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Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis

Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - In: Journal of economic dynamics & control 30 (2006) 9, pp. 1707-1728

Persistent link: https://www.econbiz.de/10007287974

An identification-robust test for time-varying parameters in the dynamics of energy prices

Bernard, Jean-Thomas; Dufour, Jean-Marie; Khalaf, Lynda; … - In: Journal of applied econometrics 27 (2012) 4, pp. 603-625

Persistent link: https://www.econbiz.de/10010026026

Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of empirical finance 17 (2010) 4, pp. 763-783

Persistent link: https://www.econbiz.de/10008436076

On the precision of Calvo parameter estimates in structural NKPC models

Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - In: Journal of economic dynamics & control 34 (2010) 9, pp. 1582-1596

Persistent link: https://www.econbiz.de/10008640063

Simulation based finite and large sample tests in multivariate regressions

Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of econometrics 111 (2002) 2, pp. 303-322

Persistent link: https://www.econbiz.de/10001715751

Finite-sample simulation-based tests in seemingly unrelated regressions

Dufour, Jean-Marie; Khalaf, Lynda - In: Computer-aided econometrics, (pp. 11-35). 2003

Persistent link: https://www.econbiz.de/10002594801

Exact multivariate tests of asset pricing models with stable asymmetric distributions

Beaulieu, Marie-Claude (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002652734

Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - In: Oxford bulletin of economics and statistics 65 (2003) suppl, pp. 891-906

Persistent link: https://www.econbiz.de/10001860218

Inflation dynamics and the New Keynesian Phillips curve : an identification robust econometric analysis

Dufour, Jean-Marie (contributor); Khalaf, Lynda (contributor) - 2005

Persistent link: https://www.econbiz.de/10003107561

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10001731828