Affiliations with research centers / Affiliations avec des centres de recherche
Fellow
CIRANO
(Centre interuniversitaire de recherche en analyse des organisations /
Center for Interuniversity Research and Analysis on Organizations, Montréal)
Chercheur régulier / Research Fellow,
CIREQ
(Centre interuniversitaire de recherche en économie quantitative, Université de Montréal)
Prizes and other distinctions / Prix et autres distinctions
Ambassadors' Club - FRQ Prize, given by the Fonds de Recherche du Québec (FRQ) for the organization
of the 11th World Congress of the Econometric Society at the Palais des Congrès de Montréal, November 28, 2016.
pdf (E),
Palais des Congrès .
Prix du Club des Ambassadeurs - FRQ, décernué par les Fonds de Recherche du Quuébec (FRQ)
pour l'organisation du 11e congruès mondial de la Sociuétué d'Économuétrie
au Palais des Congruès de Montruéal, 28 novembre 2016.
pdf (F),
Palais des Congrès .
Pierre-de-Fermat Chair of excellence ("Chaire d'excellence Pierre-de-Fermat") for visiting professors,
Toulouse School of Economics (Université de Toulouse I, France),
2012-2013.
Banco Santander de Madrid Chair of excellence ("Cátedra de Excelencia") for visiting professors,
Universitad Carlos III de Madrid (Spain),
2011-2012.
Killam Prize
for Social Sciences, Killam Trust and Canada Council for the Arts
/
Prix Killam
pour les sciences sociales, Fondation Killam et Conseil des Arts du Canada, 2006.
Finite-sample methods in econometrics (time series models, structural models)
Simulation-based methods in econometrics: Monte Carlo tests and bootstrap techniques
Nonparametric techniques in econometrics and time series
Weak instruments problems
Time series analysis methods in econometrics:
Finite-sample and simulation-based inference (tests and confidence sets)
Short-run and long-run causality in multivariate ARMA models
Tests of serial dependence
Nonparametric measures of persistence
Invariant tests and invariance in models estimated by pseudo-likelihood and
generalized method-of-moments methods
Testing based on indirect inference and efficient method-of-moments techniques
Inference for computable general equilibrium models
Tests for structural change in econometric models
Applications in macroeconometrics and finance
A. Discussion papers / Cahiers de recherche
"Confidence sets for inequality measures: Fieller-type methods"
(with Emmanuel Flachaire, Lynda Khalaf and Abdallah Zalghout).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 16 pages.
Latest version (April 2017):
pdf
"Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions
with heterogeneous dependent errors"
(with Élise Coudin).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 45 pages.
Latest version (January 2017):
pdf,
ps.
"Identification-robust moment-based tests for Markov-switching in autoregressive models"
(with Richard Luger).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 22 pages.
Latest version (May 2017):
pdf,
ps.
"Exchange rates and commodity prices: measuring causality at multiple horizons"
(with Hui Jun Zhang and John Galbraith).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 40 pages.
September 2015:
pdf,
ps;
October 2013:
pdf,
ps.
CIRANO DP 2013: 2013s-39.
"Permutation tests for comparing inequality measures"
(with Emmanuel Flachaire and Lynda Khalaf).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 37 pages.
May 2017:
pdf.
December 2015:
pdf.
"Weak identification in probit models with endogenous covariates"
(with Joachim Wilde).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 11 pages.
Latest version (August 2017):
pdf.
"Generalized C(α) tests for estimating functions with serial dependence"
(with Alain Trognon and Purevdorj Tuvaandorj).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 29 pages.
May 2016:
pdf,
ps.
"Invariant tests based on M-estimators, estimating functions, and the generalized method of moments"
(with Alain Trognon and Purevdorj Tuvaandorj).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 37 pages.
June 2016:
pdf,
ps.
"Identification-Robust Factor Pricing: Canadian Evidence"
(with Marie-Claude Beaulieu and Lynda Khalaf).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 5 pages.
June 2015:
pdf,
ps.
"Editors' Introduction: Identification, Simulation and Finite Sample Inference"
(with Marie-Claude Beaulieu, Lynda Khalaf, and Craig MacKinlay).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 5 pages.
June 2015:
pdf,
ps.
"Identification-robust inference for endogeneity parameters in linear structural models"
(with Firmin Doko Tchatoka).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 33 pages.
January 2014:
pdf,
ps.
"Exact confidence sets and goodness-of-fit methods for stable distributions"
(with Marie-Claude Beaulieu and Lynda Khalaf).
Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 33 pages.
October 2013:
pdf,
ps.
"Finite-sample resampling-based combined hypothesis tests,
with applications to serial correlation and predictability"
(with Lynda Khalaf and Marcel Voia).
Discussion Paper, Department of Economics, McGill University and Carleton University, CIREQ and CIRANO, 23 pages.
October 2013:
pdf,
ps,
CIRANO DP 2103s-40.
"Factor-Augmented VARMA models with Macroeconomic Applications"
(with Dalibor Stevanovic).
Discussion Paper, Department of Economics, McGill University and Carleton University, CIREQ and CIRANO, 47 pages.
May 2013:
pdf,
ps.
"Invariant Tests Based on M-estimators, Estimating Functions,
and the Generalized Method of Moments"
(with Alain Trognon and Purevdorj Tuvaandorj).
Discussion Paper, McGill University (Department of Economics), CIREQ, CIRANO and CREST (Paris), 47 pages.
February 2013: pdf,
ps.
"Identification-robust analysis of DSGE and structural macroeconomic models"
(with Lynda Khalaf and Maral Kichian).
Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 30 pages.
January 2013
(pdf,
ps);
May 2012
(pdf,
ps).
"Identification-robust estimation and testing of the zero-beta CAPM"
(with Marie-Claude Beaulieu and Lynda Khalaf).
Discussion Paper, McGill University (Department of Economics), CIREQ, CIRANO and CREST (Paris), 47 pages.
April 2012:
pdf,
ps.
"Measuring high-frequency causality between returns, realized volatility and implied volatility"
(with René Garcia and Abderrahim Taamouti).
Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 2010 (first version: 2006; revised 2008, 2009, 2010).
pdf,
ps.
Empirical appendix:
pdf,
ps.
September 2009 version:
pdf,
ps.
"Asymptotic distributions for some quasi-efficient estimators in echelon-form VARMA models"
(with Tarek Jouini).
Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 2008 (revised 2010 and 2013), 53 pages.
December 2013:
pdf,
ps.
September 2008:
pdf,
ps.
"On the precision of Calvo parameter estimates in structural NKPC models"
(with Lynda Khalaf and Maral Kichian).
Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 2009, 27 pages.
pdf,
ps.
"Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form"
(with Abderrahim Taamouti).
Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 2009, 39 pages.
pdf,
ps.
"Practical methods for modelling weak VARMA processes:
identification, estimation and specification with a macroeconomic
application"
(with Denis Pelletier).
Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 2008, 47 pages.
pdf,
ps.
"Comments on "Weak instrument robust tests in GMM and the new Keynesian Phillips curve"
by F. Kleibergen and S. Mavroeidis" (JBES Lecture).
Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 2008, 9 pages.
pdf,
ps.
"Short and long run causality measures: theory and inference"
(with Abderrahim Taamouti).
Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 2006
(revised 2007 and 2008), 51 pages.
pdf,
ps.
"Identification and causality in macroeconomics and finance",
Bank of Canada Lecture, Canadian Economics Association / Association canadienne d'économique,
University of Bristish Columbia (Vancouver; June 8, 2008). Slides:
pdf,
ps.
"Multivariate residual-based finite-sample tests for serial dependence and ARCH effects
with applications to asset pricing models"
(with Lynda Khalaf and Marie-Claude Beaulieu).
Discussion Paper, CIRANO and CIREQ, McGill University, 2008, 34 pages.
pdf,
ps.
"Structural change and the dynamics of energy prices: an identification-robust test for time-varying parameters"
(with Jean-Thomas Bernard, Lynda Khalaf and Maral Kichian).
Discussion Paper, CIRANO and CIREQ, Université de Montréal, 2006, 20 pages.
pdf,
ps.
"Testing Black's CAPM with possibly non-Gaussian errors: an exact simulation-based approach"
(with Marie-Claude Beaulieu and Lynda Khalaf).
Discussion Paper, CIRANO and CIREQ, Université de Montréal, 2006, 48 pages.
pdf,
ps.
"Simulation-Based Finite and Large Sample Inference Methods in Multiple Equation Regression Models"
(with Lynda Khalaf).
Discussion Paper, C.R.D.E. and CIRANO, Université de Montréal, 1996 (revised 1997), 68 pages.
"Simulation-Based Finite and Large Sample Inference Methods in Simultaneous Equations"
(with Lynda Khalaf).
Discussion Paper, C.R.D.E., Université de Montréal, 1996 (revised 1997), 32 pages.
B. Books, monographs, special issues / Livres, monographies, numéros spéciaux
Identification, Simulation and Finite Sample Inference,
Editor (with Marie-Claude Beaulieu, Lynda Khalaf, and Craig MacKinlay),
special issue of L'Actualité économique, forthcoming.
Heavy tails and stable Paretian distributions in econometrics,
Editor (with Jeong Kurz-Kim),
special issue of Journal of Econometrics, 181, 1 (July 2014), 1-64.
Heavy Tails and Paretian Distributions in Empirical Finance. A Volume Honoring Benoît Mandelbrot ,
Editor (with with Franz Palm and Jeong Kurz-Kim),
special issue of Journal of Empirical Finance, 17 (2) 2010, 177-282.
Resampling Methods in Econometrics, Editor (with Benoit Perron),
Annals issue of the Journal of Econometrics, Volume 133 (2), 2006, 478 pages.
Recent Developments in the Econometrics of Structural Change Editor, with Eric Ghysels),
Annals issue of the Journal of Econometrics, volume 70, 1996, North-Holland, Amsterdam, 316 pages.
New Developments in Time Series Econometrics (Editor, with Baldev Raj),
in the collection :
Studies in Empirical Economics, Physica-Verlag (Heidelberg) and Springer-Verlag (New York), 1994, 250 pages.
[Book edition of Empirical Economics special issue.]
New Developments in Time Series Econometrics
(Editor, with Baldev Raj), special issue of
Empirical Economics 18(4), 1993, 557-806.
Government Assistance to Export Financing
(with André Raynauld and Daniel Racette), Economic Council of Canada,
Ottawa, 1983, 125 pages (English translation of preceding book).
L'aide publique au financement des exportations
(with André Raynauld and Daniel Racette), Economic Council of Canada, Ottawa, 1983, 135 pages.
C. Articles
"Permutation tests for comparing inequality measures"
(with Emmanuel Flachaire and Lynda Khalaf).
Journal of Business and Economic Statistics, forthcoming.
Taylor and Francis
Discussion Paper - May 2017:
pdf.
"Confidence sets for inequality measures: Fieller-type methods"
(with Emmanuel Flachaire, Lynda Khalaf and Abdallah Zalghout),
Productivity and Inequality, ,
edited by William Greene, Lynda Khalaf, Paul Makdissi, Robin Sickles, Mike Veall and Marcel Voia, Springer, Berlin and New York, forthcoming.
Discussion Paper - April 2017:
pdf
"Identification-robust moment-based tests for Markov-switching in autoregressive models"
(with Richard Luger).
Econometric Reviews, 36, 6-9 (Special Issue: In Honor of Esfandiar Maasoumi), 713-727.
Taylor and Francis
Discussion Paper - December 2016:
pdf,
ps.
"Invariant tests based on M-estimators, estimating functions, and the generalized method of moments"
(with Alain Trognon and Purevdorj Tuvaandorj).
Econometric Reviews, 36 (2017), 1 - 3, 182-204.
Online version:
Econometric Reviews,
pdf,
Interactive pdf.
Discussion paper - June 2016 (with minor editorial corrections):
pdf,
ps
"Generalized C(α) tests for estimating functions with serial dependence"
(with Alain Trognon and Purevdorj Tuvaandorj),
Time Series Methods and Applications: the McLeod Festschrift,
edited by Wai Keung Li, David Stanford and Hao Yu, Springer, Berlin and New York, 2016, 151-178.
Discussion Paper - May 2016:
pdf,
ps.
The original publication is available at
www.springerlink.com.
"Exchange rates and commodity prices: measuring causality at multiple horizons"
(with Hui Jun Zhang and John Galbraith).
Journal of Empirical Finance, 36 (March 2016), 100-120.
ScienceDirect
Discussion Paper - September 2015:
pdf,
ps;
October 2013:
pdf,
ps,
CIRANO DP 2013s-39.
"Identification-Robust Factor Pricing: Canadian Evidence"
(with Marie-Claude Beaulieu and Lynda Khalaf).
L'Actualité économique, special issue on
Identification, Simulation and Finite Sample Inference, forthcoming.
Discussion paper - June 2015:
pdf,
ps.
"Editors' Introduction: Identification, Simulation and Finite Sample Inference"
(with Marie-Claude Beaulieu, Lynda Khalaf, and Craig MacKinlay).
L'Actualité économique, special issue on
Identification, Simulation and Finite Sample Inference, forthcoming.
Discussion paper - June 2015:
pdf,
ps.
"Exact confidence sets and goodness-of-fit test methods for stable distributions"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Econometrics, 181, 1 (July 2014), 3-14.
Discussion paper - October 2013:
pdf,
ps.
"Asymptotic distributions for quasi-efficient estimators in echelon-form VARMA models" (with Tarek Jouini),
Computational Statistics and Data Analysis, 73, May 2014, 69-86.
Discussion paper - December 2013:
pdf,
ps.
September 2008:
pdf,
ps.
"Finite-sample resampling-based combined hypothesis tests,
with applications to serial correlation and predictability"
(with Lynda Khalaf and Marcel Voia), Communications in Statistics - Simulation and Computation,
44, 9 (October 2015), 2329-2347.
Discussion paper - October 2013:
pdf,
ps;
CIRANO DP 2103s-40.
"Identification-robust inference for endogeneity parameters in linear structural models"
(with Firmin Doko Tchatoka), The Econometrics Journal, 17 (2014), 15-187.
pdf
Discussion paper - January 2014:
pdf,
ps.
More complete version - January 2014:
pdf,
ps;
CIRANO DP 2014s-17.
"Factor-Augmented VARMA models with Macroeconomic Applications"
(with Dalibor Stevanovic),
Journal of Business and Economic Statistics, 31 (2013), 4, 491-506.
Discussion paper - May 2013:
pdf,
ps.
"Identification-robust analysis of DSGE and structural macroeconomic models"
(with Lynda Khalaf and Maral Kichian),
Journal of Monetary Economics, 60, 3 (April 2013), 340-350.
Discussion paper - January 2013:
pdf,
ps;
May 2012:
pdf,
ps.
"Identification-robust estimation and testing of the zero-beta CAPM"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Review of Economic Studies, 83, 3 (July 2013), 892-924.
Discussion paper - April 2012:
pdf,
ps.
"A Regularized Goodness-of-Fit test for Copulas"
(with Christian Genest and Wanling Huang),
Journal de la Société Française de Statistique, 154 (2013), 1, 64-77.
pdf,
Journal de la Société Française de Statistique.
"An identification-robust test for time-varying parameters in the dynamics of energy prices"
(with Jean-Thomas Bernard, Lynda Khalaf and Maral Kichian),
Journal of Applied Econometrics, 27 (2012), 4, 603-624.
Discussion paper - October 2010:
pdf,
ps.
"Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form"
(with Abderrahim Taamouti).
Computational Statistics and Data Analysis, 54 (2010), 2532-2553.
Discussion Paper - June 2009:
pdf,
ps.
"Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance: A volume honoring Benoît B. Mandelbrot"
(with Jeong-Ryeol Kurz-Kim and Franz Palm).
Journal of Empirical Finance, 17 (2) 2010, 177-179.
pdf.
"Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions"
(with Jeong-Ryeol Kurz-Kim).
Journal of Empirical Finance, 17 (2010), 180-194.
pdf.
Discussion Paper - July 2007:
pdf,
ps.
"Short and long run causality measures: theory and inference"
(with Abderrahim Taamouti),
Journal of Econometrics, 154 (2010), 1, 42-58.
pdf,
ps.
Discussion paper -
pdf,
ps.
"Multivariate residual-based finite-sample tests for serial dependence and ARCH
effects with applications to asset pricing models"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Journal of Applied Econometrics, 25 (2010), 263-285.
pdf,
ps.
"Finite-sample distribution-free inference in linear median regressions under
heteroskedasticity and nonlinear dependence of unknown form"
(with élise Coudin),
The Econometrics Journal, Tenth Anniversary Special Issue, 12 (2009), S1, S19-S49.
pdf.
Discussion paper -
pdf,
ps.
"Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models"
(with Pascale Valéry),
Journal of Econometrics, 150 (2009), 193-206.
Elsevier.
Discussion paper -
pdf,
ps.
"Finite-sample multivariate tests of asset pricing models with coskewness"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Computational Statistics and Data Analysis, 53 (2009), 2008-2021.
pdf,
ps.
Discussion paper -
pdf,
ps.
"Tests for Non-Correlation of Two Infinite-Order Cointegrated Vector Autoregressive Series"
(with Chafik Bouhaddioui),
Journal of Applied Probability and Statistics, 3 (2008), 1, 77-94.
pdf,
ps.
"Instrument endogeneity and identification-robust tests: some analytical results"
(with Firmin Doko Tchatoka),
Journal of Statistical Planning and Inference, 138 (2008), 2649-2661.
pdf.
Discussion paper -
pdf,
ps.
"Identification"
(with Cheng Hsiao),
in The New Palgrave Dictionary of Economics, edited by Larry Blume and Steven Durlauf, 2008,
Palgrave Macmillan, Basingstoke, Hampshire, England.
On line,
pdf.
Discussion paper -
pdf,
ps.
"Model Selection",
in The New Palgrave Dictionary of Economics, edited by Larry Blume and Steven Durlauf, 2008,
Palgrave Macmillan, Basingstoke, Hampshire, England.
On line,
pdf.
Discussion paper -
pdf,
ps.
"Testing mean-variance efficiency in CAPM with possibly non-gaussian errors:
an exact simulation-based approach"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Business and Economic Statistics, 25 (2007), 4, 398-410.
pdf.
Discussion paper:
pdf,
ps.
"Further results on projection-based inference in IV regressions with weak, collinear or missing instruments"
(with Mohamed Taamouti),
Journal of Econometrics, 139 (2007), 1, 133-153.
pdf.
More complete version:
pdf,
ps.
"Statistical inference for calibrated parameters in computable general equilibrium models"
(with Touhami Abdelkhalek),
Annales d'économie et de statistique, 81 (2006), 1-32.
pdf,
ps.
"Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis"
(with Lynda Khalaf and Maral Kichian),
Journal of Economic Dynamics and Control, 30 (2006), 9-10, 1707-1727.
pdf.
Discussion paper -
pdf,
ps.
"Finite-sample simulation-based tests in VAR models with application to Granger causality testing"
(with Tarek Jouini),
Journal of Econometrics, 135 (2006), 1-2, 229-254.
pdf.
More complete version:
pdf,
ps.
"Monte Carlo Tests with nuisance parameters:
A general approach to finite-sample inference and nonstandard asymptotics in econometrics",
Journal of Econometrics, 133 (2006), 2, 443-477.
pdf.
Discussion paper -
pdf,
ps.
"Editor's introduction: Resampling methods in econometrics"
(with Benoit Perron),
Journal of Econometrics, 133 (2006), 2, 411-419.
pdf.
Discussion paper - pdf,
ps.
"Short run and long run causality in time series: inference"
(with Denis Pelletier and éric Renault),
Journal of Econometrics, 132 (2006), 2, 337-362.
pdf.
Discussion paper -
pdf,
ps.
More complete version:
pdf,
ps.
Data: pdf,
excel,
txt.
"Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series"
(with Abdeljelil Farhat and Marc Hallin),
Journal of Econometrics, 130 (2006), 123-142.
pdf.
Discussion paper - pdf,
ps.
More complete version: pdf,
ps.
"On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression"
(with Pascale Valéry), in Volume 20 (Part A) of
Advances in Econometrics: Econometric Analysis of Economic and Financial Time Series,
in honor of Clive Granger and Robert Engle,
edited by Thomas B. Fomby and Dek Terrell, Elsevier Science, Oxford (U.K.), Elsevier Science, Oxford U.K.), 2006, 259-288.
pdf,
ps.
"Projection-based statistical inference in linear structural models with possibly weak instruments"
(with Mohamed Taamouti),
Econometrica, 73 (2005), 4, 1351-1365.
pdf.
More complete version:
pdf,
ps.
"Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form"
(with Tarek Jouini),
in Statistical Modeling and Analysis for Complex Data Problems,
edited by Pierre Duchesne and Bruno Rémillard,
Kluwer/Springer-Verlag, New York, 2005, Chapter 11, 209-240.
"Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression"
(with Abdeljelil Farhat and Lynda Khalaf),
L'Actualité économique, 80 (2004), 593-618.
pdf,
ps.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions" (
with Marie-Claude Beaulieu et Lynda Khalaf),
Numerical Methods in Finance,
edited by M. Breton et H. Ben Ameur,
Kluwer/Springer-Verlag, New York, 2005, Chapter 9, 173-191.
pdf.
Distribution of a Simple Linear Estimator for VARMA Models in
Echelon Form" (with Tarek Jouini) in
Statistical Modeling and Analysis for Complex Data Problems,
edited by Pierre Duchesne and Bruno Rémillard,
Kluwer/Springer-Verlag, New York, Chapter 11, 209-240.
pdf,
ps.
"Simulation-based finite-sample tests for heteroskedasticity and ARCH effects"
(with Lynda Khalaf, Jean-Thomas Bernard and Ian Genest),
Journal of Econometrics, 122, 2 (October 2004), 317-347.
pdf.
More complete version:
pdf,
ps.
"Exact simulation-based inference for autoregressive processes based on induced tests"
(with Malika Neifar),
in COMpsTAT 2004 - Proceedings in Computational Statistics,
16th Symposium Held in Prague, Czech Republic, 2004,
edited by Jaromir Antoch, Springer, New York, 2004, 943-950.
pdf,
ps.
"Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes"
(with Malika Neifar),
L'Actualité économique, 80 (2004), 501-522.
pdf,
ps,
ps.zip,
pdf.zip.
"Identification, Weak Instruments and Statistical Inference in Econometrics.
Presidential Address to the Canadian Economics Association",
Canadian Journal of Economics, 36, 4 (November 2003), 767-808.
pdf.
Discussion paper -
pdf,
ps.
Slides:
pdf,
ps.
"Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions"
(with Lynda Khalaf),
in Computer-Aided Econometrics,
edited by David Giles, Marcel Dekker, New York, 2003, Chapter 2, 11-35.
ps,
pdf.
"Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in
Multivariate Regressions with Application to Asset Pricing Models"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Oxford Bulletin of Economics and Statistics, 65 (2003), 891-906.
pdf,
ps.
"Testing Causality Between Two Vectors in Multivariate ARMA Models"
(with Hafida Boudjellaba and Roch Roy),
in Recent Developments in Time Series,
edited by Paul Newbold and Stephen J. Leybourne,
The International Library of Critical Writings in Econometrics,
Edward Elgar, Cheltenham, England, 2003, Chapter 21.
Reprint of article published in the
Journal of the American Statistical Association 87, 1992, 1082-1090.
pdf.
"Simulation Based Finite and Large Sample Tests in Multivariate Regressions"
(with Lynda Khalaf),
Journal of Econometrics 111, 2 (December 2002), 303-322.
pdf.
Discussion paper -
pdf,
ps.
"Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions"
(with Lynda Khalaf),
Journal of Econometrics, 106, January 2002, 143-170.
pdf.
Discussion paper -
pdf.
ps,
Méthodes d'inférence exactes pour des processus autorégressifs: une approche fondée sur des tests induits"
(with Malika Neifar),
L'Actualité économique, 78 (mars 2002), 19-40.
pdf,
ps.
"Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors"
(with Joanna Jasiak),
International Economic Review , 42, 2001, 815-843.
pdf.
Discussion paper:
pdf,
ps.
More complete version:
pdf,
ps.
"Logique et tests d'hypothèses: réflexions sur les problèmes mal posés en économétrie.
Allocution présidentielle devant la Société canadienne de science économique",
L'Actualité économique, 77, Juin 2001, 171-190.
pdf,
ps.
Slides / Acétates:
English:
pdf,
ps;
Français:
pdf,
ps;
"L'économétrie, théorie des tests et philosophie des sciences",
in Présentations de l'Académie des lettres et des sciences humaines,
Société royale du Canada/The Royal Society of Canada, , Ottawa, 166-182.
pdf,
ps.
"L'incertitude sur le comportement des exportateurs et des importateurs marocains
ou l'inférence statistique dans l'équilibre général calculable"
(with Touhami Abdelkhalek),
in La politique économique du développement et les modèles d'équilibre général calculable,
edited by Bernard Decaluwe and André Martens,
Presses de l'Université de Montréal, Chapter 17, 437-469.
pdf,
ps.
"Monte Carlo Test Methods in Econometrics" (with Lynda Khalaf), in
Companion to Theoretical Econometrics,
edited by Badi Baltagi, Blackwell, Oxford, U.K., 2001, Chapter 23, 494-519.
pdf,
ps.
More complete version:
pdf,
ps.
"Markovian Processes, Two-Sided Autoregressions and Exact Inference
for Stationary and Nonstationary Autoregressive Processes" (with Olivier Torrès),
Journal of Econometrics, 99, 2000, 255-289.
pdf.
Discussion paper -
pdf,
ps.
"Short-Run and Long-Run Causality in Time Series : Theory" (
with Eric Renault),
Econometrica, 66, 1998, 1099-1125.
pdf.
"Exact Inference Methods for First-order Autoregressive Distributed Lag Models"
(with Jan Kiviet), Econometrica, 66, 1998, 9-104.
pdf.
"Statistical Inference for Computable General Equilibrium Models
with Applications to a Model of the Moroccan Economy"
(with Touhami Abdelkhalek),
Review of Economics and Statistics, LXXX, 1998, 520-534.
pdf.
Discussion paper - pdf,
ps.
"Simulation-Based Finite Sample Normality Tests in Linear Regressions"
(with Abdeljelil Farhat, Lucien Gardiol and Lynda Khalaf),
The Econometrics Journal, 1, 1998, 154-173.
pdf.
"Generalized Runs Tests for Heteroskedastic Time Series"
(with Marc Hallin and Ivan Mizera),
Journal of Nonparametric Statistics, 9, 1998, 39-86.
"Union-Intersection and Sample-Split Methods in Econometrics with Applications to SURE and MA Models"
(with Olivier Torrès),
in Handbook of Applied Economic Statistics,
edited by David Giles and Aman Ullah,
Marcel Dekker, New York, 1998, Chapter 14, 465-505.
pdf,
ps.
"Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models",
Econometrica, 65, 1997, 1365-1388.
pdf.
Discussion paper - ps,
pdf.
"Exact Tests in Single Equation Autoregressive Distributed Lag Models"
(with Jan Kiviet),
Journal of Econometrics, 80, 1997, 195-224.
pdf.
"Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter"
(with Bryan Campbell),
International Economic Review, 38, 1997, 151-173.
pdf.
"La causalité entre la monnaie et le revenu: une analyse fondée sur un modèle VARMA-éCHELON"
(with David Tessier),
L'Actualité économique, (special issue) 73, 1997, 351-366.
Also in
L'économétrie appliquée, (book
edited by Christian Gouriéroux and Claude Montmarquette), Economica, Paris.
"Recent Developments in the Econometrics of Structural Change : Overview"
(with Eric Ghysels),
Journal of Econometrics, 70, 1996, 1-8.
pdf.
"Exact Tests for Structural Change in First-Order Dynamic Models"
(with Jan Kiviet),
Journal of Econometrics, 70, 1996, 39-68.
pdf
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"Pitfalls of Rescaling Regression Models with Box-Cox Transformations"
(with Marcel G. Dagenais),
Review of Economics and Statistics, 76, 1994, 571-575.
pdf.
"Simplified
Conditions for Non-Causality Between Two Vectors in Multivariate ARMA Models"
(with Hafida Boudjellaba and Roch Roy),
Journal of Econometrics, 63, 1994, 271-287.
pdf.
"Generalized Predictive Tests and Structural Change Analysis in Econometrics"
(with Eric Ghysels and Alastair Hall),
International Economic Review, 35, 1994, 199-229.
pdf.
"Tabulation of Farebrother's Test of Linear Restrictions : A Solution"
(with Sophie Mahseredjian),
Econometric Theory, 9,1993, 697-702.
"New Developments in Time Series Econometrics : An Overview"
(with Baldev Raj),
Empirical Economics, 18, 1993, 557-564.
"On the Relationship between Impulse Response Analysis, Innovation Accounting and Granger Causality"
(with David Tessier),
Economics Letters, 42, 1993, 327-333.
pdf.
"Improved Eaton Bounds for Linear Combinations of Bounded Random Variables, with Statistical Applications"
(with Marc Hallin),
Journal of the American Statistical Association, 88, 1993, 1026-1033.
pdf.
Comment on "The Importance of Seasonality in Estimating Inventory Investment Behavior Using Business Survey Data,
by Marc Nerlove,David Ross and Douglas Willson",
Journal of Econometrics, 55, 1993, 129-133.
pdf.
"Testing Causality Between Two Vectors in Multivariate ARMA Models"
(with Hafida Boudjellaba and Roch Roy),
Journal of the American Statistical Association, 87, 1992, 1082-1090.
pdf.
"Nonlinear Models, Rescaling and Test Invariance"
(with Marcel G. Dagenais),
Journal of Statistical Planning and Inference, 32, 1992, 111-135.
"Simple Exact Bounds for Distributions of Linear Signed Rank Statistics"
(with Marc Hallin),
Journal of Statistical Planning and Inference, 31, 1992, 311-333.
"On the Lack of Invariance of Some Asymptotic Tests to Rescaling"
(with Marcel G. Dagenais),
Economics Letters, 38, 1992, 251-257.
pdf.
"Improved Berry-Esseen-Chebyshev Bounds with Statistical Applications"
(with Marc Hallin),
Econometric Theory, 8, 1992, 223-240.
Comment on "Cointegration and the Demand for M2 and M2+ in Canada, by Steve Ambler and Alain Paquet",
in Monetary Seminar, A Seminar Sponsored by the Bank of Canada, May 7-9, 1990,
edited by David Longworth, Bank of Canada, Ottawa, 1992, 169-173.
"Invariance, Nonlinear Models and Asymptotic Tests"
(with Marcel G. Dagenais),
Econometrica, 59, 1991, 1601-1615.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Nonuniform Bounds for Nonparametric t Tests"
(with Marc Hallin),
Econometric Theory, 7, 1991, 253-263.
"Optimal Invariant Tests for the Autocorrelation Coefficient in Linear Regressions
with Stationary or Nonstationary AR(1) Errors"
(withMax King),
Journal of Econometrics, 47, 1991, 115-143.
pdf.
"Kimball's Inequality and Bounds Tests for Comparing Several Regressions under Heteroskedasticity",
Economic Structural Change. Analysis and Forecasting,
edited by Peter Hackl and Anders Westlund,
Springer-Verlag, Berlin, 1991, 49-57.
"An Exponential Bound for the Permutational Distribution of a First-order Autocorrelation Coefficient"
(with Marc Hallin),
Statistique et analyse des données, 15(1), June 1990, 45-56.
"Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors",
Econometrica, 58, 1990, 475-494.
pdf.
"Nonlinear Hypotheses, Inequality Restrictions and Non-Nested Hypotheses:
Exact Simultaneous Tests in Linear Regressions",
Econometrica, 57, 1989, 335-355.
pdf.
"Investment, Taxation and Econometric Policy Evaluation : Some Evidence on the Lucas Critique",
in Statistical Analysis and Forecasting of Economic Structural Change,
edited by Peter Hackl,
Springer-Verlag, Berlin, 1989, 441-473.
pdf.
"Estimators of the Disturbance Variance in Econometric Models:
Small-Sample Bias and the Existence of Moments",
Journal of Econometrics, 37(2), 1988, 277-292.
pdf.
"Linear Wald Methods for Inference on Covariances and Weak Exogeneity Tests in Structural Equations",
in Time Series and Econometric Modelling,
edited by I.B. MacNeil and G.J. Umphrey,
D. Reidel Publishing Company (Dordrecht, Holland), 1987, 317-338.
"Tests non paramétriques optimaux pour le modèle autorégressif d'ordre un"
(with Marc Hallin),
Annales d'économie et de statistique, 5, 1987, 411-434.
"Recursive Stability Analysis: The Demand for Money During the GermanHyperinflation",
in ModelReliability,
edited by David A. Belsley and Edwin Kuh,
M.I.T. Press (Boston), 1986, 18-61.
"L'échangeabilité en séries chronologiques: quelques résultats exacts
sur les autocorrélations et les statistiques portemanteau"
(with Roch Roy),
Cahiers du Centre d'études de Recherche Opérationnelle, 28(1-2-3), 1986, 19-39.
"Generalized Portmanteau Statistics and Tests of Randomness"
(with Roch Roy),
Communications in Statistics, Theory and Methods, 15(10), 1986, 2953-2972.
"Bias of S2 in Linear Regressions with Dependent Errors",
The American Statistician, 40 (1986), 4, 284-285.
"Monetary Control in Canada"
(with Daniel Racette),
in Fiscal and Monetary Policy,
edited by John Sargent,
Research Study no. 21, Royal Commission on the Economic Union and Development, Prospects for Canada,
University of Toronto Press, 1986, 199-256.
"Le contrôle de la monnaie au Canada",
in Les politiques budgétaire et monétaire, édité par John Sargent,
étude no 21, Commission Royale sur l'union économique et les perspectives de développement du Canada,
Ministère des approvisionnements et services, 1986, 225-290.
[French translation of "Monetary Control in Canada".]
"Une évaluation économique du financement public des exportations"
(with Daniel Racette),
Canadian Public Policy/Analyse de Politiques, 12(4), 1986, 584-595.
"Mesure et incidence des dépenses fiscales au Québec"
(with Jacques Jobin),
L'Actualité économique, 61(1), March 1985, 93-111.
"Some Robust Exact Results on Sample Autocorrelations and Tests of Randomness"
(with Roch Roy),
Journalof Econometrics, 29, 1985, 257-273.
pdf.
"Unbiasedness of Predictions from Estimated Vector Autoregressions",
Econometric Theory, 1, 1985, 387-402.
"Durbin-Watson Tests for Serial Correlation in Regressions with Missing Observations"
(with Marcel G. Dagenais),
Journal of Econometrics, 27(3), March 1985, 371-381.
pdf.
"Unbiasedness of Predictions from Estimated Autoregressions when the True Order is Unknown",
Econometrica, 52(1), January 1984, 209-215.
pdf.
"A Warning on the Use of the Cochrane-Orcutt Procedure Based on a Money Demand Equation"
(with Marc Gaudry and Rick Hafer),
Empirical Economics, 8, 1983, 111-117.
"Provincial and Federal Sale Taxes: Evidence of the Effects and Prospects for Change"
(with F. Vaillancourt),
in Tax Policy Options in the 1980's,
edited by W.R. Thirsk and J. Whalley,
Canadian Tax Paper no. 66, Canadian Tax Foundation, Toronto, 1982, 408-435.
pdf.
"Generalized Chow Tests for Structural Change: A Coordinate-Free Approach",
International Economic Review, 23, 1982, 565-575.
pdf.
"Recursive Stability Analysis of Linear Regression Relationships:
An Exploratory Methodology",
Journal of Econometrics, 19(1), May 1982, 31-76.
pdf.
"Nonparametric Testing for Time Series: A Bibliography"
(with Yves Lepage and Hanna Zeidan),
Canadian Journal of Statistics, 10, 1982, 1-38.
pdf.
"Variables binaires et tests prédictifs contre les changements structurels:
une application à l'équation de St-Louis",
L'Actualité économique, 57, 1981, 376-385.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Dummy Variables and Predictive Tests for Structural Change",
Economics Letters, 6, 1980,241-247.
pdf.
"The Cochrane-Orcutt Procedure: Numerical Examples of Multiple Admissible Minima"
(with Marc Gaudry and Tran Cong Liem),
Economics Letters, 6, 1980, 43-48.
pdf.
"Fonctions de production dans l'économie du Québec"
(with Vittorio Corbo),
L'Actualité économique, 54, 1978, 176-206.
pdf.
"On Spectral Estimation for a Homogeneous Process on the Circle"
(with Roch Roy),
Stochastic Processes and their Applications, 4, 1976, 107-120.
pdf.
"Exact Properties of Spectral Estimates for a Gaussian Process on the Circle" (with Roch Roy),
Utilitas Mathematica, 5, 1974, 281-291.
pdf.
D. Proceedings / Comptes rendus de congrès
"Finite Sample Simulation-Based Inference in Vector Autoregressive Models"
(with Tarek Jouini),
2003 Proceedings of the Business and Economic Statistics Section of the American Statistical Association,
Washington, D.C., 2032-2037.
"Multivariate Residual-Based Finite-Sample Misspecification Tests with Evidence from Asset Pricing Models"
(with Lynda Khalaf and Marie-Claude Beaulieu),
2003 Proceedings of the Business and Economic Statistics Section of the American Statistical Association,
Washington, D.C., 1298-1305.
"Linear Methods for Estimating VARMA Models with a Macroeconomic Application"
(with Denis Pelletier),
2002 Proceedings of the Business and Economic Statistics Section of the American Statistical Association,
Washington, DC, 2659-2664.
pdf,
ps.
"Simulation-Based Finite and Large Sample Inference Methods in Multiple Equation Regression Models"
(with Lynda Khalaf),
1997 Proceedings of the Business and Economic Statistics Section of the American Statistical Association,
Washington, DC.
"Some Exact Inference Procedures for Stationary and Nonstationary Autoregressive Processes"
(with O. Torrès),
1994 Proceedings of the Business and Economic Statistics Section of the American Statistical Association,
Washington, DC, 135-140.
"Parsimonious
Autoregressive Conditions for Non-Causality in Multivariate ARMA
Models" (with S. Nsiri and D. Tessier),
1994 Proceedings of the Business and Economic Statistics Section of the American Statistical Association,
Washington, DC, 129-134.
"Durbin-Watson Tests with Missing Observations: Applications and Comparisons"
(with Marcel G. Dagenais),
1984 Proceedings of the Business and Economic Statistics Section of the American Statistical Association,
Washington (D.C.), 525-531.
"Predictive Tests for Structural Change and the St-Louis Equation",
1982 Proceedings of the Business and Economic Statistics Section of the American Statistical Association,
Washington (D.C.), 323-327.
[Revised English version of L'Actualité économique 57, 1981, 276-305.]
"Rank Tests for Serial Correlation",
1978 Proceedings of the Business and Economic Statistics Section, Meetings of the American Statistical Association (San Diego),
Washington (D.C.), 748-753.
pdf.
E.
Reviews / Recensions
Review of "Estimation and Inference in Econometrics",
by Russell Davidson and James G. MacKinnon (Oxford University Press, New York, 1993),
Canadian Journal of Economics, XXVIII, 1995, 718-721.
Review of "Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction"
by R. J. Bhansali
[ Journal of the American Statistical Association, 78, 1981,
Mathematical Reviews, 83, 1983, 729.
Other documents / Autres documents
"Sur les conditions de réalisation de la recherche au Québec".
Slides / Diapositives (français):
pdf,
ps.
"De l'utilité de l'économétrie aux fins d'analyse des politiques publiques",
allocution invitée pour l'Association des économistes québécois (ASDEQ),
Banque du Canada (Ottawa; 22 novembre 2006)
/
"On the use of Econometrics for public policy analysis",
invited talk for the Association des économistes québécois (ASDEQ), Bank of Canada (Ottawa; November 22, 2006).
Slides / Diapositives (français):
pdf,
ps.
Program of the 2002 Meetings of the Canadian Economics Association (Calgary; May 30 - June 2, 2002)
/
Programme du Congrès annuel 2002 de l'Association canadienne d'économique (Calgary; 30 mai - 2 juin 2002):
pdf
Conferences / Colloques
Upcoming conferences / Colloques à venir
18th IWH-CIREQ-GW Macroeconometric Workshop on "Mixed Frequency Data in Macroeconomics and Finance"
to be held in Halle (Saale) on December 12-13, 2017.
Organizers: Jean-Marie Dufour (McGill University, CIREQ, IWH),
Katja Heinisch (IWH),
Oliver Holtemöller (IWH and Martin-Luther-University Halle-Wittenberg),
Boreum Kwak (IWH and Martin-Luther-University Halle-Wittenberg),
Tara M. Sinclair (The George Washington University, IWH).
Call for papers:
pdf.
Conference web site:
IWH,
CIREQ.
Past conferences / Colloques passés
Heavy tails and stable Paretian distributions in finance and macroeconomics
in celebration of the 80th birthday of Professor
Benoît B. Mandelbrot,
10-12 November 2005, Deutsche Bundesbank conference centre, Eltville, Germany.
Organizers: Jean-Marie Dufour (Université de Montréal) and Jeong-Ryeol Kurz-Kim (Deutsche Bundesbank).
Program
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter"
(with Bryan Campbell),
International Economic Review, 38, 1997, 151-173.
pdf.
"Finite-sample distribution-free inference in linear median regressions under
heteroskedasticity and nonlinear dependence of unknown form"
(with élise Coudin),
The Econometrics Journal, Tenth Anniversary Special Issue, 12 (2009), S1, S19-S49.
pdf.
Discussion paper -
pdf,
ps.
"Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form"
(with Abderrahim Taamouti).
Computational Statistics and Data Analysis, 54 (2010), 2532-2553.
Discussion Paper - June 2009:
pdf,
ps.
"Monte Carlo Test Methods in Econometrics" (with Lynda Khalaf), in
Companion to Theoretical Econometrics,
edited by Badi Baltagi, Blackwell, Oxford, U.K., 2001, Chapter 23, 494-519.
pdf,
ps.
More complete version:
pdf,
ps.
"Simulation Based Finite and Large Sample Tests in Multivariate Regressions"
(with Lynda Khalaf),
Journal of Econometrics 111, 2 (December 2002), 303-322.
pdf.
Discussion paper -
pdf,
ps.
"Testing mean-variance efficiency in CAPM with possibly non-gaussian errors:
an exact simulation-based approach"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Business and Economic Statistics, 25 (2007), 4, 398-410.
pdf.
Discussion paper:
pdf,
ps.
"Finite-sample multivariate tests of asset pricing models with coskewness"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Computational Statistics and Data Analysis, 53 (2009), 2008-2021.
pdf,
ps.
Discussion paper -
pdf,
ps.
"Multivariate residual-based finite-sample tests for serial dependence and ARCH
effects with applications to asset pricing models"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Journal of Applied Econometrics, 25 (2010), 263-285.
pdf,
ps.
"Identification-robust estimation and testing of the zero-beta CAPM"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Review of Economic Studies, 83, 3 (July 2013), 892-924.
Discussion paper - April 2012:
pdf,
ps.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions" (
with Marie-Claude Beaulieu et Lynda Khalaf),
Numerical Methods in Finance,
edited by M. Breton et H. Ben Ameur,
Kluwer/Springer-Verlag, New York, 2005, Chapter 9, 173-191.
pdf.
"Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions"
(with Jeong-Ryeol Kurz-Kim).
Journal of Empirical Finance, 17 (2010), 180-194.
pdf.
Discussion Paper - July 2007:
pdf,
ps.
"Exact confidence sets and goodness-of-fit test methods for stable distributions"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Econometrics, forthcoming.
Discussion paper - October 2013:
pdf,
ps.
Mathematical notes
Properties of moments of random variables:
pdf,
ps.
Slides:
pdf,
ps.
Multivariate distributions and measures of dependence
between random variables:
pdf,
ps.
Slides:
pdf,
ps.
"Generalized C(α) tests for estimating functions with serial dependence"
(with Alain Trognon and Purevdorj Tuvaandorj),
Time Series Methods and Applications: the McLeod Festschrift,
edited by Wai Keung Li, David Stanford and Hao Yu (Springer, Berlin and New York),
forthcoming.
Discussion Paper - August 2015:
pdf,
ps.
"Invariant tests based on M-estimators, estimating functions, and the generalized method
of moments"
(with Alain Trognon and Purevdorj Tuvaandorj).
Econometric Reviews, forthcoming.
Online version:
Econometric Reviews,
pdf.
Discussion paper - June 2016 (with minor editorial corrections):
pdf,
ps.
Other references
"Monte Carlo Tests with nuisance parameters:
A general approach to finite-sample inference and nonstandard asymptotics in econometrics",
Journal of Econometrics, 133 (2006), 2, 443-477.
pdf.
Discussion paper -
pdf,
ps.
"Invariance, Nonlinear Models and Asymptotic Tests"
(with Marcel G. Dagenais),
Econometrica, 59, 1991, 1601-1615.
pdf.
"On the Lack of Invariance of Some Asymptotic Tests to Rescaling"
(with Marcel G. Dagenais),
Economics Letters, 38, 1992, 251-257.
pdf.
"Nonlinear Models, Rescaling and Test Invariance"
(with Marcel G. Dagenais),
Journal of Statistical Planning and Inference, 32, 1992, 111-135.
"Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models"
(with Pascale Valéry),
Journal of Econometrics, 150 (2009), 193-206.
Elsevier.
Discussion paper -
pdf,
ps.
General information
