Jean-Marie Dufour

News / Nouvelles

• 2018, September 25, Tuesday - I was just elected Fellow of the International Association for Applied Econometrics. pdf
  
  
• 2018, August 1, Wednesday - My paper entitled
  
  "On the sensitivity of Granger Causality to errors-in-variables, subsampling and linear transformations"
  (with Brian Anderson and Manfred Deistler).
  
  has been accepted for publication in the Journal of Time Series Analysis.
  The discussion paper (April 2018) is available here: pdf, ps.
  
  
• 2018, July 17, Tuesday - My paper entitled
  
  "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory"
  (with Firmin Doko Tchatoka),
  
  has been accepted for publication in the Journal of Econometrics.
  The discussion paper (July 2018) is available here: pdf, ps.
  
  
• 2018, March 30, Friday - My paper entitled
  
  "Confidence sets for inequality measures: Fieller-type methods"
  (with Emmanuel Flachaire, Lynda Khalaf and Abdallah Zalghout),
  
  has been published in the book Productivity and Inequality, edited by William H. Greene, Lynda Khalaf, Paul Makdissi, Robin C. Sickles, Michael Veall and Marcel-Cristian Voia, Springer, Berlin and New York, 2018, 143-155.
  The discussion paper (April 2017) is available here: pdf
  
  
• 2018, February 19, Monday - My paper entitled
  
  "Weak identification in probit models with endogenous covariates"
  (with Joachim Wilde)
  
  has been accepted for publication in AStA Advances in Statistical Analysis.
  The latest version (November 2017) is available here: pdf.
  
  
• 2017, November 23, Thursday - Revised papers uploaded
  
  New versions of papers on permutation test for comparing inequality measures and testing in probit models with endogenous explanatory variables were uploaded on my homepage:
  
  • "Permutation tests for comparing inequality measures"
    (with Emmanuel Flachaire and Lynda Khalaf).
    Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 37 pages.
    Latest version: November 2017 (pdf).
  • "Weak identification in probit models with endogenous covariates"
    (with Joachim Wilde).
    Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 17 pages.
    Latest version : November 2017 (pdf).
  
  
• 2017, August 26, Saturday - 50th Anniversary of the Order of Canada
  
  I went to the 50th Anniversary Gathering of the Order of Canada in the gardens of Rideau Hall in Ottawa.
  Order of Canada 50 .
  
  
• 2017, August 17, Thursday - Defense of Jian dissertation
  
  My student Bixi Jian has succesfully defended a dissertation in Economics and Finance entitled:
  "Essays in risk modelling, asset pricing and network measurement in finance",
  Ph.D. thesis (Economics, McGill University), August 2017.
  Thesis defended on August 17, 2017.
  Final version of the dissertation (August 2017): pdf.
  Bixi has taken a position of Economist at the Canadian Imperial Bank of Commerce in Toronto.
  
  
• 2017, August 16, Wednesday - My paper entitled
  
  "Confidence sets for inequality measures: Fieller-type methods"
  (with Emmanuel Flachaire, Lynda Khalaf and Abdallah Zalghout),
  
  has been accepted for publication in a book on Productivity and Inequality, edited by William Greene, Lynda Khalaf, Paul Makdissi, Robin Sickles, Mike Veall and Marcel Voia, Springer, Berlin and New York,
  The latest version (April 2017) is available here: pdf.
  
  
• 2017, August 10, Thursday - Pro-Dean
  
  Doctoral Defense of Mohamad Elmasri,
  "On Decomposable Random Graphs and Link Prediction Models",
  Department of Mathematica and Statistics, Faculty of Science, McGill University.
  
  
• 2017, August 3, Thursday - My paper entitled
  
  "Permutation tests for comparing inequality measures"
  (with Emmanuel Flachaire and Lynda Khalaf),
  
  has been accepted for publication in the Journal of Business and Economic Statistics.
  The latest version (May 2017) is available here: pdf.
  
  
• 2016, December 21, Wednesday - My paper entitled
  
  "Identification-robust moment-based tests for Markov-switching in autoregressive models"
  (with Richard Luger),
  
  has been accepted for publication in Econometric Reviews.
  The latest version (August 2015) is available here: pdf, ps.
  
  
• 2016, November 29, Tuesday - On November 15, 2016, the 2015 World Congress of the Econometric Society received the "Prix Club des Ambassadeurs du Palais des congrès de Montréal – Fonds de recherche du Québec (FRQ)":   Prix Club des Ambassadeurs, pdf .
  
  
• 2015, October 23, Friday - I did participate today in a panel disccussion on
  
  "Conditions de réalisation de la recherche",
  Forum sur la recherche 2015 , Fédération québécoise des professeures et professeurs d'université
  (Institut de tourisme et de l'hôtellerie du Québec, Montréal, October 23, 2015).
  
  Slides / Diapositives (français): "Sur les conditions de réalisation de la recherche au Québec" (pdf, ps).
  Forum program: French (pdf), English (pdf).
  
  
• 2015, October 7, Wednesday - My paper entitled
  
  "Generalized C(α) tests for estimating functions with serial dependence",
  with Alain Trognon and Purevdorj Tuvaandorj,
  
  has been accepted for publication in the book Time Series Methods and Applications: the McLeod Festschrift, edited by Wai Keung Li, David Stanford and Hao Yu (Springer, Berlin and New York).
  The latest version (August 2015) is available here: pdf, ps.
  
  
• 2015, October 6, Tuesday - My paper entitled
  
  "Exchange rates and commodity prices: measuring causality at multiple horizons",
  with Hui Jun Zhang and John Galbraith,
  
  has just been accepted for publication in the Journal of Empirical Finance.
  The latest version (September 2015) is available here: pdf, ps.
  
  
• 2015, October 5, Monday - I will be a member of the Jury for 2015/16 edition of the Donner Foundation Award for the Best Public Policy Book by a Canadian. For more information on this prestigious award, see:
  The Donner Prize, Donner Prize Jury for 2014/15.
  
  My quote on this award:

  Rational well-informed reflection on public policy issues is one of the most important contributions scholars and scientists can make to society. Bad policy decisions can be extremely costly to all of us. Research leading to better policies is one the most valuable form of research, arguably the one with the highest rate of return to society. The Donner Foundation plays a leading role by recognizing and rewarding this type of research.

  
  
  
• 2013, December 20, Friday - I am back in Montréal.
  
  
• 2013, December 16, Monday - Two of my papers were presented at the 7th CSDA International Conference on Computational and Financial Econometrics (CFE 2013), held at the University of London (Senate House, December 14-16, 2013).
  
  "Exact moment-based tests of linearity in Markov-switching models" (with Richard Luger). Paper presented by Richard Luger.
  
  "Necessary and sufficient conditions for nonlinear parametric function identification" (with Xin Liang). Paper presented by Xin Liang.
  Slides: pdf, ps,
  
  Conference program.
  Conference web site.
  
  
• 2013, December 16, Monday - Econometric Reviews just requested a revision of my paper (with Alain Trognon and Purevdorj Tuvaandorj) on test invariance in GMM setups.
  
  "Invariant Tests Based on M-estimators, Estimating Functions, and the Generalized Method of Moments" (with Alain Trognon and Purevdorj Tuvaandorj).
  Discussion Paper, McGill University (Department of Economics), CIREQ, CIRANO and CREST (Paris), 47 pages.
  February 2013: pdf, ps.
  
  
• 2013, December 13-14, Friday-Saturday - Colloquium on "Recent Advances in Set Identification: Theory and Applications", organized by Christian Bontemps, at the Toulouse School of Economics.
  
  Conference program.
  
  
• 2013, December 10, Tuesday - The proofs of my paper with Firmin Doko to appear in The Econometrics Journal have arrived.
  
  "Identification-robust inference for endogeneity parameters in linear structural models" (with Firmin Doko Tchatoka), The Econometrics Journal, forthcoming.
  Discussion paper - June 2013: pdf, ps. More complete version: June 2013 pdf, ps.
  
  
• 2013, December 4, Wednesday - I am now back in Toulouse, hopefully to work on research papers.
  
  
• 2013, December 2-3, Monday-Tuesday - The 14th IWH-CIREQ Macroeconometric Workshop on "Forecasting and Big Data" just took place. Several papers on factor modelling and real-time reporting and short-run forecasting ("nowcasting") were presented. I think the meeting was a great success. Katja Drechsel (IWH) did a great on the organization and the program.
  
  Conference program. Conference Papers: zip.
  Photos.
  Conference web site.
  
  
• 2013, December 1, Sunday - I just arrived in Halle to participate in the 14th IWH-CIREQ Macroeconometric Workshop (December 2-3, 2013). The theme of this year is "Forecasting and Big Data".
  Program. Conference Papers: zip.
  Conference web site.
  
  
• 2013, November 27, Monday - I am back at the Toulouse School of Economics for my last visit in the context Pierre-de-Fermat Chair. I plan to do work with with Christian Bontemps and Nour Meddahi.
  
  
• 2013, November 25, Monday - My article with Dalibor Stevanovic on factor-augmented VARMA models is out in print in the Journal of Business and Economic Statistics.
  
  "Factor-Augmented VARMA models with Macroeconomic Applications" (with Dalibor Stevanovic), Journal of Business and Economic Statistics, forthcoming. "Factor-Augmented VARMA models with Macroeconomic Applications" (with Dalibor Stevanovic), Journal of Business and Economic Statistics, 31 (2013), 4, 491-506.
  Discussion paper - May 2013: pdf, ps.
  
  
• 2013, November 21-22, Thursday-Friday - On return from Toulouse, I just participated for the first time to a meeting of the Council of the Social Sciences and Humanities Research Council of Canada in Ottawa. The meeting marked the departure of Thomas Kierans as Vice-President and Chair and his replacement by Jack Mintz (University of Calgary).
  SSHRC Council, Conseil d'administration du CRSHC.
  
  
• 2013, November 15, Friday - Second day of the 5th French Econometrics Conference. Bruce Hansen and Emmanuel Guerre each gave Keynote addresses. The theoretical work of Hansen on "Efficient Shrinkage in Parametric Models" seems especially interesting. I gave my paper with Denis Pelletier on VARMA modelling:
  
  "Practical Methods for Modelling Weak VARMA Processes: Identification, Estimation and Specification with a Macroeconomic Application" (with Denis Pelletier). Slides: pdf, ps.
  
  Stéphane Grégoir (EDHEC) was our discussant. Overall, the conference was interesting and well attended.
  Comment by Stéphane Grégoir (EDHEC Business School, Paris): pdf.
  Conference program, Conference web site.
  
  
• 2013, November 14, Thursday - First day of the 5th French Econometrics Conference at the Toulouse School of Economics. Ariel Pakes was the keynote speaker on "Moment Inequalities for Semiparametric Multinomial Choice with Fixed Effects". Emmanuel Flachaire presented our joint paper on permutation tests for comparing inequality measures:
  
  "Reliable Inference for Inequality Measures with Heavy-Tailed Distribution" (with Emmanuel Flachaire and Lynda Khalaf). Slides.
  
  Élise Coudin (CREST, INSEE) made a useful discussion (Slides).
  Conference program, Conference web site.
  
  
• 2013, November 12, Tuesday - I just arrived for a visit at the Toulouse School of Economics. On November 14-15, I will attend the 5th French Econometrics Conference. I have two papers on the program. Conference program, Conference web site.
  
  
• 2013, November 8, Friday - My paper on exact inference for the parameters of stable distributions (with Marie-Claude Beaulieu and Lynda Khalaf) has been accepted by the Journal of Econometrics. This paper improves considerably inference on the asymmetry parameter.
  
  "Exact confidence sets and goodness-of-fit methods for stable distributions" (with Marie-Claude Beaulieu and Lynda Khalaf),
  October 2013, Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 33 pages. pdf, ps. CIRANO DP (October 2013).
  
  
• 2013, November 7, Thursday - I went today to the launching ceremony of the new Canadian $5 and $10 bills, made of polymer, at the Canadian Space Agency in Saint-Hubert (Québec). The ceremony took place because the Canadian arm used by the international space station appears on the $5 dollar bill, along with Sir Wilfrid Laurier. The Canadian astronaut Chris Hadfield and the the new Governor of the Bank of Canada, Stephen Poloz, headed the ceremony. A similar ceremony was simultaneously at the Vancouver central station, because the $10 because has trains for its theme. All Canadian dollar bills are now in polymer. We could visit the installation. I had not realized how big the Canadian space station arm is. It is regularly operated from Saint-Hubert.
  
  Press Release / Communiqué.
  
  
• 2013, November 1, Friday - My article with Tarek Jouini on the asymptotic distribution of quasi-efficient estimators for the parameters of VARMA models has been accepted by Computational Statistics and Data Analysis.
  
  "Asymptotic distributions for quasi-efficient estimators in echelon-form VARMA models" (with Tarek Jouini), Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 2013, 27 pages.
  December 2013: pdf, ps. September 2008: pdf, ps.
  
  
• 2013, October 30, Wednesday - A major revision of the following paper on exact inference for the parameters of stable distributions was just completed.
  
  "Exact confidence sets and goodness-of-fit methods for stable distributions" (with Marie-Claude Beaulieu and Lynda Khalaf),
  October 2013, Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, 33 pages. pdf, ps.
  
  
• 2013, October 20, Sunday - I just went to the 30th Annual Meeting of the Canadian Econometric Study Group in Kitchener-Waterloo (October 19-20, 2013). The conference was organized by Pierre Chaussé, Thomas Parker, Dinghai Xu, and Tao Chen, all from the University of Waterloo, and by Justin Smith (Wilfrid Laurier University).
  CESG 2013 Web site
  The 2014 meeting is now scheduled to take place in Vancouver and will be organized by economics faculty members at Simon Fraser University (Bertille Antoine, Christopher Muri, Ramo Gençai).
  
  
• 2013, October 12, Saturday - A major revision of the following paper was just completed.
  
  "Exchange rates and commodity prices: measuring causality at multiple horizons" (with Hui Jun Zhang and John Galbraith), Discussion Paper, Department of Economics, McGill University, CIREQ and CIRANO, October 2013, 40 pages. pdf, ps.
  
  
• 2013, October 4, Friday - The following paper on combined test procedures for serial dependence and predictability has been accepted by Communications in Statistics - Simulation and Computation.
  
  "Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability" (with Lynda Khalaf and Marcel Voia), Discussion Paper, Department of Economics, McGill University and Carleton University, CIREQ and CIRANO, October 2013, 23 pages. pdf, ps.
  
  

Edited with Notepad++ 7.5.8
Last update: 16 October 2018