects," Journal of Econometrics, Elsevier, vol. 218(2), pages 750-770.
  130. Herwartz, Helmut, 2009. "Exact inference in diagnosing Value-at-Risk estimates -- A Monte Carlo device," Economics Letters, Elsevier, vol. 103(3), pages 160-162, June.
  131. Fu, Hsuan & Luger, Richard, 2022. "Multiple testing of the forward rate unbiasedness hypothesis across currencies," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 232-245.
  132. Kim Huynh & David Jacho-Chávez & Robert Petrunia & Marcel Voia, 2015. "A nonparametric analysis of firm size, leverage and labour productivity distribution dynamics," Empirical Economics, Springer, vol. 48(1), pages 337-360, February.
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