Jean-Marie Dufour


Course material / Documents pédagogiques


Special topics in econometrics (Economics 706), McGill University, Winter 2022

Course schedule: Tuesday 18h05 - 20h55
Office hours: By appointment

Course outline (Economics 706 / Winter 2022): pdf, ps.

Textbook: Volume 1, Volume 2.

Exercises

  1. Models: pdf, ps.
    Due: January 18, 2022
    Statistical models and likelihood functions: pdf, ps. Slides: pdf, ps.
  2. Decision theory: pdf, ps.
    Due: January 25, 2022
  3. Information: pdf, ps.
    Due: January 25, 2022
  4. General estimation theory: pdf, ps.
    Due: February 1, 2022
  5. Unbiased estimation: pdf, ps.
    Due: February 8, 2022
  6. General issues in testing theory: pdf, ps.
    Due: February 15, 2022
  7. Unbiased and invariant tests: pdf, ps.
    Due: February 22, 2022
  8. Confidence sets: pdf, ps.
    Due: February 22, 2022
  9. Maximum likelihood method: pdf, ps.
    Due: March 8, 2022
  10. Tests based on likelihood functions: pdf, ps.
    Due: March 8, 2022
  11. M-estimators: pdf, ps.
    Due: March 15, 2022
  12. Methods of moments: pdf, ps.
    Due: March 22, 2022
  13. Equality constraints: pdf, ps.
    Due: March 29, 2022
  14. <+li> Prediction and residuals: pdf, ps.
    Due: April 5, 2022
  15. General asymptotic tests: pdf, ps.
    Due: April 12, 2022

Mathematical notes

  1. Distribution and quantile functions: pdf, ps. Slides: 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.

Earlier exams (ECON 706)

  1. Intra exam - ECON 706 - 23 February 2021 : pdf, ps.

  2. Intra exam - ECON 706 - 26 February 2019 : pdf, ps.

  3. Final exam - ECON 706 - 15 April 2019 : pdf, ps.

  4. Intra exam - ECON 706 - 10 October 2017 : pdf, ps.

  5. Final exam - ECON 706 - 18 December 2017 : pdf, ps.

  6. Intra exam - ECON 706 - 2 February 2016 : pdf, ps.

  7. Final exam - ECON 706 - 29 April 2016 : pdf, ps.

  8. Final exam - ECON 706 - 1 May 2015 : pdf, ps.

  9. Intra exam - ECON 706 - 11 March 2014 : pdf, ps.

  10. Final exam - ECON 706 - 23 April 2014 : pdf, ps.

  11. Intra exam - ECON 706 - 2 November 2011 : pdf, ps.

  12. Final exam - ECON 706 - 15 December 2011 : pdf, ps.

  13. Intra exam - ECON 706 - 10 March 2010 : pdf, ps.

  14. Final exam - ECON 706 - 21 April 2010 : pdf, ps.

  15. Intra exam - ECON 706 - 18 February 2009 : pdf, ps.

  16. Final exam - ECON 706 - 22 April 2009 : pdf, ps.

  17. Intra exam - ECON 706 - 3 March 2008 : pdf, ps.

  18. Final exam - ECON 706 - 16 April 2008 : pdf, ps.




  19. Financial econometrics (Economics 763), McGill University, Winter 2022

    Course schedule: Monday 18h05 - 20h55
    Office hours: : By appointment

    Course outline (Economics 763 / Winter 2022): 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. "Predictive Tests for Structural Change and the St-Louis Equation", 1982 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington (D.C.), 323-327. [Revised English version of L'Actualité économique 57, 1981, 276-305.] pdf.
    15. Multivariate time series modelling: pdf, ps.
    16. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
    17. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
    18. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
    19. "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.
    20. "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.
    21. "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.
    22. "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.
    23. "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.
    24. "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.
    25. "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.
    26. "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.
    27. "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 .
    28. "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.
    29. "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.
    30. "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.
    31. Conditional Variance Dynamics: GARCH and Stochastic Volatility (with Nazmul Ahsan): pdf.

    Mathematical notes

    1. Properties of moments of random variables: pdf, ps. Slides: pdf, ps.
    2. Covariance, correlation and linear regression between two random variables: pdf, ps. Slides: pdf, ps.
    3. Covariance matrices and multiple linear regression between random variables: pdf, ps. Slides: pdf, ps.
    4. Sequences and series: pdf, ps.
    5. Notions of asymptotic theory: pdf, ps.
    6. Complex analysis and power series: pdf, ps. Slides: pdf, ps.
    7. Distribution and quantile functions: pdf, ps.

    Exercises

    1. Exercises 1 - Stochastic processes 1 : pdf, ps.

    2. Exercices 2 - ARMA models : pdf, ps.

    3. Sign-based tests for medians and independence : pdf, ps.
      Due: 2021-03-22
    4. Sign-based tests in linear regression : pdf, ps.
      Due: 2021-03-29
    5. Multivariate linear regression and CAPM : pdf, ps.
      Due: 2021-04-05
    6. Stable distributions in finance : pdf, ps.
      Due: 2021-04-12

    Earlier exams (ECON 763)

    1. Intra exam - ECON 763 - 22 February 2021 : pdf, ps.

    2. Intra exam - ECON 763 - 18 February 2019 : pdf, ps.

    3. Final exam - ECON 763 - 18 April 2019 : pdf, ps.

    4. Intra exam - ECON 763 - 17 October 2017 : pdf, ps.

    5. Final exam - ECON 763 - 7 December 2017 : pdf, ps.

    6. Intra exam - ECON 763 - 23 February 2016 : pdf, ps.

    7. Final exam - ECON 763 - 18 April 2016 : pdf, ps.

    8. Intra exam - ECON 763 - 11 March 2015 : pdf, ps.

    9. Final exam - ECON 763 - 22 April 2015 : pdf, ps.

    10. Intra exam - ECON 763 - 10 March 2014 : pdf, ps.

    11. Final exam - ECON 763 - 25 April 2014 : pdf, ps.



Special topics in econometrics (Economics 706), McGill University, Winter 2021

Course schedule: Tuesday 18h05 - 20h55
Office hours: By appointment

Course outline (Economics 706 / Winter 2021): pdf, ps.

Exercises

  1. Models: pdf, ps.
    Due: January 19, 2021
    Statistical models and likelihood functions: pdf, ps. Slides: pdf, ps.
  2. Decision theory: pdf, ps.
    Due: January 26, 2021
  3. Information: pdf, ps.
    Due: January 26, 2021
  4. General estimation theory: pdf, ps.
    Due: February 2, 2021
  5. Unbiased estimation: pdf, ps.
    Due: February 9, 2021
  6. General issues in testing theory: pdf, ps.
    Due: February 16, 2021
  7. Unbiased and invariant tests: pdf, ps.
    Due: February 23, 2021
  8. Confidence sets: pdf, ps.
    Due: February 23, 2021
  9. Maximum likelihood method: pdf, ps.
    Due: March 9, 2021
  10. Tests based on likelihood functions: pdf, ps.
    Due: March 9, 2021
  11. M-estimators: pdf, ps.
    Due: March 16, 2021
  12. Methods of moments: pdf, ps.
    Due: March 23, 2021
  13. Equality constraints: pdf, ps.
    Due: March 30, 2021
  14. Prediction and residuals: pdf, ps.
    Due: April 6, 2021
  15. General asymptotic tests: pdf, ps.
    Due: April 13, 2021

Mathematical notes

  1. Distribution and quantile functions: pdf, ps. Slides: 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.

Earlier exams (ECON 706)

  1. Intra exam - ECON 706 - 23 February 2021 : pdf, ps.

  2. Intra exam - ECON 706 - 26 February 2019 : pdf, ps.

  3. Final exam - ECON 706 - 15 April 2019 : pdf, ps.

  4. Intra exam - ECON 706 - 10 October 2017 : pdf, ps.

  5. Final exam - ECON 706 - 18 December 2017 : pdf, ps.

  6. Intra exam - ECON 706 - 2 February 2016 : pdf, ps.

  7. Final exam - ECON 706 - 29 April 2016 : pdf, ps.

  8. Final exam - ECON 706 - 1 May 2015 : pdf, ps.

  9. Intra exam - ECON 706 - 11 March 2014 : pdf, ps.

  10. Final exam - ECON 706 - 23 April 2014 : pdf, ps.

  11. Intra exam - ECON 706 - 2 November 2011 : pdf, ps.

  12. Final exam - ECON 706 - 15 December 2011 : pdf, ps.

  13. Intra exam - ECON 706 - 10 March 2010 : pdf, ps.

  14. Final exam - ECON 706 - 21 April 2010 : pdf, ps.

  15. Intra exam - ECON 706 - 18 February 2009 : pdf, ps.

  16. Final exam - ECON 706 - 22 April 2009 : pdf, ps.

  17. Intra exam - ECON 706 - 3 March 2008 : pdf, ps.

  18. Final exam - ECON 706 - 16 April 2008 : pdf, ps.




Financial econometrics (Economics 763), McGill University, Winter 2021

Course schedule: Monday 18h05 - 20h55
Office hours: : By appointment

Course outline (Economics 763 / Winter 2021): 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. "Predictive Tests for Structural Change and the St-Louis Equation", 1982 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington (D.C.), 323-327. [Revised English version of L'Actualité économique 57, 1981, 276-305.] pdf.
  15. Multivariate time series modelling: pdf, ps.
  16. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
  17. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
  18. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
  19. "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.
  20. "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.
  21. "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.
  22. "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.
  23. "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.
  24. "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.
  25. "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.
  26. "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.
  27. "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 .
  28. "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.
  29. "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.
  30. "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.
  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.

  3. Sign-based tests for medians and independence : pdf, ps.
    Due: 2021-03-22
  4. Sign-based tests in linear regression : pdf, ps.
    Due: 2021-03-29
  5. Multivariate linear regression and CAPM : pdf, ps.
    Due: 2021-04-05
  6. Stable distributions in finance : pdf, ps.
    Due: 2021-04-12

Earlier exams (ECON 763)

  1. Intra exam - ECON 763 - 22 February 2021 : pdf, ps.

  2. Intra exam - ECON 763 - 18 February 2019 : pdf, ps.

  3. Final exam - ECON 763 - 18 April 2019 : pdf, ps.

  4. Intra exam - ECON 763 - 17 October 2017 : pdf, ps.

  5. Final exam - ECON 763 - 7 December 2017 : pdf, ps.

  6. Intra exam - ECON 763 - 23 February 2016 : pdf, ps.

  7. Final exam - ECON 763 - 18 April 2016 : pdf, ps.

  8. Intra exam - ECON 763 - 11 March 2015 : pdf, ps.

  9. Final exam - ECON 763 - 22 April 2015 : pdf, ps.

  10. Intra exam - ECON 763 - 10 March 2014 : pdf, ps.

  11. Final exam - ECON 763 - 25 April 2014 : pdf, ps.



Special topics in econometrics (Economics 706), McGill University, Winter 2019

Course schedule: Tuesday 18h05 - 20h55
Office hours: By appointment

Course outline (Economics 706 / Winter 2019): pdf, ps.

Exercises

  1. Models: pdf, ps.
    Due: January 15, 2019
  2. Decision theory: pdf, ps.
    Due: January 22, 2019
  3. Information: pdf, ps.
    Due: January 22, 2019
  4. General estimation theory: pdf, ps.
    Due: January 29, 2019
  5. Unbiased estimation: pdf, ps.
    Due: February 5, 2019
  6. General issues in testing theory: pdf, ps.
    Due: February 12, 2019
  7. Unbiased and invariant tests: pdf, ps.
    Due: February 19, 2019
  8. Confidence sets: pdf, ps.
    Due: February 26, 2019
  9. Maximum likelihood method: pdf, ps.
    Due: March 5, 2019
  10. Tests based on likelihood functions: pdf, ps.
    Due: March 5, 2019
  11. M-estimators: pdf, ps.
    Due: March 12, 2019
  12. Methods of moments: pdf, ps.
    Due: March 19, 2019
  13. Equality constraints: pdf, ps.
    Due: March 26, 2019
  14. Prediction and residuals: pdf, ps.
    Due: April 2, 2019
  15. General asymptotic tests: pdf, ps.
    Due: April 9, 2019

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, Winter 2019

    Course schedule: Monday 18h05 - 20h55
    Office hours: : By appointment

    Course outline (Economics 763 / Winter 2019): 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. "Predictive Tests for Structural Change and the St-Louis Equation", 1982 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington (D.C.), 323-327. [Revised English version of L'Actualité économique 57, 1981, 276-305.] pdf.
    15. Multivariate time series modelling: pdf, ps.
    16. "Rank Tests for Serial Dependence", Journal of Time Series Analysis, 2, 1981, 117-128. pdf.
    17. "Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem" (with Bryan Campbell), Economics Letters, 35, 1991, 285-290. pdf.
    18. "Exact Nonparametric Orthogonality and Random Walk Tests" (with Bryan Campbell), Review of Economics and Statistics, 77, 1995, 1-16. pdf.
    19. "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.
    20. "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.
    21. "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.
    22. "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.
    23. "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.
    24. "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.
    25. "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.
    26. "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.
    27. "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 .
    28. "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.
    29. "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.
    30. "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.

    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 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++ 8.1.4
        Last update: 10 January 2022