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)
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).
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
Colloques / Conferences
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)
A. Discussion papers / Cahiers de
recherche
``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 .
``Measuring causality between
volatility and returns with high-frequency data " (with
René Garcia and Abderrahim Taamouti),
Discussion Paper, McGill University (Department of Economics), CIREQ
and CIRANO, 2008 (revised 2007 and 2008), 66 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.
B. Books, monographs, special issues / Livres,
monographies, numéros
spéciaux
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
``Short and long run
causality measures: theory and inference" (with Abderrahim Taamouti), Journal
of
Econometrics, forthcoming. 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, forthcoming. 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
.
"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.
``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
.
``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
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. 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
.
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, 588-597], Mathematical Reviews 83, 1983, 729.
E. Other documents /Autres documents
«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
A. Econometrics (Economics 467D2, Winter
2009, McGill University)
News: There will a TA session on
Tuesday March 3 at 4 pm in Leacock room 424.
Analysis of residuals in
linear regressions: 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
"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
Analysis of residuals in
linear regressions: 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
"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
E. Économétrie des séries
chronologiques
et macroéconométrie
Jean-Marie DUFOUR
