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Méthodes d'inférence exactes pour des processus autorégressifs : une approche fondée sur des tests induits

Dufour, Jean-Marie; Neifar, Malika - In: L' Actualité économique : revue trimest. 78 (2002) 1, pp. 19-40

Persistent link: https://www.econbiz.de/10001721820

Méthodes d'inférence exactes pour un modèle de régression avec erreur AR(2) gaussiennes

Dufour, Jean-Marie (contributor); Neifar, Malika (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947831

Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory

Doko Tchatoka, Firmin - 2017

We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We consider linear structural models with possibly non-Gaussian errors, where structural parameters may not be identified...

Persistent link: https://www.econbiz.de/10012966708

On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression

Dufour, Jean-Marie; Valéry, Pascale - 2006

Persistent link: https://www.econbiz.de/10003331387

Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models

Dufour, Jean-Marie; Valéry, Pascale - In: Journal of econometrics 150 (2009) 2, pp. 193-206

Persistent link: https://www.econbiz.de/10003858526

Méthodes dʾinférence exactes pour un modèle de régression avec erreurs AR(2) Gaussiennes

Dufour, Jean-Marie; Neifar, Malika - In: L' Actualité économique : revue trimest. 80 (2004) 4, pp. 593-618

Persistent link: https://www.econbiz.de/10003147174

Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory

Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2016

Persistent link: https://www.econbiz.de/10011578259

Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory

Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2016

Persistent link: https://www.econbiz.de/10011592683

A simple efficient moment-based estimator for the stochastic volatility model

Ahsan, Nazmul; Dufour, Jean-Marie - 2019

Persistent link: https://www.econbiz.de/10012244154

Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory

Doko Tchatoka, Firmin; Dufour, Jean-Marie - In: Journal of econometrics 218 (2020) 2, pp. 390-418

Persistent link: https://www.econbiz.de/10012483007

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