Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Year of publication: |
2003
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Authors: | DUFOUR, Jean-Marie ; KHALAF, Lynda ; BEAULIEU, Marie-Claude |
Institutions: | Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) |
Subject: | Capital asset pricing model | CAPM | mean-variance efficiency | nonnormality | multivariate linear regression | uniform linear hypothesis | exact test | Monte Carlo test | bootstrap | nuisance parameters | specification test | diagnostics | GARCH | variance ratio test |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 31 pages |
Classification: | C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C12 - Hypothesis Testing ; C33 - Models with Panel Data ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G1 - General Financial Markets ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Dufour, Jean-Marie, (2003)
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Beaulieu, Marie-Claude, (2002)
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude, (2005)
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BEAULIEU, Marie-Claude, (2002)
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DUFOUR, Jean-Marie, (2003)
-
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
BEAULIEU, Marie-Claude, (2005)
- More ...