Jean-Marie Dufour


Course material / Documents pédagogiques



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 egression: 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 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. Linearmodels 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.



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.



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.



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.

Counter start time: 1 November 2006

Edited with Notepad++ 6.5
Last updated: 17 May 2016