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Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference
Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf
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Identification-robust Inequality Analysis
Jean-Marie Dufour, Emmanuel Flachaire, Lynda Khalaf and Abdallah Zalghout
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Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogenous dependent errors
Elise Coudin and Jean-Marie Dufour
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Identification-robust moment-based tests for Markov-switching in autoregressive models
Jean-Marie Dufour and Richard Luger
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Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
Firmin Doko Tchatoka and Jean-Marie Dufour
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Invariant tests based on M-estimators, estimating functions, and the generalized method of moments
Jean-Marie Dufour, Alain Trognon and Purevdorj Tuvaandorj
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Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
Jean-Marie Dufour and Tarek Jouini
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Exact confidence sets and goodness-of-fit methods for stable distributions
Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf
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Identification-robust inference for endogeneity parameters in linear structural models
Firmin Doko Tchatoka and Jean-Marie Dufour
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Exchange rates and commodity prices: measuring causality at multiple horizons
Hui Jun Zhang , Jean-Marie Dufour and John W. Galbraith
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Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
Jean-Marie Dufour, Lynda Khalaf and Marcel Voia
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Identification-robust estimation and testing of the zero-beta CAPM
Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf
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An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices
Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf and Maral Kichian
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Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors
Elise Coudin and Jean-Marie Dufour
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Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models
Jean-Marie Dufour and Tarek Jouini
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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
Jean-Marie Dufour, René Garcia and Abderrahim Taamouti
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Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis
Jean-Marie Dufour, Lynda Khalaf and Maral Kichian
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Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing
Jean-Marie Dufour and Tarek Jouini
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf
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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
Jean-Marie Dufour, Abdeljelil Farhat and Marc Hallin
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Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
Jean-Marie Dufour, Abdeljelil Farhat and Lynda Khalaf
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Asymptotic distribution of a simple linear estimator for VARMA models in echelon form
Jean-Marie Dufour and Tarek Jouini
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Short Run and Long Run Causality in Time Series: Inference
Jean-Marie Dufour, Denis Pelletier and Eric Renault
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Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes
Jean-Marie Dufour and Malika Neifar
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Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
Jean-Marie Dufour and Mohamed Taamouti
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Jean-Marie Dufour, Lynda Khalaf and Marie-Claude Beaulieu
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Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models
Jean-Marie Dufour, Lynda Khalaf and Marie-Claude Beaulieu
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach
Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf
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Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions
Jean-Marie Dufour and Abdeljelil Farhat
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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
Jean-Thomas Bernard, Jean-Marie Dufour, Ian Genest and Lynda Khalaf
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Économétrie, théorie des tests et philosophie des sciences
Jean-Marie Dufour
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Simulation Based Finite and Large Sample Tests in Multivariate Regressions
Jean-Marie Dufour and Lynda Khalaf
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Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
Jean-Marie Dufour and Lynda Khalaf
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Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes
Jean-Marie Dufour and Olivier Torrès
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Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models
Jean-Marie Dufour and Touhami Abdelkhalek
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