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Citations for "Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors"

by Dufour, Jean-Marie

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  1. Touhami Abdelkhalek & Jean-Marie Dufour, 1998. "Statistical Inference For Computable General Equilibrium Models, With Application To A Model Of The Moroccan Economy," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 520-534, November.
  2. DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
  3. Jean-Marie Dufour & Lynda Khalaf, 2000. "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," CIRANO Working Papers 2000s-16, CIRANO.
  4. 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, 02.
  5. 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.
  6. Valentina Meliciani & Franco Peracchi, 2004. "Convergence in Per-capita GDP Across European Regions: A Reappraisal," CEIS Research Paper 58, Tor Vergata University, CEIS.
  7. 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.
  8. Sriananthakumar, Sivagowry, 2015. "Approximate Non-Similar critical values based tests vs Maximized Monte Carlo tests," Economic Modelling, Elsevier, vol. 49(C), pages 387-394.
  9. Oscar Jorda & Massimiliano Marcellino, 2008. "Path Forecast Evaluation," Working Papers 85, University of California, Davis, Department of Economics.
  10. Jean-Marie Dufour & Malika Neifar, 2003. "Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes," CIRANO Working Papers 2003s-54, CIRANO.
  11. DUFOUR, Jean-Marie & FARHAT, Abdeljelil & HALLIN, Marc, 2005. "Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series," Cahiers de recherche 05-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  12. Saraswata Chaudhuri & Eric Zivot, 2008. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Working Papers UWEC-2008-26, University of Washington, Department of Economics.
  13. 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.
  14. Dufour, J.M. & Torres, O., 2000. "Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," Cahiers de recherche 2000-12, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  15. Dufour, Jean-Marie & Neifar, Malika, 2002. "Méthodes d’inférence exactes pour des processus autorégressifs : une approche fondée sur des tests induits," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(1), pages 19-40, Mars.
  16. Dufour, Jean-Marie & Taamouti, Mohamed, 2007. "Further results on projection-based inference in IV regressions with weak, collinear or missing instruments," Journal of Econometrics, Elsevier, vol. 139(1), pages 133-153, July.
  17. Jean-Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
  18. Jean-Marie Dufour & Abdelkhalek Touhami, 2000. "Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models," CIRANO Working Papers 2000s-18, CIRANO.
  19. 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.
  20. Kiviet, Jan F. & Dufour, Jean-Marie, 1997. "Exact tests in single equation autoregressive distributed lag models," Journal of Econometrics, Elsevier, vol. 80(2), pages 325-353, October.
  21. Banerjee, Anurag N. & Magnus, Jan R., 2000. "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, vol. 95(1), pages 157-176, March.
  22. Doko Tchatoka, Firmin, 2010. "Subset hypotheses testing and instrument exclusion in the linear IV regression," MPRA Paper 29611, University Library of Munich, Germany, revised 02 Feb 2012.
  23. 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.
  24. Luger, Richard, 2003. "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
  25. Wan, Alan & Zou, Guohua & Banerjee, Anurag, 2004. "The limiting power of autocorrelation tests in regression models with linear restrictions," Discussion Paper Series In Economics And Econometrics 0405, Economics Division, School of Social Sciences, University of Southampton.
  26. 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.
  27. Vougas, Dimitrios V., 2008. "Generalized least squares transformation and estimation with autoregressive error," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 402-404, March.
  28. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
  29. Wan, Alan T.K. & Zou, Guohua & Banerjee, Anurag, 2007. "The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions," Economics Letters, Elsevier, vol. 94(2), pages 213-219, February.
  30. Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics.
  31. 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.
  32. Vougas, Dimitrios V., 2007. "GLS detrending and unit root testing," Economics Letters, Elsevier, vol. 97(3), pages 222-229, December.
  33. Jouneau-Sion, Frederic & Torres, Olivier, 2006. "MMC techniques for limited dependent variables models: Implementation by the branch-and-bound algorithm," Journal of Econometrics, Elsevier, vol. 133(2), pages 479-512, August.
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