Jean-Marie DUFOUR
Jean-Marie DUFOURAddress / Adresse :
Department of Economics
McGill University
Leacock Building, Room 519
855 Sherbrooke Street West
Montreal
Quebec
H3A 2T7
Canada
Telephone / Téléphone
: (1) 514 398
8879 (office / bureau) ; (1)1 514 398 4850 (secretary / secrétaire)
FAX / Télécopieur
: (1) 514 398
4938
E-mail /
Courriel :
jean-marie.dufour@mcgill.ca
English: ps ; pdf
Français:
ps ; pdf
Current positions / Affiliations actuelles
William Dow Professor of Economics, McGill University
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)
Director, Canadian Econometrics Study Group (CESG) / Directeur, Atelier canadien d'économétrie (ACE)
Project leader, Mathematical and Statistical Methods for Financial Modelling and Risk Management, in MITACS (Mathematics of Information Technology and Complex Systems), a Canadian Network of Centres of Excellence
Main fields / Principaux domaines d'intérêt : Econometrics and statistics; macroeconomics; finance; public finance / Econométrie et statistique; macroéconomie; finance; finances publiques
Degrees / Études supérieures
Ph.D. Economics, University of Chicago (1979)
M.A. Economics, University of Chicago (1978)
M.A. Economics, Concordia University (1974)
M.Sc. Mathematics (Statistics), Université de Montréal (1973)
B.Sc. (Honours) Mathematics, McGill University (1971)
Fellowships
Boursier de la Banque du Canada / Bank of Canada Research Fellow, 2007- . Press release / Communiqué. Bio: English / français. Bank of Canada Annual report 2007 / Rapport annuel 2007 de la Banque du Canada. Photos: 2007 Fellow ceremony, Bank Governor, Fellows.
Guggenheim Fellow, 2006-2007.
Fellow, American Statistical Association, 2005 -
Fellow, The Econometric Society, 1998 -
Fellow, The Royal Society of Canada / La Société Royal du Canada, 1997 -
Fellow, Journal of Econometrics, 1996 -
Killam Research Fellow, Canada Council for the Arts / Conseil des Arts du Canada, 1998-2000.
Elected Member, International Statistical Institute, 1990 -
Prizes and other distinctions / Prix et autres distinctions
Officer of the Order of Canada / Officier de l'Ordre du Canada, Governement of Canada / Gouvernement du Canada, 2008. Press release / Communiqué: English, français.
Officier de l'Ordre national du Québec (Officer of the National Order of Québec), Gouvernement du Québec, 2006. Page web (avec film) / web page (with film); communiqué; allocution du premier ministre (citation by Prime Minister); citation.
Prix Léon-Gérin pour les sciences humaines, Gouvernement du Québec / Léon-Gérin Prize for social sciences, Government of Québec, 2008. Les Prix du Québec (web site). Brochure (2008). Press release / Communiqué. Articles: Le Devoir (20 novembre 2008), Le Devoir (22 novembre 2008), Les débrouillards (avrill 2009).
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. Press release / Communiqué : English, français.
Personnalité de la semaine La Presse / Radio-Canada (Personality of the week La Presse / Radio-Canada), 23 avril 2006. Article (23 avril 2006 / April 26, 2006).
Konrad Adenauer Research Award, Alexander von Humboldt Foundation (Germany), 2005.
Prix Marcel-Vincent Prize pour les sciences sociales / Marcel-Vincent Prize for social sciences, Association francophone pour le savoir (Acfas), 2005; funded by / financé par Bell Canada . Citation, Le Devoir (8 octobre 2005), Forum (10 octobre 2005).
Marcel Dagenais Prize for excellence in research of the Société Canadienne de Science Économique / Marcel Dagenais Prize for excellence in research of the Société Canadienne de Science Économique, 2000; financé par la / funded by the National Bank of Canada.
John Rae Prize for Outstanding Research, Canadian Economics Association, 1994. Citation: ps, pdf.
Marcel Dagenais Prize / Marcel Dagenais Prize for excellence in research, Société Canadienne de Science Économique, 1988; funded by / financé par National Bank of Canada . Citation: ps, pdf.
President / Président, 2002 - 2003, Canadian Economics Association.
President / Président, Société canadienne de science économique, 1998-2001.
Editorial positions /
Postes d'éditeur
Associate Editor, Econometrica , 1996 - 2002.
Associate Editor, Journal of Econometrics, 1994 -
Member of Editorial Board, Empirical Economics, 1994 -
Associate Editor, Annales d'Économie et de Statistique, 1990 -
Associate Editor, Econometric Reviews, 1991-1996, 1999 -
Associate Editor, Cahiers du Centre d'Études de Recherche Opérationnelle, 1989 -
Associate Editor, Econometric Theory, 1991-1993.
Associate Editor, Canadian Journal of Economics, 1984-1988.
Current research interests / Recherches courantes
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
''Capitalisme, croissance et crises économiques: faut-il être pessimiste?'', conférence prononcée devant Les Sceptiques du Québec (Montréal; 13 février 2011) / Talk for Les Sceptiques du Québec (Montréal; February 13, 2011). Diapositives / Slides (français): PS , PDF . Annonce / Announcement
Heavy tails and
stable Paretian distributions in finance and macroeconomics in
celebration of the 80th
birthday of Professor Benoît
B. Mandelbrot : Program
10 – 12. November
2005, Deutsche Bundesbank conference centre,
Eltville, Germany
Organizers:Jean-Marie
Dufour (Université de Montréal) and Jeong-Ryeol
Kurz-Kim (Deutsche Bundesbank)
``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). PS; PDF. Empirical appendix: PS; PDF. September 2009 version: PS; PDF.
``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, 2010, 53 pages. PS; PDF .
``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. PS; PDF .
``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. PS; PDF .
``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. PS; PDF .
``Invariant Tests Based on M-estimators, Estimating Functions, and the Generalized Method of Moments" (with Alain Trognon), Discussion Paper, McGill University (Department of Economics), CIREQ, CIRANO and CREST (Paris), 2008, 47 pages. PS; PDF .
``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. PS; PDF .
``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. PS; PDF .
``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: PS; PDF .
``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. PS; PDF .
``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. PS; PDF .
``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. PS; PDF .
``Exact nonparametric two-sample homogeneity tests for possibly discrete distributions'' (with Abdeljelil Farhat), Discussion Paper, CIRANO and CIREQ, Université de Montréal, 2001, 26 pages. PS; PDF .
``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.
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.
``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, forthcoming. PS; PDF .
``Short and long run causality measures: theory and inference" (with Abderrahim Taamouti), Journal of Econometrics, 154 (2010), 1, 42-58. PS; PDF. Discussion paper: PS; PDF .
``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. PS; 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: PS; PDF .
``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: PS; PDF .
``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. PS; PDF. Discussion paper: PS; PDF .
``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. PS; PDF .
```Market failure, inequality and redistribution", Ethics and Economics / Éthique et économique, 6 (2008), 1. PS; PDF. Long version PS; PDF. Special issue on Market failure - How pervasive is it ? What to do when it happens ? 6 (2008), 1.
"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:: PS;
PDF
.
``Identification" (with Cheng Hsiao), in The New Palgrave Dictionary of Economics, edited by Larry Blume and Steven Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England. On line, pdf. Discussion paper:: PS; PDF .
``Model
Selection", in The New Palgrave Dictionary of Economics,
edited by Larry Blume and Steven Durlauf, Palgrave Macmillan,
Basingstoke, Hampshire, England. On
line, pdf.
Dicussion paper: PS;
PDF .
``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. PS; PDF .
``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: PS; PDF .
`Statistical inference for calibrated parameters in computable general equilibrium models'' (with Touhami Abdelkhalek), Annales d'économie et de statistique, 81 (2006), 1-32. PS; PDF .
``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: PS; PDF .
``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: PS; PDF .
``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: PS; PDF.
``Editor's introduction: Resampling methods in econometrics" (with Benoit Perron), Journal of Econometrics, 133 (2006), 2, 411-419. PDF. Discussion paper: PS; PDF.
``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: PS; PDF. More complete version: PS; PDF . Data in: 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: PS; PDF. More complete version: PS; PDF.
``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.. PS; PDF.
``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: PS; PDF .
"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. PS; PDF.
``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
``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, Chapter 11, 209-240. PS; PDF.
``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: PS; PDF.
``Exact simulation-based inference for autoregressive processes based on induced tests" (avec 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. PS; PDF.
"Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes" (with Malika Neifar), L'Actualité économique, 80 (2004), 501-522. PS; PDF ; 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: PS; PDF. Slides: PS; PDF.
``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. PS; PDF.
``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 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 . DP: PS ; PDF.
``Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions'' (with Lynda Khalaf), Journal of Econometrics, 106, January 2002, 143-170. PDF. DP: PS; PDF .
``Méthodes d'inférence exactes pour des processus autorégressifs: une approche fondée sur des tests induits" (with Malika Neifar), Discussion Paper, C.R.D.E., Université de Montréal, and CIRANO, 1997 (revised October 2001), 23 pages. L'Actualité économique, 78 (mars 2002), 19-40. PS; PDF.
``Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors'' (with Joanna Jasiak), International Economic Review , 42, 2001, 815-843. PS; PDF. More complete version: PS; PDF.
``Exact Nonparametric Two-Sample Homogeneity Tests'' (with Abdeljelil Farhat), forthcoming in Proceedings of the 2000 International Workshop on ``Goodness-of-fit Tests and Validity of Models'' (Université René-Descartes, Paris, May 29-31, 2000), Birkhauser, Boston, 14 pages.
``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. PS; PDF. Acétates / Slides: PS; PDF (français); PS; PDF (English).
``Économétrie, théorie des tests et philosophie des sciences'', in Présentations de l'Académie des lettres et des sciences humaines, Volume 53, Société royale du Canada/The Royal Society of Canada, Ottawa, 166-182. PS; PDF.
``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. PS; PDF.
``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. PS; PDF . More complete version: PS; PDF . Paperback edition forthcoming.
``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: PS; PDF .
``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: PS; PDF.
``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. PS; PDF.
``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'' (with Max 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 German Hyperinflation'', in Model Reliability , 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(4), 1986, 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), Journal of 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
``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. PS ; PDF .
``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.
``Méthodes d'inférence exactes dans des modèles dynamiques. Application à des processus admettant une représentation AR(1)'' (with O. Torrès), Actes du Colloque sur les méthodes et applications de la statistique 1994, Bureau de la statistique du Québec, Québec.
``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 .
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, 588-597], Mathematical Reviews 83, 1983, 729.
''Capitalisme, croissance et crises économiques: faut-il être pessimiste?'', conférence prononcée devant Les Sceptiques du Québec (Montréal; 13 février 2011) / Talk for Les Sceptiques du Québec (Montréal; February 13, 2011). PS , PDF Diapositives / Slides (français): PS , PDF . Annonce / Announcement
''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). Diapositives / Slides (français): PS , PDF .
Programme du Congrès annuel 2002 de l'Association canadienne d'économique (Calgary; 30 mai - 2 juin 2002) / Program of the 2002 Meetings of the Canadian Economics Association (Calgary; May 30 - June 2, 2002). PDF .
Course material / Documents pédagogiques
Econometrics I (Economics 468, Fall
2011, McGill University)
Course outline (Economics 468 / Fall 2011): PS , PDF . Updated: September 28, 2011.
Dufour, J.-M: (1980):``Dummy Variables and Predictive Tests for Structural Change'', Economics Letters 6, 1980, 241-247. PDF
Dufour, J.-M: (1982):``Generalized Chow Tests for Structural Change : A Coordinate-Free Approach'', International Economic Review 23, 1982, 565-575. PDF . Not required for the final exam.
Estimation of linear regression models with AR(1) errors: PS , PDF
Seemingly unrelated regressions: PS , PDF Not required for the final exam.
Distributed lag models: PS , PDF Not required for the final exam.
Simultaneous equations:
PS
, PDF
Only the definition of two-stage least squares is required.
ECON 467, Mid-term (March 10, 2008): PDF .
ECON 467, Final (April 17, 2008): PDF .
ECON 467, Mid-term (March 4, 2009): PDF .
ECON 467, Final (April 27, 2009): PDF .
ECON 469, Mid-term (March 3, 2010): PDF .
ECON 469, Final (April, 29, 2010): PDF .
Course outline (Economics 706 / Fall 2011): PS
, PDF .
Textbook assignments
Introduction to time series analysis: PDF .
Estimation of the mean and autocorrelations of a stationary process: PS , PDF .
Specification of ARIMA models by the Box-Jenkins method: PS , PDF .
Dufour, J.-M: (1980):``Dummy Variables and Predictive Tests for Structural Change'', Economics Letters 6, 1980, 241-247. PDF
Dufour, J.-M: (1982):``Generalized Chow Tests for Structural Change : A Coordinate-Free Approach'', International Economic Review 23, 1982, 565-575. PDF
Linear models with nonscalar covariance matrix and generalized least squares: PS , PDF
Estimation of linear regression models with AR(1) errors: PS , PDF
Mathematical notes (for reference only)
Exercises
Data used for: Boudjlellaba, H., Dufour, J.-M., and Roy, R. (1992), ``Testing Causality Between Two Vectors in Multivariate ARMA Models'', Journal of the American Statistical Association 87, 1992, 1082-1090. PDF. Data - Seasonally adjusted data: excel, txt . Seasonally unadjusted data: excel, txt .
Data used in: Dufour, J.-M.. Pelletier, D., and Renault, E. (2006), ``Short run and long run causality in time series: inference'', Journal of Econometrics, 132 (2006), 2, 337-362. PDF. Data: pdf, excel, txt .
Data used in: Bernard, J.T., Dufour, J.-M, Khalaf, L., and Kichian, M. (2010), ``An identification-robust test for time-varying parameters in the dynamics of energy prices", Journal of Applied Econometrics, forthcoming. PS; PDF .Data: : coal and oil., gas, data description.
Data used in: ``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. PS; PDF . Data: txt .
Older examinations
ECON 467, Mid-term (March 10, 2008): PDF .
ECON 467, Final (April 17, 2008): PDF .
ECON 467, Mid-term (March 4, 2009): PDF .
ECON 467, Final (April 27, 2009): PDF .
ECON 469, Mid-term (March 3, 2010): PDF .
ECON 469, Final (April, 29, 2010): PDF .
Course outline (Economics 706 / Winter 2011): PS , PDF .
Overviews
"General considerations on finite-sample inference in econometrics and statistics", 2002. Slides: PS; PDF
"Finite-sample inference and bounds methods in econometrics and statistics", 2002. Slides: PS; PDF
"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: PS; PDF. Slides: PS; PDF
"Finite-sample inference in econometrics and statistics", 2006. Slides: PS; PDF
"Finite-sample inference, weak identification and macroeconometrics", 2006. Slides: PS; PDF
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006. Slides: PS; PDF
Exercises
2010
Econometrics (Economics 469, Winter 2010, McGill University)
Introduction to time series analysis: PDF .
Estimation of the mean and autocorrelations of a stationary process: PS , PDF .
Specification of ARIMA models by the Box-Jenkins method: PS , PDF .
Dufour, J.-M: (1980):``Dummy Variables and Predictive Tests for Structural Change'', Economics Letters 6, 1980, 241-247. PDF
Dufour, J.-M: (1982):``Generalized Chow Tests for Structural Change : A Coordinate-Free Approach'', International Economic Review 23, 1982, 565-575. PDF
Linear models with nonscalar covariance matrix and generalized least squares: PS , PDF
Estimation of linear regression models with AR(1) errors: PS , PDF
Mathematical notes (for reference only)
Exercises
Review questions
Exams:
Mid-term (March 3, 2010):
PS
, PDF .
Solutions: PDF
.
Old mid-term exams (for a related but
different course)
Old final exams
Time series
(for a related but different course)
Stanford 1999: PDF
Other econometrics
Course outline (ECN 706 /
Winter 2010): PS
, PDF .
Overviews
"General considerations on finite-sample inference in econometrics and statistics", 2002. Slides: PS; PDF
"Finite-sample inference and bounds methods in econometrics and statistics", 2002. Slides: PS; PDF
"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: PS; PDF. Slides: PS; PDF
"Finite-sample inference in econometrics and statistics", 2006. Slides: PS; PDF
"Finite-sample inference, weak identification and macroeconometrics", 2006. Slides: PS; PDF
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006. Slides: PS; PDF
Exercises
Review questions
Previous exams (program may differ)
2009
Dufour,
J.-M. (2009). Antieconomics and financial crisis. Slides: PS
, PDF
.
Lucas,
Robert (2009). In
defence of the dismal science. The Economist, August 6, 2009
(with comments).
News: There will a TA session on Tuesday March 3 at 4 pm in
Leacock room 424.
Introduction to time series analysis: PDF .
Estimation of the mean and autocorrelations of a stationary process: PS , PDF .
Specification of ARIMA models by the Box-Jenkins method: PS , PDF .
Dufour, J.-M: (1980):``Dummy Variables and Predictive Tests for Structural Change'', Economics Letters 6, 1980, 241-247. PDF
Dufour, J.-M: (1982):``Generalized Chow Tests for Structural Change : A Coordinate-Free Approach'', International Economic Review 23, 1982, 565-575. PDF
Linear models with nonscalar covariance matrix and generalized least squares: PS , PDF
Estimation of linear regression models with AR(1) errors: PS , PDF
Mathematical notes (for reference only)
Exercises
Review questions
Old mid-term exams (for a related but different course)
Old final exams
Time series
(for a related but different course)
Stanford 1999: PDF
Other econometrics
Overviews
"General considerations on finite-sample inference in econometrics and statistics", 2002. Slides: PS; PDF
"Finite-sample inference and bounds methods in econometrics and statistics", 2002. Slides: PS; PDF
"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: PS; PDF. Slides: PS; PDF
"Finite-sample inference in econometrics and statistics", 2006. Slides: PS; PDF
"Finite-sample inference, weak identification and macroeconometrics", 2006. Slides: PS; PDF
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006. Slides: PS; PDF
Exercises
2008
Introduction to time series analysis: PDF .
Estimation of the mean and autocorrelations of a stationary process: PS , PDF .
Specification of ARIMA models by the Box-Jenkins method: PS , PDF .
Dufour, J.-M: (1980):``Dummy Variables and Predictive Tests for Structural Change'', Economics Letters 6, 1980, 241-247. PDF
Dufour, J.-M: (1982):``Generalized Chow Tests for Structural Change : A Coordinate-Free Approach'', International Economic Review 23, 1982, 565-575. PDF
Linear models with nonscalar covariance matrix and generalized least squares: PS , PDF
Estimation of linear regression models with AR(1) errors: PS , PDF
Mathematical notes (for reference only)
Exercises
Assignment grades: PDF
All
assignment grades are now in.
Review
questions
Old mid-term exams (for a related but different course)
Old final exams
Time series
(for a related but different course)
Stanford 1999: PDF
Other econometrics
Overviews
"General considerations on finite-sample inference in econometrics and statistics", 2002. Slides: PS; PDF
"Finite-sample inference and bounds methods in econometrics and statistics", 2002. Slides: PS; PDF
"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: PS; PDF. Slides: PS; PDF
"Finite-sample inference in econometrics and statistics", 2006. Slides: PS; PDF
"Finite-sample inference, weak identification and macroeconometrics", 2006. Slides: PS; PDF
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006. Slides: PS; PDF
NOTES
Introduction
to time series analysis: PDF
.
Introduction
à l'analyse des séries chronologiques: PDF
, PS .
Introduction
to stochastic processes: PS
, PDF .
Introduction à la
théorie des processus stochastiques: PS
, PDF
.
Estimation of the mean and autocorrelations of a stationary process: PS , PDF .
Specification of ARIMA models by the Box-Jenkins method: PS , PDF .
Critères
de sélection de modèles.
Model
selection criteria: PS
, PDF
.
Spécification de modèles ARMA par la méthode du coin: PS , PDF .
Spécification de modèles ARIMA par la méthode des autocorrélations généralisées: PS , PDF .
Modèles
de séries chronologiques multivariés .
Multivariate time series
modelling: PS
, PDF .
Causalité dans les modèles de séries chronologiques multivariés: PS , PDF .
RAPPELS MATHÉMATIQUES / MATHEMATICAL NOTES
Properties
of moments of random variables: PS
, PDF .
Propriétés des
moments de variables aléatoires: PS
, PDF .
Notions of asymptotic
theory: PS ,
PDF .
Notions de théorie
asymptotique: PS
, PDF .
EXERCICES
Processus
stochastiques 1:
PS , PDF
.
Stochastic
processes 1: PS,
PDF
.
Processus
stochastiques 2 : PS
, PDF
.
Stochastic
processes 2: PS
, PDF
.
Processus
stochastiques 3 : PS
, PDF
.
Stochastic
processes 3: PS
, PDF
.
Fluctuations économiques: notions de base: PDF.
Généralités sur l'histoire des fluctuations économiques: PS , PDF.
Histoire des fluctuations économiques aux États-Unis: PS , PDF.
Ajustement de courbes de tendance par des méthodes de régression: PS , PDF.
Extraction de tendance et désaisonnalisation par la méthode des moyennes mobiles: PS , PDF.
Exercices
Fichiers tex (pour collaborateurs) / Latex files
(for collaborators): DufourLatex.zip
.
Counter start time: 1 November
2006
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