Jean-Marie Dufour

Course material / Documents pédagogiques

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Honours Statistics and Econometrics (Economics 257D), McGill University, Winter 2025

Course schedule: Monday 14h35 - 15h55; Wednesday 14h35 - 15h55
Office hours: 16h15 - 17h30 (or by appointment) Leacock 525

Course outline (Economics 257D / Winter 2025): pdf, ps.

Both the mid-term and the final exams will be given in person (not online).

If the grade of a student on the final exam is superior to the grade on the mid-term exam, the midterm grade of this student will be replaced by the grade on the final exam.

Clarifications on assignments

As requested by some students, each student has the option of handing in an extra regression analysis based on a different data set (of their choice).
This statistical analysis may count for 50 % of the total grade for assignments (i.e., 1/2 of 25%).
Handing in such an optional assignment cannot lower the final grade of a student; if the optional assignment is not judged satisfactory (or simply not handed in), the only assignments which will be taken into account are those posted on the homepage for the course (http://www.jeanmariedufour.com).
The optional assignment must be handed in on April 15, 2025 (or earlier).

Lecture of 2025-02-17

To all students of ECON 257,
Due to the fact that the university will be closed on Monday February 17, the class of Monday February 17 for ECON 257 is cancelled.
The midterm exam set for Wednesday February 19 is postponed to Wednesday February 26 at the normal course time (14h35).
The class of Wednesday February 19 is maintained (in person).
I will answer questions relevant for the midterm at that time.
A catchup time for the class of Monday 17 will be discussed in class on Wednesday February 19.

    John Galbraith: Economic Statistics (Fall 2023)

1. Part I (Introduction, Chapters 1 - 4) and Part II (Some theoretical foundations, Chapters 5 - 9): pdf.
   
2. Part III (Statistical methods, Chapters 10 - 18) and Part IV (Surveys of more advanced topics, Chapters 19 - 21): pdf.
   

    Victoria Zinde-Walsh: Hypothesis testing (2014): pdf.

Lecture notes on regression methods

1. Introduction: pdf.
   Slides: pdf.
2. Covariances: pdf; ps.
   Slides: pdf, ps.
   
   Material on which no question will be asked in mid-term and final exams: Sections 4, 5, 6
3. Covariance matrices and linear regression: pdf; ps.
   Slides: pdf, ps.
   
   Material on which no question will be asked in mid-term and final exams: Section 3
4. Classical linear model: pdf; ps.
   Slides: pdf, ps.
   
   Material on which no question will be asked in mid-term and final exams:
   Sections 3.7 to 3.12, 3.16, Proof in 7.0.5.
5. Coefficients of determination: pdf, ps. Slides: pdf, ps.
   
   Material on which no question will be asked in final exam:
   Sections 4.2 and 4.3.
6. Simple linear regression: pdf.
7. Dummy variables: pdf, ps. Slides: pdf, ps.
8. "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.] pdf.
9. Partitioning: adding variables and observations in linear regression: pdf, ps. Slides: pdf, ps.
   
   Material on which no question will be asked in final exam:
   Section 3.
10. Specification errors in linear regression models: pdf, ps. Slides: pdf, ps.
11. Analysis of residuals: pdf, ps. Slides: pdf, ps.
12. Generalized least squares: pdf, ps. Slides: pdf, ps.
13. Estimation of linear regression models with AR(1) errors: pdf, ps.
14. Asymptotic theory for linear regressions and IV estimation: pdf, ps. Slides: pdf, ps.
15. Seemingly unrelated regressions: pdf, ps.
    Not required for the final exam .
16. Distributed lag models: pdf, ps.
    Not required for the final exam.
17. Simultaneous equations: pdf, ps.
    Only the definition of two-stage least squares is required.

Exercises (Winter 2025)

1. Exercises 1 - Hypothesis testing I: pdf, ps.
   Due: 29 January 2025
   
2. Exercises 2 - Covariances and covariance matrices: pdf, ps.
   Due: 5 February 2025
   
3. Exercises 3 - Classical linear model: Review questions pdf, ps.
   Due: Not to be handed in. Preparation for mid-term exam.
   
4. Exercises 4 - Classical linear model: mtcar data pdf, ps.
   Due: 19 March 2025
   Data (in 3 formats): excel, csv (with space separation), csv (with comma separation).
   
5. Exercises 5 - Classical linear model: Complements (R-square) - Review questions pdf, ps.
   Due: April 7, 2025. Those who will not hand in this exercise will not be penalized.
   
6. Exercises 6 - Classical linear model: Specification errors - Review questions pdf, ps.
   Due: April 7, 2025. Those who will not hand in this exercise will not be penalized.
   
7. Exercises 7 - Classical linear model: Analysis of residuals - Review questions pdf, ps.
   Due: April 7 2025. Those who will not hand in this exercise will not be penalized.
   

Past exams

1. Winter 2024: Midterm exam (26 February 2024) pdf, ps.
2. Winter 2024: Final exam (15 April 2024) pdf, ps.

Exercises (Winter 2024)

1. Exercises 1 - Covariances and covariance matrices: pdf, ps.
   Due: TBA
   
2. Exercises 2 - Classical linear model: pdf, ps.
   Due: TBA
   
3. Exercises 3 - Classical linear model: mtcar data pdf, ps.
   Due: TBA
   Data (in 3 formats): excel, csv (with space separation), csv (with comma separation).
   
4. Exercises 4 - Classical linear model: Review questions pdf, ps.
   Due: Not to be handed in.
   
5. Exercises 5 - Classical linear model: Complements (R-square) - Review questions pdf, ps.
   Due: Not to be handed in.
   
6. Exercises 6 - Classical linear model: Specification errors - Review questions pdf, ps.
   Due: Not to be handed in.
   
7. Exercises 7 - Classical linear model: Analysis of residuals - Review questions pdf, ps.
   Due: Not to be handed in.
   

Exams

1. Final exam (15 April 2024). Details on the material for which students are responsible (or not responsible) have been added to the course outline (last page).

Tutorials

1. There will be tutorials (given by the TA) on using R for linear regression. The first one is scheduled for Friday March 15, 2024. Some earlier tutorials are posted below.
2. Mirja Trokic: R: An Econometrician's Guide pdf.
3. R: A self-learn tutorial: pdf.

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Financial econometrics (Economics 763), McGill University, Winter 2025

Course schedule: Tuesday 18h05 - 20h55
Office hours: : By appointment

Course outline (Economics 763 / Winter 2025): pdf, ps.

This is a tentative course outline which will be updated.

Lecture notes

1. Introduction to time series analysis: pdf. Slides: pdf.
2. Stochastic processes: basic notions: pdf, ps. Slides: pdf, ps,
3. Stochastic processes: generating functions and identification: pdf, ps. Slides: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Forecasting of stationary and ARIMA processes: pdf, ps.
7. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
8. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
9. Model selection criteria: pdf, ps.
10. Estimation of ARMA models by maximum likelihood: pdf, ps.
11. ARIMA model validation: pdf, ps.
12. Unit root tests : pdf, ps.
    Tables: pdf.
13. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
14. "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.] pdf.
15. Multivariate time series modelling: pdf, ps.
16. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
17. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
18. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
    Programs and data - October 2013: zip .
28. "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.
29. "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.
30. "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.
31. Conditional Variance Dynamics: GARCH and Stochastic Volatility (with Nazmul Ahsan): pdf.

Mathematical notes

1. Properties of moments of random variables: pdf, ps. Slides: pdf, ps.
2. Covariance, correlation and linear regression between two random variables: pdf, ps. Slides: pdf, ps.
3. Covariance matrices and multiple linear regression between random variables: pdf, ps. Slides: pdf, ps.
4. Vectors, inner products and norms: pdf, ps. Slides: pdf, ps.
5. Sequences and series: pdf, ps.
6. Notions of asymptotic theory: pdf, ps.
7. Complex analysis and power series: pdf, ps. Slides: pdf, ps.
8. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1 : pdf, ps.
   Due: TBA
   
2. Exercices 2 - ARMA models : pdf, ps.
   Due:
   
3. Sign-based tests for medians and independence : pdf, ps.
   Due: TBA
4. Sign-based tests in linear regression : pdf, ps.
   Due: TBA
5. Multivariate linear regression and CAPM : pdf, ps.
   Due: TBA
6. Stable distributions in finance : pdf, ps.
   Due: TBA

Earlier exams (ECON 763)

1. Intra exam - ECON 763 - 22 February 2021 : pdf, ps.
   
   
2. Intra exam - ECON 763 - 18 February 2019 : pdf, ps.
   
   
3. Final exam - ECON 763 - 18 April 2019 : pdf, ps.
   
   
4. Intra exam - ECON 763 - 17 October 2017 : pdf, ps.
   
   
5. Final exam - ECON 763 - 7 December 2017 : pdf, ps.
   
   
6. Intra exam - ECON 763 - 23 February 2016 : pdf, ps.
   
   
7. Final exam - ECON 763 - 18 April 2016 : pdf, ps.
   
   
8. Intra exam - ECON 763 - 11 March 2015 : pdf, ps.
   
   
9. Final exam - ECON 763 - 22 April 2015 : pdf, ps.
   
   
10. Intra exam - ECON 763 - 10 March 2014 : pdf, ps.
    
    
11. Final exam - ECON 763 - 25 April 2014 : pdf, ps.
    
    

Honours Statistics and Econometrics (Economics 257D), McGill University, Winter 2024

Course schedule: Monday 13h05 - 14h25; Wednesday 13h05 - 14h25
Office hours: 16h15 - 17h30 (or by appointment) Leacock 525

Course outline (Economics 257D / Winter 2024): pdf, ps.

Lecture notes

1. Introduction: pdf.
   Slides: pdf.
2. Covariances: pdf; ps.
   Slides: pdf, ps.
3. Covariance matrices and linear regression: pdf; ps.
   Slides: pdf, ps.
4. Classical linear model: pdf; ps.
   Slides: pdf, ps.
5. Coefficients of determination: pdf, ps. Slides: pdf, ps.
6. Simple linear regression: pdf.
7. Dummy variables: pdf, ps. Slides: pdf, ps.
8. "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.] pdf.
9. Partitioning: adding variables and observations in linear regression: pdf, ps. Slides: pdf, ps.
10. Specification errors in linear regression models: pdf, ps. Slides: pdf, ps.
11. Analysis of residuals: pdf, ps. Slides: pdf, ps.
12. Generalized least squares: pdf, ps. Slides: pdf, ps.
13. Estimation of linear regression models with AR(1) errors: pdf, ps.
14. Asymptotic theory for linear regressions and IV estimation: pdf, ps. Slides: pdf, ps.
15. Seemingly unrelated regressions: pdf, ps.
    Not required for the final exam .
16. Distributed lag models: pdf, ps.
    Not required for the final exam.
17. Simultaneous equations: pdf, ps.
    Only the definition of two-stage least squares is required.

Exercises

1. Exercises 1 - Covariances and covariance matrices: pdf, ps.
   Due: Wednesday, 31 January 2024
   
2. Exercises 2 - Classical linear model: pdf, ps.
   Due: Wednesday, 16 February 2024
   
3. Exercises 3 - Classical linear model: mtcar data pdf, ps.
   Due: Monday, 8 April 2024
   Data (in 3 formats): excel, csv (with space separation), csv (with comma separation).
   
4. Exercises 4 - Classical linear model: Review questions pdf, ps.
   Due: Not to be handed in.
   
5. Exercises 5 - Classical linear model: Complements (R-square) - Review questions pdf, ps.
   Due: Not to be handed in.
   
6. Exercises 6 - Classical linear model: Specification errors - Review questions pdf, ps.
   Due: Not to be handed in.
   
7. Exercises 7 - Classical linear model: Analysis of residuals - Review questions pdf, ps.
   Due: Not to be handed in.
   

Exams

1. Final exam (15 April 2024). Details on the material for which students are responsible (or not responsible) have been added to the course outline (last page).

Tutorials

1. There will be tutorials (given by the TA) on using R for linear regression. The first one is scheduled for Friday March 15, 2024. Some earlier tutorials are posted below.
2. Mirja Trokic: R: An Econometrician's Guide pdf.
3. R: A self-learn tutorial: pdf.

---

Financial econometrics (Economics 763), McGill University, Winter 2024

Course schedule: Tuesday 18h05 - 20h55
Office hours: : By appointment

Course outline (Economics 763 / Winter 2024): pdf, ps.

This is a tentative course outline which will be updated.

Lecture notes

1. Introduction to time series analysis: pdf. Slides: pdf.
2. Stochastic processes: basic notions: pdf, ps. Slides: pdf, ps,
3. Stochastic processes: generating functions and identification: pdf, ps. Slides: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Forecasting of stationary and ARIMA processes: pdf, ps.
7. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
8. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
9. Model selection criteria: pdf, ps.
10. Estimation of ARMA models by maximum likelihood: pdf, ps.
11. ARIMA model validation: pdf, ps.
12. Unit root tests : pdf, ps.
    Tables: pdf.
13. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
14. "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.] pdf.
15. Multivariate time series modelling: pdf, ps.
16. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
17. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
18. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
    Programs and data - October 2013: zip .
28. "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.
29. "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.
30. "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.
31. Conditional Variance Dynamics: GARCH and Stochastic Volatility (with Nazmul Ahsan): pdf.

Mathematical notes

1. Properties of moments of random variables: pdf, ps. Slides: pdf, ps.
2. Covariance, correlation and linear regression between two random variables: pdf, ps. Slides: pdf, ps.
3. Covariance matrices and multiple linear regression between random variables: pdf, ps. Slides: pdf, ps.
4. Vectors, inner products and norms: pdf, ps. Slides: pdf, ps.
5. Sequences and series: pdf, ps.
6. Notions of asymptotic theory: pdf, ps.
7. Complex analysis and power series: pdf, ps. Slides: pdf, ps.
8. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1 : pdf, ps.
   Due:
   
2. Exercices 2 - ARMA models : pdf, ps.
   Due:
   
3. Sign-based tests for medians and independence : pdf, ps.
   Due:
4. Sign-based tests in linear regression : pdf, ps.
   Due:
5. Multivariate linear regression and CAPM : pdf, ps.
   Due:
6. Stable distributions in finance : pdf, ps.
   Due:

Earlier exams (ECON 763)

1. Intra exam - ECON 763 - 22 February 2021 : pdf, ps.
   
   
2. Intra exam - ECON 763 - 18 February 2019 : pdf, ps.
   
   
3. Final exam - ECON 763 - 18 April 2019 : pdf, ps.
   
   
4. Intra exam - ECON 763 - 17 October 2017 : pdf, ps.
   
   
5. Final exam - ECON 763 - 7 December 2017 : pdf, ps.
   
   
6. Intra exam - ECON 763 - 23 February 2016 : pdf, ps.
   
   
7. Final exam - ECON 763 - 18 April 2016 : pdf, ps.
   
   
8. Intra exam - ECON 763 - 11 March 2015 : pdf, ps.
   
   
9. Final exam - ECON 763 - 22 April 2015 : pdf, ps.
   
   
10. Intra exam - ECON 763 - 10 March 2014 : pdf, ps.
    
    
11. Final exam - ECON 763 - 25 April 2014 : pdf, ps.
    
    

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Special topics in econometrics (Economics 706), McGill University, Winter 2023

Course schedule: Monday 18h05 - 20h55
Office hours: By appointment

Course outline (Economics 706 / Winter 2023): pdf, ps.

Textbook: Volume 1, Volume 2.

Exercises

1. Models: pdf, ps.
   Due: January 16, 2023
   Statistical models and likelihood functions: pdf, ps. Slides: pdf, ps.
2. Decision theory: pdf, ps.
   Due: January 23, 2023
3. Information: pdf, ps.
   Due: January 23, 2023
4. General estimation theory: pdf, ps.
   Due: January 30, 2023
5. Unbiased estimation: pdf, ps.
   Due: February 6, 2023
6. General issues in testing theory: pdf, ps.
   Due: February 13, 2023
7. Unbiased and invariant tests: pdf, ps.
   Due: February 20, 2023
8. Confidence sets: pdf, ps.
   Due: February 20, 2023
9. Maximum likelihood method: pdf, ps.
   Due: March 6, 2023
10. Tests based on likelihood functions: pdf, ps.
    Due: March 6, 2023
11. M-estimators: pdf, ps.
    Due: March 13, 2023
12. Methods of moments: pdf, ps.
    Due: March 20, 2023
13. Equality constraints: pdf, ps.
    Due: March 27, 2023
14. Prediction and residuals: pdf, ps.
    Due: April 3, 2023
15. General asymptotic tests: pdf, ps.
    Due: April 10, 2023

Mathematical notes

1. Distribution and quantile functions: pdf, ps. Slides: pdf, ps.

Review questions

1. Weak identification: pdf, ps.
2. Monte Carlo tests: pdf, ps.
3. Confidence sets: pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.

Earlier exams (ECON 706)

1. Intra exam - ECON 706 - 23 February 2021 : pdf, ps.
   
   
2. Intra exam - ECON 706 - 26 February 2019 : pdf, ps.
   
   
3. Final exam - ECON 706 - 15 April 2019 : pdf, ps.
   
   
4. Intra exam - ECON 706 - 10 October 2017 : pdf, ps.
   
   
5. Final exam - ECON 706 - 18 December 2017 : pdf, ps.
   
   
6. Intra exam - ECON 706 - 2 February 2016 : pdf, ps.
   
   
7. Final exam - ECON 706 - 29 April 2016 : pdf, ps.
   
   
8. Final exam - ECON 706 - 1 May 2015 : pdf, ps.
   
   
9. Intra exam - ECON 706 - 11 March 2014 : pdf, ps.
   
   
10. Final exam - ECON 706 - 23 April 2014 : pdf, ps.
    
    
11. Intra exam - ECON 706 - 2 November 2011 : pdf, ps.
    
    
12. Final exam - ECON 706 - 15 December 2011 : pdf, ps.
    
    
13. Intra exam - ECON 706 - 10 March 2010 : pdf, ps.
    
    
14. Final exam - ECON 706 - 21 April 2010 : pdf, ps.
    
    
15. Intra exam - ECON 706 - 18 February 2009 : pdf, ps.
    
    
16. Final exam - ECON 706 - 22 April 2009 : pdf, ps.
    
    
17. Intra exam - ECON 706 - 3 March 2008 : pdf, ps.
    
    
18. Final exam - ECON 706 - 16 April 2008 : pdf, ps.
    
    

---

Financial econometrics (Economics 763), McGill University, Winter 2023

Course schedule: Tuesday 18h05 - 20h55
Office hours: : By appointment

Course outline (Economics 763 / Winter 2023): pdf, ps.

This is a tentative course outline which will be updated.

Lecture notes

1. Introduction to time series analysis: pdf. Slides: pdf.
2. Stochastic processes: basic notions: pdf, ps. Slides: pdf, ps,
3. Stochastic processes: generating functions and identification: pdf, ps. Slides: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Forecasting of stationary and ARIMA processes: pdf, ps.
7. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
8. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
9. Model selection criteria: pdf, ps.
10. Estimation of ARMA models by maximum likelihood: pdf, ps.
11. ARIMA model validation: pdf, ps.
12. Unit root tests : pdf, ps.
    Tables: pdf.
13. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
14. "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.] pdf.
15. Multivariate time series modelling: pdf, ps.
16. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
17. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
18. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
    Programs and data - October 2013: zip .
28. "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.
29. "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.
30. "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.
31. Conditional Variance Dynamics: GARCH and Stochastic Volatility (with Nazmul Ahsan): pdf.

Mathematical notes

1. Properties of moments of random variables: pdf, ps. Slides: pdf, ps.
2. Covariance, correlation and linear regression between two random variables: pdf, ps. Slides: pdf, ps.
3. Covariance matrices and multiple linear regression between random variables: pdf, ps. Slides: pdf, ps.
4. Vectors, inner products and norms: pdf, ps. Slides: pdf, ps.
5. Sequences and series: pdf, ps.
6. Notions of asymptotic theory: pdf, ps.
7. Complex analysis and power series: pdf, ps. Slides: pdf, ps.
8. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1 : pdf, ps.
   
   
2. Exercices 2 - ARMA models : pdf, ps.
   
   
3. Sign-based tests for medians and independence : pdf, ps.
   Due: 2021-03-22
4. Sign-based tests in linear regression : pdf, ps.
   Due: 2021-03-29
5. Multivariate linear regression and CAPM : pdf, ps.
   Due: 2021-04-05
6. Stable distributions in finance : pdf, ps.
   Due: 2021-04-12

Earlier exams (ECON 763)

1. Intra exam - ECON 763 - 22 February 2021 : pdf, ps.
   
   
2. Intra exam - ECON 763 - 18 February 2019 : pdf, ps.
   
   
3. Final exam - ECON 763 - 18 April 2019 : pdf, ps.
   
   
4. Intra exam - ECON 763 - 17 October 2017 : pdf, ps.
   
   
5. Final exam - ECON 763 - 7 December 2017 : pdf, ps.
   
   
6. Intra exam - ECON 763 - 23 February 2016 : pdf, ps.
   
   
7. Final exam - ECON 763 - 18 April 2016 : pdf, ps.
   
   
8. Intra exam - ECON 763 - 11 March 2015 : pdf, ps.
   
   
9. Final exam - ECON 763 - 22 April 2015 : pdf, ps.
   
   
10. Intra exam - ECON 763 - 10 March 2014 : pdf, ps.
    
    
11. Final exam - ECON 763 - 25 April 2014 : pdf, ps.
    
    

---

Special topics in econometrics (Economics 706), McGill University, Winter 2022

Course schedule: Tuesday 18h05 - 20h55
Office hours: By appointment

Course outline (Economics 706 / Winter 2022): pdf, ps.

Textbook: Volume 1, Volume 2.

Exercises

1. Models: pdf, ps.
   Due: January 18, 2022
   Statistical models and likelihood functions: pdf, ps. Slides: pdf, ps.
2. Decision theory: pdf, ps.
   Due: January 25, 2022
3. Information: pdf, ps.
   Due: January 25, 2022
4. General estimation theory: pdf, ps.
   Due: February 1, 2022
5. Unbiased estimation: pdf, ps.
   Due: February 8, 2022
6. General issues in testing theory: pdf, ps.
   Due: February 15, 2022
7. Unbiased and invariant tests: pdf, ps.
   Due: February 22, 2022
8. Confidence sets: pdf, ps.
   Due: February 22, 2022
9. Maximum likelihood method: pdf, ps.
   Due: March 8, 2022
10. Tests based on likelihood functions: pdf, ps.
    Due: March 8, 2022
11. M-estimators: pdf, ps.
    Due: March 15, 2022
12. Methods of moments: pdf, ps.
    Due: March 22, 2022
13. Equality constraints: pdf, ps.
    Due: March 29, 2022
<+li> Prediction and residuals: pdf, ps.
Due: April 5, 2022
14. General asymptotic tests: pdf, ps.
    Due: April 12, 2022

Mathematical notes

1. Distribution and quantile functions: pdf, ps. Slides: pdf, ps.

Review questions

1. Weak identification: pdf, ps.
2. Monte Carlo tests: pdf, ps.
3. Confidence sets: pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.

Earlier exams (ECON 706)

1. Intra exam - ECON 706 - 23 February 2021 : pdf, ps.
   
   
2. Intra exam - ECON 706 - 26 February 2019 : pdf, ps.
   
   
3. Final exam - ECON 706 - 15 April 2019 : pdf, ps.
   
   
4. Intra exam - ECON 706 - 10 October 2017 : pdf, ps.
   
   
5. Final exam - ECON 706 - 18 December 2017 : pdf, ps.
   
   
6. Intra exam - ECON 706 - 2 February 2016 : pdf, ps.
   
   
7. Final exam - ECON 706 - 29 April 2016 : pdf, ps.
   
   
8. Final exam - ECON 706 - 1 May 2015 : pdf, ps.
   
   
9. Intra exam - ECON 706 - 11 March 2014 : pdf, ps.
   
   
10. Final exam - ECON 706 - 23 April 2014 : pdf, ps.
    
    
11. Intra exam - ECON 706 - 2 November 2011 : pdf, ps.
    
    
12. Final exam - ECON 706 - 15 December 2011 : pdf, ps.
    
    
13. Intra exam - ECON 706 - 10 March 2010 : pdf, ps.
    
    
14. Final exam - ECON 706 - 21 April 2010 : pdf, ps.
    
    
15. Intra exam - ECON 706 - 18 February 2009 : pdf, ps.
    
    
16. Final exam - ECON 706 - 22 April 2009 : pdf, ps.
    
    
17. Intra exam - ECON 706 - 3 March 2008 : pdf, ps.
    
    
18. Final exam - ECON 706 - 16 April 2008 : pdf, ps.
    
    



---




Financial econometrics (Economics 763), McGill University, Winter 2022

Course schedule: Monday 18h05 - 20h55
Office hours: : By appointment


Course outline (Economics 763 / Winter 2022): pdf, ps.

This is a tentative course outline which will be updated.


Lecture notes

1. Introduction to time series analysis: pdf. Slides: pdf.
2. Stochastic processes: basic notions: pdf, ps. Slides: pdf, ps,
3. Stochastic processes: generating functions and identification: pdf, ps. Slides: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Forecasting of stationary and ARIMA processes: pdf, ps.
7. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
8. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
9. Model selection criteria: pdf, ps.
10. Estimation of ARMA models by maximum likelihood: pdf, ps.
11. ARIMA model validation: pdf, ps.
12. Unit root tests : pdf, ps.
    Tables: pdf.
13. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
14. "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.] pdf.
15. Multivariate time series modelling: pdf, ps.
16. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
17. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
18. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
    Programs and data - October 2013: zip .
28. "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.
29. "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.
30. "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.
31. Conditional Variance Dynamics: GARCH and Stochastic Volatility (with Nazmul Ahsan): pdf.

Mathematical notes

1. Properties of moments of random variables: pdf, ps. Slides: pdf, ps.
2. Covariance, correlation and linear regression between two random variables: pdf, ps. Slides: pdf, ps.
3. Covariance matrices and multiple linear regression between random variables: pdf, ps. Slides: pdf, ps.
4. Sequences and series: pdf, ps.
5. Notions of asymptotic theory: pdf, ps.
6. Complex analysis and power series: pdf, ps. Slides: pdf, ps.
7. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1 : pdf, ps.
   
   
2. Exercices 2 - ARMA models : pdf, ps.
   
   
3. Sign-based tests for medians and independence : pdf, ps.
   Due: 2021-03-22
4. Sign-based tests in linear regression : pdf, ps.
   Due: 2021-03-29
5. Multivariate linear regression and CAPM : pdf, ps.
   Due: 2021-04-05
6. Stable distributions in finance : pdf, ps.
   Due: 2021-04-12

Earlier exams (ECON 763)

1. Intra exam - ECON 763 - 22 February 2021 : pdf, ps.
   
   
2. Intra exam - ECON 763 - 18 February 2019 : pdf, ps.
   
   
3. Final exam - ECON 763 - 18 April 2019 : pdf, ps.
   
   
4. Intra exam - ECON 763 - 17 October 2017 : pdf, ps.
   
   
5. Final exam - ECON 763 - 7 December 2017 : pdf, ps.
   
   
6. Intra exam - ECON 763 - 23 February 2016 : pdf, ps.
   
   
7. Final exam - ECON 763 - 18 April 2016 : pdf, ps.
   
   
8. Intra exam - ECON 763 - 11 March 2015 : pdf, ps.
   
   
9. Final exam - ECON 763 - 22 April 2015 : pdf, ps.
   
   
10. Intra exam - ECON 763 - 10 March 2014 : pdf, ps.
    
    
11. Final exam - ECON 763 - 25 April 2014 : pdf, ps.
    
    

---

Special topics in econometrics (Economics 706), McGill University, Winter 2021

Course schedule: Tuesday 18h05 - 20h55
Office hours: By appointment

Course outline (Economics 706 / Winter 2021): pdf, ps.

Exercises

1. Models: pdf, ps.
   Due: January 19, 2021
   Statistical models and likelihood functions: pdf, ps. Slides: pdf, ps.
2. Decision theory: pdf, ps.
   Due: January 26, 2021
3. Information: pdf, ps.
   Due: January 26, 2021
4. General estimation theory: pdf, ps.
   Due: February 2, 2021
5. Unbiased estimation: pdf, ps.
   Due: February 9, 2021
6. General issues in testing theory: pdf, ps.
   Due: February 16, 2021
7. Unbiased and invariant tests: pdf, ps.
   Due: February 23, 2021
8. Confidence sets: pdf, ps.
   Due: February 23, 2021
9. Maximum likelihood method: pdf, ps.
   Due: March 9, 2021
10. Tests based on likelihood functions: pdf, ps.
    Due: March 9, 2021
11. M-estimators: pdf, ps.
    Due: March 16, 2021
12. Methods of moments: pdf, ps.
    Due: March 23, 2021
13. Equality constraints: pdf, ps.
    Due: March 30, 2021
14. Prediction and residuals: pdf, ps.
    Due: April 6, 2021
15. General asymptotic tests: pdf, ps.
    Due: April 13, 2021

Mathematical notes

1. Distribution and quantile functions: pdf, ps. Slides: pdf, ps.

Review questions

1. Weak identification: pdf, ps.
2. Monte Carlo tests: pdf, ps.
3. Confidence sets: pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.

Earlier exams (ECON 706)

1. Intra exam - ECON 706 - 23 February 2021 : pdf, ps.
   
   
2. Intra exam - ECON 706 - 26 February 2019 : pdf, ps.
   
   
3. Final exam - ECON 706 - 15 April 2019 : pdf, ps.
   
   
4. Intra exam - ECON 706 - 10 October 2017 : pdf, ps.
   
   
5. Final exam - ECON 706 - 18 December 2017 : pdf, ps.
   
   
6. Intra exam - ECON 706 - 2 February 2016 : pdf, ps.
   
   
7. Final exam - ECON 706 - 29 April 2016 : pdf, ps.
   
   
8. Final exam - ECON 706 - 1 May 2015 : pdf, ps.
   
   
9. Intra exam - ECON 706 - 11 March 2014 : pdf, ps.
   
   
10. Final exam - ECON 706 - 23 April 2014 : pdf, ps.
    
    
11. Intra exam - ECON 706 - 2 November 2011 : pdf, ps.
    
    
12. Final exam - ECON 706 - 15 December 2011 : pdf, ps.
    
    
13. Intra exam - ECON 706 - 10 March 2010 : pdf, ps.
    
    
14. Final exam - ECON 706 - 21 April 2010 : pdf, ps.
    
    
15. Intra exam - ECON 706 - 18 February 2009 : pdf, ps.
    
    
16. Final exam - ECON 706 - 22 April 2009 : pdf, ps.
    
    
17. Intra exam - ECON 706 - 3 March 2008 : pdf, ps.
    
    
18. Final exam - ECON 706 - 16 April 2008 : pdf, ps.
    
    

---

Financial econometrics (Economics 763), McGill University, Winter 2021

Course schedule: Monday 18h05 - 20h55
Office hours: : By appointment

Course outline (Economics 763 / Winter 2021): pdf, ps.

This is a tentative course outline which will be updated.

Lecture notes

1. Introduction to time series analysis: pdf. Slides: pdf.
2. Stochastic processes: basic notions: pdf, ps. Slides: pdf, ps,
3. Stochastic processes: generating functions and identification: pdf, ps. Slides: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Forecasting of stationary and ARIMA processes: pdf, ps.
7. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
8. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
9. Model selection criteria: pdf, ps.
10. Estimation of ARMA models by maximum likelihood: pdf, ps.
11. ARIMA model validation: pdf, ps.
12. Unit root tests : pdf, ps.
    Tables: pdf.
13. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
14. "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.] pdf.
15. Multivariate time series modelling: pdf, ps.
16. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
17. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
18. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
    Programs and data - October 2013: zip .
28. "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.
29. "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.
30. "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.

Mathematical notes

1. Properties of moments of random variables: pdf, ps. Slides: pdf, ps.
2. Multivariate distributions and measures of dependence between random variables: pdf, ps. Slides: pdf, ps.
3. Sequences and series: pdf, ps.
4. Notions of asymptotic theory: pdf, ps.
5. Complex analysis and power series: pdf, ps. Slides: pdf, ps.
6. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1 : pdf, ps.
   
   
2. Exercices 2 - ARMA models : pdf, ps.
   
   
3. Sign-based tests for medians and independence : pdf, ps.
   Due: 2021-03-22
4. Sign-based tests in linear regression : pdf, ps.
   Due: 2021-03-29
5. Multivariate linear regression and CAPM : pdf, ps.
   Due: 2021-04-05
6. Stable distributions in finance : pdf, ps.
   Due: 2021-04-12

Earlier exams (ECON 763)

1. Intra exam - ECON 763 - 22 February 2021 : pdf, ps.
   
   
2. Intra exam - ECON 763 - 18 February 2019 : pdf, ps.
   
   
3. Final exam - ECON 763 - 18 April 2019 : pdf, ps.
   
   
4. Intra exam - ECON 763 - 17 October 2017 : pdf, ps.
   
   
5. Final exam - ECON 763 - 7 December 2017 : pdf, ps.
   
   
6. Intra exam - ECON 763 - 23 February 2016 : pdf, ps.
   
   
7. Final exam - ECON 763 - 18 April 2016 : pdf, ps.
   
   
8. Intra exam - ECON 763 - 11 March 2015 : pdf, ps.
   
   
9. Final exam - ECON 763 - 22 April 2015 : pdf, ps.
   
   
10. Intra exam - ECON 763 - 10 March 2014 : pdf, ps.
    
    
11. Final exam - ECON 763 - 25 April 2014 : pdf, ps.
    
    

---

Special topics in econometrics (Economics 706), McGill University, Winter 2019

Course schedule: Tuesday 18h05 - 20h55
Office hours: By appointment

Course outline (Economics 706 / Winter 2019): pdf, ps.

Exercises

1. Models: pdf, ps.
   Due: January 15, 2019
2. Decision theory: pdf, ps.
   Due: January 22, 2019
3. Information: pdf, ps.
   Due: January 22, 2019
4. General estimation theory: pdf, ps.
   Due: January 29, 2019
5. Unbiased estimation: pdf, ps.
   Due: February 5, 2019
6. General issues in testing theory: pdf, ps.
   Due: February 12, 2019
7. Unbiased and invariant tests: pdf, ps.
   Due: February 19, 2019
8. Confidence sets: pdf, ps.
   Due: February 26, 2019
9. Maximum likelihood method: pdf, ps.
   Due: March 5, 2019
10. Tests based on likelihood functions: pdf, ps.
    Due: March 5, 2019
11. M-estimators: pdf, ps.
    Due: March 12, 2019
12. Methods of moments: pdf, ps.
    Due: March 19, 2019
13. Equality constraints: pdf, ps.
    Due: March 26, 2019
14. Prediction and residuals: pdf, ps.
    Due: April 2, 2019
15. General asymptotic tests: pdf, ps.
    Due: April 9, 2019

Review questions

1. Weak identification: pdf, ps.
2. Monte Carlo tests: pdf, ps.
3. Confidence sets: pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.



---




Financial econometrics (Economics 763), McGill University, Winter 2019

Course schedule: Monday 18h05 - 20h55
Office hours: : By appointment


Course outline (Economics 763 / Winter 2019): pdf, ps.

This is a tentative course outline which will be updated.


Lecture notes

1. Introduction to time series analysis: pdf. Slides: pdf.
2. Stochastic processes: basic notions: pdf, ps. Slides: pdf, ps,
3. Stochastic processes: generating functions and identification: pdf, ps. Slides: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Forecasting of stationary and ARIMA processes: pdf, ps.
7. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
8. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
9. Model selection criteria: pdf, ps.
10. Estimation of ARMA models by maximum likelihood: pdf, ps.
11. ARIMA model validation: pdf, ps.
12. Unit root tests : pdf, ps.
    Tables: pdf.
13. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
14. "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.] pdf.
15. Multivariate time series modelling: pdf, ps.
16. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
17. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
18. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
    Programs and data - October 2013: zip .
28. "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.
29. "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.
30. "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.

Mathematical notes

1. Properties of moments of random variables: pdf, ps. Slides: pdf, ps.
2. Multivariate distributions and measures of dependence between random variables: pdf, ps. Slides: pdf, ps.
3. Sequences and series: pdf, ps. Slides: pdf, ps.
4. Notions of asymptotic theory: pdf, ps.
5. Complex analysis and power series: pdf, ps. Slides: pdf, ps.
6. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1 : pdf, ps.
   
   
2. Exercices 2 - ARMA models : pdf, ps.
   
   
3. Sign-based tests for medians and independence : pdf, ps.
   
4. Sign-based tests in linear regression : pdf, ps.
5. Multivariate linear regression and CAPM : pdf, ps.
6. Stable distributions in finance : pdf, ps.



---




Special topics in econometrics (Economics 706), McGill University, Fall 2017

Course schedule: Monday 18h05 - 20h55
Office hours: By appointment


Course outline (Economics 706 / Winter 2017): pdf, ps.

This is a tentative course outline which will be updated.


Exercises

1. Models: pdf, ps.
   
2. Decision theory: pdf, ps.
   
3. Information: pdf, ps.
   
4. General estimation theory: pdf, ps.
   
5. Unbiased estimation: pdf, ps.
   
6. General issues in testing theory: pdf, ps.
   
7. Unbiased and invariant tests: pdf, ps.
   
8. Confidence sets: pdf, ps.
   
9. Maximum likelihood method: pdf, ps.
   
10. Tests based on likelihood functions: pdf, ps.
    
11. M-estimators: pdf, ps.
    
12. Methods of moments: pdf, ps.
    
13. Equality constraints: pdf, ps.
    
14. Prediction and residuals: pdf, ps.
    
15. General asymptotic tests: pdf, ps.
    

Review questions

1. Weak identification: pdf, ps.
2. Monte Carlo tests: pdf, ps.
3. Confidence sets: pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.



---




Financial econometrics (Economics 763), McGill University, Fall 2017

Course schedule: Tuesday 18h05 - 20h55
Office hours: : By appointment


Course outline (Economics 763 / Fall 2017): pdf, ps.

This is a tentative course outline which will be updated.


Lecture notes

1. Introduction to time series analysis: pdf. Slides: pdf.
2. Stochastic processes: basic notions: pdf, ps. Slides: pdf, ps,
3. Stochastic processes: generating functions and identification: pdf, ps. Slides: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Forecasting of stationary and ARIMA processes: pdf, ps.
7. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
8. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
9. Model selection criteria: pdf, ps.
10. Estimation of ARMA models by maximum likelihood: pdf, ps.
11. ARIMA model validation: pdf, ps.
12. Unit root tests : pdf, ps.
    Tables: pdf.
13. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
14. Multivariate time series modelling: pdf, ps.
15. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
16. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
17. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
18. "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.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
    Programs and data - October 2013: zip .
27. "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.
28. "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.
29. "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.

Mathematical notes

1. Properties of moments of random variables: pdf, ps. Slides: pdf, ps.
2. Multivariate distributions and measures of dependence between random variables: pdf, ps. Slides: pdf, ps.
3. Sequences and series: pdf, ps. Slides: pdf, ps.
4. Notions of asymptotic theory: pdf, ps.
5. Complex analysis and power series: pdf, ps. Slides: pdf, ps.
6. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1 : pdf, ps.
   
   
2. Exercices 2 - ARMA models : pdf, ps.
   Solutions: pdf.
   
3. Sign-based tests for medians and independence : pdf, ps.
   
4. Sign-based tests in linear regression : pdf, ps.
5. Multivariate linear regression and CAPM : pdf, ps.
6. Stable distributions in finance : pdf, ps.

---




Special topics in econometrics (Economics 706B), McGill University, Winter 2017

Course schedule: Monday 18h05 - 20h55
Office hours: Monday 16h00 - 18h00 [except on Monday February 27]
During the reading week (February 27 - March 2), my offfice hours will be on Thursday March 2 (16h00 - 18h00).

Course outline (Economics 706B / Winter 2017): pdf, ps.

This is a tentative course outline which will be updated.


Exercises

1. Models: pdf, ps.
   Due: January 18, 2017
2. Decision theory: pdf, ps.
   Due: January 25, 2017
3. Information: pdf, ps.
   Due: January 25, 2017
4. General estimation theory: pdf, ps.
   Due: February 1, 2017
5. Unbiased estimation: pdf, ps.
   Due: February 1, 2017
6. General issues in testing theory: pdf, ps.
   Due: February 8, 2017
7. Unbiased and invariant tests: pdf, ps.
   Due: February 15, 2017
8. Confidence sets: pdf, ps.
   Due: February 22, 2017
9. Maximum likelihood method: pdf, ps.
   Due: March 7, 2017
10. Tests based on likelihood functions: pdf, ps.
    Due: March 7, 2017
11. M-estimators: pdf, ps.
    Due: March 14, 2017
12. Methods of moments: pdf, ps.
    Due: March 21, 2017
13. Equality constraints: pdf, ps.
    Due: April 4, 2017
14. Prediction and residuals: pdf, ps.
    Due: April 4, 2017
15. General asymptotic tests: pdf, ps.
    Due: April 11, 2017

Review questions

1. Weak identification: pdf, ps.
2. Monte Carlo tests: pdf, ps.
3. Confidence sets: pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.



---




Financial econometrics (Economics 763B), McGill University, Winter 2017

Course schedule: Tuesday 18h05 - 20h55
Office hours: Monday 16h00 - 18h00 [except on Monday February 27]
During the reading week (February 27 - March 2), my offfice hours will be on Thursday March 2 (16h00 - 18h00).

Course outline (Economics 763B / Winter 2017): pdf, ps.

This is a tentative course outline which will be updated.


Lecture notes

1. Introduction to time series analysis: pdf. Slides: pdf.
2. Stochastic processes: basic notions: pdf, ps. Slides: pdf, ps,
3. Stochastic processes: generating functions and identification: pdf, ps. Slides: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Forecasting of stationary and ARIMA processes: pdf, ps.
7. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
8. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
9. Model selection criteria: pdf, ps.
10. Estimation of ARMA models by maximum likelihood: pdf, ps.
11. ARIMA model validation: pdf, ps.
12. Unit root tests : pdf, ps.
    Tables: pdf.
13. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
14. Multivariate time series modelling: pdf, ps.
15. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
16. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
17. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
18. "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.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
28. "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.
29. "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

1. Sequences and series: pdf, ps. Slides: pdf, ps.
2. Complex analysis and power series: pdf, ps. Slides: pdf, ps.
3. Properties of moments of random variables: pdf, ps.
4. Notions of asymptotic theory: pdf, ps.
5. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1: pdf, ps.
   Solutions: pdf.
   
2. Exercices 2 - ARMA models: pdf, ps.
   Solutions: pdf.
   
3. Sign-based tests for medians and independence: pdf, ps.
   
4. Questions on Financial econometrics: pdf, ps.

Examinations

1. Mid-term examination (February 21, 2017): pdf, ps.
   Solutions: pdf.



---

---




Special topics in econometrics (Economics 706B), McGill University, Winter 2016

Course schedule: Monday 18h05 - 20h55


Course outline (Economics 706B / Winter 2016): pdf, ps.

Exercises

1. Models: pdf, ps.
   Due: January 18, 2016
2. Decision theory: pdf, ps.
   Due: January 25, 2016
3. Information: pdf, ps.
   Due: January 25, 2016
4. General estimation theory: pdf, ps.
   Due: February 1, 2016
5. Unbiased estimation: pdf, ps.
   Due: February 1, 2016
6. General issues in testing theory: pdf, ps.
   Due: February 8, 2016
7. Unbiased and invariant tests: pdf, ps.
   Due: February 15, 2016
8. Confidence sets: pdf, ps.
   Due: February 22, 2016
9. Maximum likelihood method: pdf, ps.
   Due: March 7, 2016
10. Tests based on likelihood functions: pdf, ps.
    Due: March 7, 2016
11. M-estimators: pdf, ps.
    Due: March 14, 2016
12. Methods of moments: pdf, ps.
    Due: March 21, 2016
13. Equality constraints: pdf, ps.
    Due: April 4, 2016
14. Prediction and residuals: pdf, ps.
    Due: April 4, 2016
15. General asymptotic tests: pdf, ps.
    Due: April 11, 2016

Review questions

1. Weak identification: pdf, ps.
2. Monte Carlo tests: pdf, ps.
3. Confidence sets: pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.

---




Financial econometrics (Economics 763B), McGill University, Winter 2016

Course schedule: Tuesday 18h05 - 20h55


Course outline (Economics 763B / Winter 2016): pdf, ps.

Lecture notes

1. Introduction to time series analysis: pdf.
2. Stochastic processes: pdf, ps.
3. Hilbert spaces: pdf, ps.
4. Optimal prediction: pdf, ps.
5. Forecasting of stationary and ARIMA processes: pdf, ps.
6. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
7. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
8. Model selection criteria: pdf, ps.
9. Estimation of ARMA models by maximum likelihood: pdf, ps.
10. ARIMA model validation: pdf, ps.
11. Unit root tests : pdf, ps.
    Tables: pdf.
12. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
13. Multivariate time series modelling: pdf, ps.
14. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
15. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
16. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
17. "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.
18. "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.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
28. "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 (for reference only)

1. Properties of moments of random variables: pdf, ps.
2. Notions of asymptotic theory: pdf, ps.
3. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1: pdf, ps.
   Solutions: pdf, ps,
2. Exercices 2 - ARMA models: pdf, ps.
3. Questions on Financial econometrics: pdf, ps.

---




Special topics in econometrics (Economics 706B), McGill University, Winter 2015

Course schedule: Monday 18h05 - 20h55


Course outline (Economics 706B / Winter 2015): pdf, ps.

Exercises

1. Models: pdf, ps.
   Due: January 12, 2015
2. Decision theory: pdf, ps.
   Due: January 19, 2015
3. Information: pdf, ps.
   Due: January 26, 2015
4. General estimation theory: pdf, ps.
   Due: February 2, 2015
5. Unbiased estimation: pdf, ps.
   Due: February 9, 2015
6. General issues in testing theory: pdf, ps.
   Due: February 16, 2015
7. Unbiased and invariant tests: pdf, ps.
   Due: February 16, 2014
8. Confidence sets: pdf, ps.
   Due: February 23, 2015
9. Maximum likelihood method: pdf, ps.
   Due: March 9, 2015
10. Tests based on likelihood functions: pdf, ps.
    Due: March 9, 2015
11. M-estimators: pdf, ps.
    Due: March 16, 2015
12. Methods of moments: pdf, ps.
    Due: March 23, 2015
13. Equality constraints: pdf, ps.
    Due: March 30, 2015
14. Prediction and residuals: pdf, ps.
    Due: April 6, 2015
15. General asymptotic tests: pdf, ps.
    Due: April 13, 2014

Review questions

1. Weak identification: pdf, ps.
2. Monte Carlo tests: pdf, ps.
3. Confidence sets: pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.

---




Financial econometrics (Economics 763B), McGill University, Winter 2015

Course schedule: Tuesday 18h05 - 20h55


Course outline (Economics 763B / Winter 2015): pdf, ps.

Lecture notes

1. Introduction to time series analysis: pdf.
2. Stochastic processes: pdf, ps.
3. Hilbert spaces: pdf, ps.
4. Optimal prediction: pdf, ps.
5. Forecasting of stationary and ARIMA processes: pdf, ps.
6. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
7. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
8. Model selection criteria: pdf, ps.
9. Estimation of ARMA models by maximum likelihood: pdf, ps.
10. ARIMA model validation: pdf, ps.
11. Unit root tests : pdf, ps.
    Tables: pdf.
12. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
13. Multivariate time series modelling: pdf, ps.
14. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
15. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
16. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
17. "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.
18. "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.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
28. "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 (for reference only)

1. Properties of moments of random variables: pdf, ps.
2. Notions of asymptotic theory: pdf, ps.
3. Distribution and quantile functions: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1: pdf, ps.
2. Exercices 2 - ARMA models: pdf, ps.
3. Questions on Financial econometrics: pdf, ps.




---

Course material: previous years / Documents pédagogiques: anciens




Special topics in econometrics (Economics 706B), McGill University, Winter 2014

Course schedule: Tuesday 18h00 - 21h00


Course outline (Economics 706B /Winter 2014): pdf, ps.

Exercises

1. Models: pdf, ps.
   Due: January 21, 2014
2. Decision theory: pdf, ps.
   Due: January 28, 2014
3. Information: pdf, ps.
   Due: February 4, 2014
4. General estimation theory: pdf, ps.
   Due: February 11, 2014
5. Unbiased estimation: pdf, ps.
   Due: February 18, 2014
6. General issues in testing theory: pdf, ps.
   Due: February 25, 2014
7. Unbiased and invariant tests: pdf, ps.
   Due: March 4, 2014
8. Confidence sets: pdf, ps.
   Due: March 4, 2014
9. Maximum likelihood method: pdf, ps.
   Due: March 11, 2014
10. Tests based on likelihood functions: pdf, ps.
    Due: March 18, 2014
11. M-estimators: pdf, ps.
    Due: March 25, 2014
12. Methods of moments: pdf, ps.
    Due: March 25, 2014
13. Equality constraints: pdf, ps.
    Due: April 1, 2014
14. Prediction and residuals: pdf, ps.
    Due: April 1, 2014
15. General asymptotic tests: pdf, ps.
    Due: April 8, 2014

Review questions

1. Weak identification (midterm): pdf, ps.
2. Monte Carlo tests (midterm): pdf, ps.
3. Confidence sets (midterm): pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.

---




Financial econometrics (Economics 763B), McGill University, Winter 2014

Course schedule: Monday 18h00 - 21h00


Course outline (Economics 763B /Winter 2014): pdf, ps.

Lecture notes

1. Introduction to time series analysis: pdf.
2. Stochastic processes: pdf, ps.
3. Hilbert spaces: pdf, ps.
4. Optimal prediction: pdf, ps.
5. Forecasting of stationary and ARIMA processes: pdf, ps.
6. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
7. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
8. Model selection criteria: pdf, ps.
9. Estimation of ARMA models by maximum likelihood: pdf, ps.
10. ARIMA model validation: pdf, ps.
11. Unit root tests : pdf, ps.
    Tables: pdf.
12. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
13. Multivariate time series modelling: pdf, ps.
14. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
15. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
16. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
17. "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.
18. "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.
19. "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.
20. "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.
21. "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.
22. "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.
23. "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.
24. "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.
25. "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.
26. "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.
27. "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.
28. "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 (for reference only)

1. Properties of moments of random variables: pdf, ps.
2. Notions of asymptotic theory: pdf, ps.

Exercises

1. Exercises 1 - Stochastic processes 1: pdf, ps.
2. Exercices 2 - ARMA models: pdf, ps.

---




Econometrics I (Economics 468), McGill University, Fall 2011

Course outline: pdf, ps. Updated: September 28, 2011.

1. Introduction to econometrics: pdf, ps. Slides: pdf, ps.
2. Multivariate distributions and measures of dependence between random variables: pdf, ps. Slides: pdf, ps. Updated: September 29, 2011.
3. Prediction and regression: pdf, ps. Slides: pdf, ps.
4. Classical linear regression: pdf, ps. Slides: pdf, ps. Updated: October 18, 2011.
5. Coefficients of determination: pdf, ps. Slides: pdf, ps.
   Updated: October 26, 2011
6. Dummy variables: pdf, ps. Slides: pdf, ps.
   Notes given on blackboard.
7. Partitioning: adding variables and observations in linear regression: pdf, ps. Slides: pdf, ps.
8. Specification errors in linear regression models: pdf, ps. Slides: pdf, ps.
   Notes given on blackboard.
9. Analysis of residuals: pdf, ps. Slides: pdf, ps.
10. Dufour, J.-M: (1980): "Dummy Variables and Predictive Tests for Structural change", Economics Letters, " 6 (1980), 241-247. pdf.
11. 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.
12. Generalized least squares: pdf, ps. Slides: pdf, ps.
13. Basic asymptotic theory: pdf, ps. Slides: pdf, ps. Only for reference (notions used in other texts).
14. Asymptotic theory for linear regressions and IV estimation: pdf, ps. Slides: pdf, ps.
15. Estimation of linear regression models with AR(1) errors: pdf, ps.
16. Seemingly unrelated regressions: pdf, ps.
    Not required for the final exam .
17. Distributed lag models: pdf, ps.
    Not required for the final exam.
18. Simultaneous equations: pdf, ps.
    Only the definition of two-stage least squares is required.

Exercises

1. Covariance matrices: pdf, ps.
   Due: Friday October 7, 2011, 12h00 (give to TA or put in my mailbox in Department of Economics). Note: Monday October 10, 2011 is a Holiday.
2. Prediction and regression: pdf, ps.
   Due: Friday October 14, 2011, 12h00 (give to TA or put in my mailbox in Department of Economics).
3. Classical linear regression 1: pdf, ps.
   Due: Friday October 27, 2011, 12h00 (give to TA or put in my mailbox in Department of Economics).
4. Empirical application: Canadian money demand. pdf, ps. Data: money.data

Software

1. Mirza Trokic (2011). R: An Econometrician's Guide. pdf

Midterm exam grades: pdf.

Older examinations (diiferent courses)

1. ECON 467, Mid-term (March 10, 2008): pdf.
2. ECON 467, Final (April 17, 2008): pdf.
3. ECON 467, Mid-term (March 4, 2009): pdf.
4. ECON 467, Final (April 27, 2009): pdf
5. ECON 469, Mid-term (March 3, 2010): pdf
6. ECON 469, Final (April, 29, 2010): pdf

---




Special topics in econometrics (Economics 706), McGill University, Fall 2011

Course outline: pdf, ps.

Textbook assignments

1. Models: pdf, ps.
   Due: September 21, 2011
2. Decision theory: pdf, ps.
   Due: September 28, 2011
3. Information: pdf, ps.
   Due: October 5, 2011
4. Estimation theory: pdf, ps.
   Due: October 12, 2011
5. Unbiased estimation: pdf, ps.
   Due: October 12, 2011
6. General issues in testing theory: pdf, ps.
   Due: October 18, 2011
7. Unbiased and invariant tests: pdf, ps.
   Due: October 18, 2011
8. Confidence sets: pdf, ps
   Due: November 2, 2011
9. Maximum likelihood estimation: pdf, ps,
   Due: November 9, 2011
10. Tests based on maximum likelihood functions: pdf, ps.
11. M-estimation: to be posted
12. Moment methods: to be posted
13. General asymptotic tests: to be posted

---




Graduate econometrics I (Economics 667D2), McGill University, Winter 2011

Course outline (Economics 667D2 /Winter 2011): pdf, ps.

1. Introduction to time series analysis: pdf.
2. Stochastic processes: pdf, ps.
3. Hilbert spaces: pdf, ps.
4. Optimal prediction: pdf, ps.
5. Forecasting of stationary and ARIMA processes: pdf, ps.
6. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
7. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
8. Model selection criteria: pdf, ps.
9. Science, prediction and models: pdf, ps.
10. Statistical models: pdf, ps.
11. Maximum likelihood: pdf, ps.
12. Estimation of ARMA models by maximum likelihood: pdf, ps.
13. ARIMA model validation: pdf, ps.
14. Unit root tests : pdf, ps.
    Tables: pdf.
15. Analysis of residuals in linear regressions: pdf, ps.
16. Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
17. Dufour, J.-M. (1982): "Generalized Chow Tests for Structural Change : A Coordinate-Free Approach", International Economic Review 23, 1982, 565-575. pdf.
18. Linear models with nonscalar covariance matrix and generalized least squares: pdf, ps.
19. Estimation of linear regression models with AR(1) errors: pdf, ps.
20. Seemingly unrelated regressions: pdf, ps.
21. Distributed lag models: pdf, ps.
22. Simultaneous equations: pdf, ps.
23. Multivariate time series modelling: pdf, ps.

Mathematical notes (for reference only)

1. Properties of moments of random variables: pdf, ps.
2. Notions of asymptotic theory: pdf, ps.

Exercises

1. Exercises 1 - Stochatstic processes 1: pdf, ps.
2. Exercices 2 - ARMA models: pdf, ps.

Term paper: pdf, ps.

Data

1. Data used in: 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.
2. 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. .
3. 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. pdf, ps. Data: coal and oi, gas, data description.
4. 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), pdf, Journalof Applied Econometrics, , 25 (2010), 263-285. ps. Data: txt.

Older examinations

1. ECON 467, Mid-term (March 10, 2008): pdf.
2. ECON 467, Final (April 17, 2008): pdf.
3. ECON 467, Mid-term (March 4, 2009): pdf.
4. ECON 467, Final (April 27, 2009): pdf.
5. ECON469, Mid-term (March 3, 2010): pdf.
6. ECON 469, Final (April, 29, 2010): pdf.

---




Special topics in econometrics (Economics 706), McGill University, Winter 2011

Course outline (Economics 706 / Winter 2011): pdf, ps.

Overviews

1. "General considerations on finite-sample inference in econometrics and statistics", 2002. Slides: pdf, ps.
2. "Finite-sample inference and bounds methods in econometrics and statistics", 2002. Slides: pdf, ps.
3. "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.
4. "Finite-sample inference in econometrics and statistics", 2006. Slides: pdf, ps.
5. "Finite-sample inference, weak identification and macroeconometrics", 2006. Slides: pdf, ps.
6. "New Keynesian Phillips Curves, structural econometrics and weak identification", 2006. Slides: pdf, ps.

Exercises

1. Models: pdf, ps.
2. Decision theory: pdf, ps.
3. Information: pdf, ps.
4. Estimation theory: pdf, ps.
5. Unbiased estimation: pdf, ps.
6. General issues in testing theory: pdf, ps.
7. Unbiased and invariant tests: pdf, ps.
8. Prediction and residuals: pdf, ps.
9. Equality constraints: pdf, ps.
10. M-estimators: pdf, ps.
11. Tests based on likelihood functions: pdf, ps.
12. Methods of moments: pdf, ps.
13. General asymptotic tests: pdf, ps.

---




Econometrics (Economics 469), McGill University, Winter 2010

1. Course outline (ECN 469 / Winter 2010): pdf, ps.
2. Introduction to time series analysis: pdf.
3. Stochastic processes: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
7. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
8. Model selection criteria: pdf, ps.
9. Science, prediction and models: pdf, ps.
10. Statistical models: pdf, ps.
11. Maximum likelihood: pdf, ps.
12. Estimation of ARMA models by maximum likelihood: pdf, ps.
13. ARIMA model validation: pdf, ps.
14. Forecasting of stationary and ARIMA processes: pdf, ps.
15. Unit root tests: pdf, ps. Tables: pdf.
16. Analysis of residuals in linear regressions: pdf, ps.
17. Dufour, J.-M.: (1980):"Dummy Variables and Predictive Tests for Structural Change", Economics Letters 6, 241-247. pdf.
18. Dufour, J.-M.: (1982):"Generalized Chow Tests for Structural Change: A Coordinate-Free Approach", International Economic Review 23, 565-575. pdf.
19. Linear models with nonscalar covariance matrix and generalized least squares: pdf, ps.
20. Estimationof linear regression models with AR(1) errors: pdf, ps.
21. Seemingly unrelated regressions: pdf, ps.
22. Simultaneous equations: pdf, ps.
23. Distributed lag models: pdf, ps.

Mathematical notes (for reference only)

1. Properties of moments of random variables: pdf, ps.
2. Notions of asymptotic theory: pdf, ps.

Exercises

1. Exercises 1 - Stochatstic processes 1: pdf, ps.
2. Exercices 2 - ARMA models: pdf, ps.
3. Stochastic processes 3: pdf, ps.

Review questions

1. Analysis of residuals in linear regressions: pdf, ps.
2. Generalized least squares: pdf, ps.
3. Seemingly unrelated regressions: pdf, ps.
4. Instrumental variables andsimultaneous equations: pdf, ps.

Exams

1. Mid-term (March 3, 2010): pdf, ps. Solutions: pdf.

Old mid-term exams (for a related but different course)

1. ECN 6238: March 2003: pdf, ps.
2. ECN 6238: March 2005: pdf, ps.
3. ECN 6238: March 2006: pdf, ps.
4. ECN 6238: March 2007: pdf, ps.

Old final exams: Time series (for a related but different course)

1. Stanford 1999: pdf.
2. ECN 6238: April 2003: pdf, ps.
3. ECN 6238:April 2005: pdf, ps.
4. ECN 6238: April 2006: pdf, ps.
5. ECN 6238: April 2007: pdf, ps.

Other econometrics

1. ECN 3150: Finals 1 and 2: pdf.
2. ECN 3150: Final 3: pdf.



---





Special topics in econometrics (Economics 706), McGill University, Winter 2010

Course outline (ECN 706 / Winter 2010): pdf, ps.

Overviews

1. "General considerations on finite-sample inference in econometrics and statistics", 2002. Slides: pdf, ps.
2. "Finite-sample inference and bounds methods in econometrics and statistics", 2002. Slides: pdf, ps.
3. "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.
4. "Finite-sample ference in econometrics and statistics", 2006. Slides: pdf, ps.
5. "Finite-sample inference, weak identification and macroeconometrics", 2006. Slides: pdf, ps.
6. "New Keynesian Phillips Curves, structural econometrics and weak identification", 2006. Slides: pdf, ps.

Exercises

1. Models: pdf, ps.
2. Decision theory: pdf, ps.
3. Information: pdf, ps.
4. Estimation theory: pdf, ps.
5. Unbiased estimation: pdf, ps.
6. General issues in testing theory: pdf, ps.
7. Unbiased and invariant tests: pdf, ps.
8. Prediction and residuals: pdf, ps.
9. Equality constraints: pdf, ps.
10. M-estimators: pdf, ps.
11. Tests based on likelihood functions: pdf, ps.
12. Methods of moments: pdf, ps.
13. General asymptotic tests: pdf, ps.

Review questions

1. Weak identification: pdf, ps.
2. Monte Carlo tests: pdf, ps.
3. Confidence sets: pdf, ps.
4. Exact inference in dynamic models: pdf, ps.
5. Multivariate dynamic models: pdf, ps.

Previous exams (program may differ)

1. Mid-term (March 3, 2008): pdf, ps.
2. Final (April 16, 2008): pdf, ps.
3. Mid-term (February 18, 2009): pdf, ps.
4. Final (April 22, 2009): pdf, ps.
5. Mid-term (March 10, 2010): pdf, ps.

Mid-term exam grades




---




Economic crises (Economics 319), McGill University, Winter 2009

1. Dufour, J.-M. (2009). Antieconomics and financial crisis. Slides: pdf, ps.
2. Lucas, Robert (2009). In defence of the dismal science. The Economist, August 6, 2009 (with comments).



---




Econometrics (Economics 467D2), McGill University, Winter 2009

News: There will a TA session on Tuesday March 3 at 4 pm in Leacock room 424.

1. Course outline (ECN 467D2 / Winter 2009): pdf, ps.
2. Introduction to time series analysis: pdf.
3. Stochastic processes: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
7. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
8. Model selection criteria: pdf, ps.
9. Science, prediction and models: pdf, ps.
10. Statistical models: pdf, ps.
11. Maximum likelihood: pdf, ps.
12. Estimation of ARMA models by maximum likelihood: pdf, ps.
13. ARIMA model validation: pdf, ps.
14. Forecasting of stationary and ARIMA processes: pdf, ps.
15. Unit root tests: pdf, ps. Tables: pdf.
16. Analysis of residuals in linear regressions: pdf, ps.
17. Dufour, J.-M.: (1980):"Dummy Variables and Predictive Tests for Structural Change", Economics Letters, 6,241-247. pdf.
18. Dufour, J.-M.: (1982): "Generalized Chow Tests for Structural Change : A Coordinate-Free Approach", International Economic Review, 23,565-575. pdf.
19. Linear models with nonscalar covariance matrix and generalized least squares: pdf, ps.
20. Estimation of linear regression models with AR(1) errors: pdf, ps.
21. Seemingly unrelated regressions: pdf, ps.
22. Simultaneous equations: pdf, ps.

Mathematical notes (for reference only)

1. Properties of moments of random variables: pdf, ps.
2. Notions of asymptotic theory: pdf, ps.

Exercises

1. Exercises 1 - Stochatstic processes 1: pdf, ps.
2. Exercices 2 - ARMA models: pdf, ps.
3. Stochastic processes 3: pdf, ps.

Review questions

1. Analysis of residuals in linear regressions: pdf, ps.
2. Generalized least squares: pdf, ps.
3. Seemingly unrelated regressions: pdf, ps.
4. Instrumental variables and simultaneous equations: pdf, ps.

Old mid-term exams (for a related but different course)

1. ECN 6238: March 2003: pdf, ps.
2. ECN 6238: March 2005: pdf, ps.
3. ECN 6238: March 2006: pdf, ps.
4. ECN 6238: March 2007: pdf, ps.

Old final exams: Time series (for a related but different course)

1. Stanford 1999: pdf.
2. ECN 6238: April 2003: pdf, ps.
3. ECN 6238: April 2005: pdf, ps.
4. ECN 6238: April 2006: pdf, ps.
5. ECN 6238: April 2007: pdf, ps.

Other econometrics

1. ECN 3150: Finals 1 and 2: pdf.
2. ECN 3150: Final 3: pdf.



---




Special topics in econometrics (Economics 706), McGill University, Winter 2009

Course outline (ECN 706 / Winter 2009): pdf, ps.

Overviews

1. "General considerations on finite-sample inference in econometrics andstatistics", 2002. Slides: pdf, ps.
2. "Finite-sample inference and bounds methods in econometrics and statistics", 2002. Slides: pdf, ps.
3. "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.
4. "Finite-sample inference in econometrics and statistics", 2006. Slides: pdf, ps.
5. "Finite-sample inference, weak identification and macroeconometrics", 2006. Slides: pdf, ps.
6. "New Keynesian Phillips Curves, structural econometrics and weak identification", 2006. Slides: pdf, ps.

Exercises

1. Exercises 1 - Models: pdf, ps.
2. Decision theory: pdf , ps.



---




Econometrics (Economics 467D2), McGill University, Winter 2008

1. Course outline (ECN 467D2 / Winter 2008): pdf, ps.
2. Introduction to time series analysis: pdf.
3. Stochastic processes: pdf, ps.
4. Hilbert spaces: pdf, ps.
5. Optimal prediction: pdf, ps.
6. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
7. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
8. Model selection criteria: pdf, ps.
9. Science, prediction and models: pdf, ps.
10. Statistical models: pdf, ps.
11. Maximum likelihood: pdf, ps.
12. Estimation of ARMA models by maximum likelihood: pdf, ps.
13. ARIMA model validation: pdf, ps.
14. Forecasting of stationary and ARIMA processes: pdf, ps.
15. Unit root tests: pdf, ps. Tables: pdf.
16. Analysis of residuals in linear regressions: pdf, ps.
17. Dufour, J.-M.: (1980): "Dummy Variables and Predictive Tests for Structural Change", Economics Letters, 6, 241-247. pdf.
18. Dufour, J.-M.: (1982):"Generalized Chow Tests for Structural Change: A Coordinate-Free Approach", International Economic Review, 23,565-575. pdf.
19. Linear models with nonscalar covariance matrix and generalized least squares: pdf, ps.
20. Estimation of linear regression models with AR(1) errors: pdf, ps.
21. Seemingly unrelated regressions: pdf, ps.
22. Simultaneous equations: pdf, ps.

Mathematical notes (for reference only)

1. Properties of moments of random variables: pdf, ps.
2. Notions of asymptotic theory: pdf, ps.

Exercises

1. Exercises 1 - Stochatstic processes 1: pdf, ps.
2. Exercices 2 - ARMA models: pdf, ps.
3. Stochastic processes 3: pdf, ps.

Assignment grades: pdf All assignment grades are now in.

Review questions

1. Analysis of residuals in linear regressions: pdf, ps.
2. Generalized least squares: pdf, ps.
3. Seemingly unrelated regressions: pdf, ps.
4. Instrumental variables and simultaneous equations: pdf, ps.

Old mid-term exams (for a related but different course)

1. ECN 6238: March 2003: pdf, ps.
2. ECN 6238: March 2005: pdf, ps.
3. ECN 6238: March 2006: pdf, ps.
4. ECN 6238: March 2007: pdf, ps.

Old final exams: Time series (for a related but different course)

1. Stanford 1999: pdf.
2. ECN 6238: April 2003: pdf, ps.
3. ECN 6238: April 2005: pdf, ps.
4. ECN 6238: April 2006: pdf, ps.
5. ECN 6238: April 2007: pdf, ps.

Other econometrics

1. ECN 3150: Finals 1 and 2: pdf.
2. ECN 3150: Final 3: pdf.

---




Special topics in econometrics (Economics 706), McGill University, Winter 2008

Course outline (ECN 706 / Winter 2008): pdf, ps.

Overviews

1. "General considerations on finite-sample inference in econometrics and statistics", 2002. Slides: pdf, ps.
2. "Finite-sample inference and bounds methods in econometrics and statistics", 2002. Slides: pdf, ps.
3. "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.
4. "Finite-sample inference in econometrics and statistics", 2006. Slides: pdf, ps.
5. "Finite-sample inference, weak identification and macroeconometrics", 2006. Slides: pdf, ps.
6. "New Keynesian Phillips Curves, structural econometrics and weak identification", 2006. Slides: pdf, ps.



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Économétrie des séries chronologiques et macroéconométrie / Time series and macroeconometrics (ECN 6238)
Université de Montréal, Hiver / Winter 2007

NOTES

1. Syllabus (ECN 6238, Hiver / Winter 2007): pdf, ps.
2. Introduction to time series analysis: pdf. /
   Introduction à l'analyse des séries chronologiques: pdf, ps.
3. Histoire de l'analyse des séries chronologiques: pdf, ps.
4. Introduction to stochastic processes: pdf, ps. /
   Introduction à la théorie des processus stochastiques: pdf, ps.
5. Hilbert spaces: pdf, ps.
6. Optimal prediction theory: pdf, ps.
7. Estimation of the mean and autocorrelations of a stationary process: pdf, ps.
8. Specification of ARIMA models by the Box-Jenkins method: pdf, ps.
9. Critères de sélection de modèles. / Model selection criteria: pdf, ps.
10. Estimation de modèles ARIMA: pdf, ps.
11. Validation de modèles ARIMA: pdf, ps.
12. Prévision de procesus stationnaires et ARIMA: pdf, ps.
13. Tests de racines unitaires / Unit root tests: pdf, ps.
14. Spécification de modèles ARMA par la méthode du coin: pdf, ps.
15. Spécification de modèles ARIMA par la méthode des autocorrélations généralisées: pdf, ps.
16. Modèles de séries chronologiques multivariés / Multivariate time eries modelling: pdf, ps.
17. Causalité dans les modèles de séries chronologiques multivariés: pdf, ps.
18. Tests de causalité: pdf, ps.
19. Fonctions de transfert: pdf, ps.

RAPPELS MATHÉMATIQUES / MATHEMATICAL NOTES

1. Properties of moments of random variables: pdf, ps.
   Propriétés des moments de variables aléatoires: pdf, ps.
2. Suites et séries: pdf, ps.
3. Analyse complexe et séries entières: pdf, ps.
4. Notions of asymptotic theory: pdf, ps.
   Notions de théorie asymptotique: pdf, ps.

EXERCICES

1. Processus stochastiques 1: pdf, ps.
   Stochastic processes 1: pdf, ps.
2. Processus stochastiques 2: pdf, ps.
   Stochastic processes 2: pdf, ps.
3. Processus stochastiques 3: pdf, ps.
   Stochastic processes 3: pdf, ps.
4. Processus ARIMA: pdf, ps.
   ARIMA processes: pdf, ps.



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Fluctuations et prévision économique / Economic fluctuations and prediction (ECN 3050/3055)
Université de Montréal, Hiver / Winter 2003

1. Syllabus (ECN 3050/3055, Hiver / Winter 2003): pdf, ps.
2. Fluctuations économiques: notions de base: pdf.
3. Fluctuations macroéconomiques: faits stylisés: pdf, ps.
4. Généralités sur l'histoire des fluctuations énomiques: pdf, ps.
5. Histoire des fluctuations économiques aux États-Unis: pdf, ps.
6. Analyse descriptive des cycles économiques: pdf, ps.
7. Ajustement de courbes de tendance par des méthodes de régression: pdf, ps.
8. Lissage exponentiel: pdf, ps.
9. Extraction de tendance et déisonnalisation par la méthode des moyennes mobiles: pdf, ps.



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Économétrie avancée / Special topics in econometrics (ECN 7223C)
Université de Montréal, Hiver / Winter 2002

Syllabus (ECN 6238, Hiver / Winter 2002): pdf, ps.

Exercices

1. Modèles: pdf, ps.
2. Statistical models and likelihood functions: pdf, ps.
3. Théorie de la décision: pdf, ps.
4. Information: pdf, ps.
5. Généralités sur l'estimation: pdf, ps.
6. Estimation sans biais: pdf, ps.
7. Généralités sur la théorie des tests: pdf, ps.
8. Tests sans biais et tests invariants: pdf, ps.
9. Prévision et résidus: pdf, ps.
10. Maximum de vraisemblance: pdf, ps.
11. M-estimateurs: pdf, ps.
12. Tests fondés sur la vraisemblance: pdf, ps.

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Last update: 7 January 2026