Jean-Marie Dufour


Course material / Documents pédagogiques



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.



  6. 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.



    6. 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 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++ 7.5.1
      Last update: 7 January 2019