Simulation based finite and large sample tests in multivariate regressions

DOI10.1016/S0304-4076(02)00108-2zbMath1030.62048OpenAlexW2164736748MaRDI QIDQ1867743

Lynda Khalaf, Jean-Marie Dufour

Publication date: 2 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00108-2

zbMATH Keywords

BootstrapMonte Carlo testsSeemingly unrelated regressionsBounds testExact testsFinite sample testsMultivariate linear regressionNonlinear hypothesesUniform linear hypotheses

Mathematics Subject Classification ID

Related Items (18)

Finite sample multivariate structural change tests with application to energy demand models ⋮ Short run and long run causality in time series: inference ⋮ Finite-sample simulation-based inference in VAR models with application to Granger causality testing ⋮ Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models ⋮ Identification and inference in two-pass asset pricing models ⋮ Exact test for breaks in covariance in multivariate regressions ⋮ Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds ⋮ Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds* ⋮ Exact confidence sets and goodness-of-fit methods for stable distributions ⋮ Simulation-based exact jump tests in models with conditional heteroskedasticity ⋮ Exact tests of the stability of the Phillips curve: the Canadian case ⋮ Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis ⋮ Finite sample multivariate tests of asset pricing models with coskewness ⋮ Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Identification robust inference in cointegrating regressions ⋮ Third-order power comparisons for a class of tests for multivariate linear hypothesis under general distributions ⋮ Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.

Uses Software

• bootstrap

Cites Work

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