Simulation based finite and large sample tests in multivariate regressions

DOI10.1016/S0304-4076(02)00108-2MaRDI QIDQ1867743zbMATH OpenOpenAlexFDO

Authors Jean-Marie Dufour, Lynda Khalaf

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

Linear regression; mixed models (62J05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

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Cited in

(21)

• Exact tests of the stability of the Phillips curve: the Canadian case
• 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 tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• Finite sample multivariate tests of asset pricing models with coskewness
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
• scientific article; zbMATH DE number 1859306 (Why is no real title available?)
• Finite sample multivariate structural change tests with application to energy demand models
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Short run and long run causality in time series: inference
• Third-order power comparisons for a class of tests for multivariate linear hypothesis under general distributions
• Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
• Finite-sample exact tests for linear regressions with bounded dependent variables
• Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
• Identification and inference in two-pass asset pricing models
• Exact confidence sets and goodness-of-fit methods for stable distributions
• Exact test for breaks in covariance in multivariate regressions
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Identification robust inference in cointegrating regressions

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Uses Software

• bootstrap

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