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Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis

Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - Centre Interuniversitaire de Recherche en Analyse des … - 2005

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler's (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...

Persistent link: https://www.econbiz.de/10005101039

Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression

Dufour, Jean-Marie; Farhat, Abdeljelil; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

Persistent link: https://www.econbiz.de/10005100723

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size...

Persistent link: https://www.econbiz.de/10005101027

Les liaisons fallacieuses : quasi-colinéarité et « suppresseur classique », aide au développement et croissance.

Chatelain, Jean-Bernard; Ralf, Kirsten - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012

This paper shows that a multiple regression with two highly correlated explanatory variables, both of them with a near zero correlation with the dependent variable may correspond to a spurious regression or to a homeostatic model, with estimates highly sensible to outliers. The regression method...

Persistent link: https://www.econbiz.de/10009493572

Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie

CHIKHI, Mohamed - 2011

Résumé: Cet article analyse le comportement cyclique des flux de trésorerie et notamment ses propriétés statistiques à travers une classe de modèles ARMA avec erreur GARCH, notée ARIMA-GARCH ; cette classe inclut une tendance stochastique, la dépendance à court terme ainsi que le terme...

Persistent link: https://www.econbiz.de/10015255071

Short Run and Long Run Causality in Time Series: Inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

Persistent link: https://www.econbiz.de/10005100843

Propositions d'indicateurs macroprudentiels pour le systeme bancaire de la CEMAC

KAMGNA, Severin Yves; TINANG, Nzesseu Jules; TSOMBOU, … - 2009

The main purpose of this paper is to determine the macro-prudential indicators of financial strength that can be used … under supervision of the banking system in CEMAC. More specifically, we start from a set of indicators listed in the … banking system in the subregion. We sought these indicators among the variables of micro-aggregated banking sector …

Persistent link: https://www.econbiz.de/10015217760

Une approche Macroprudentielle du risque systémique en zone CEMAC

Nguenang, Christian; Kamgna, Sévérin yves; Tinang, … - 2010

In this study, we identifie a small number of indicators of macro-prudential supervision important to monitoring of the …

Persistent link: https://www.econbiz.de/10015223527

Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien

Bouoiyour, Jamal; Marimoutou, Velayoudoum; Rey, Serge - 2003

We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables...

Persistent link: https://www.econbiz.de/10015226535

Introduction à la méthode statistique et probabiliste

Keita, Moussa - 2016

This manuscript provides an introduction to statistics and probability method. It is structured around three themes developed in five chapters. The first part is an introduction to probability calculations in which we introduce the notions of elementary probability, probabilized spaces, random...

Persistent link: https://www.econbiz.de/10015251014