"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.
Partitioning: adding variables and observations in linear regression:
pdf,
ps.
Slides:
pdf,
ps.
Specification errors in linear regression models:
pdf,
ps.
Slides:
pdf,
ps.
Exercises 4 - Classical linear model: Review questions
pdf,
ps.
Due: Not to be handed in.
Exercises 5 - Classical linear model: Complements (R-square) - Review questions
pdf,
ps.
Due: Not to be handed in.
Exercises 6 - Classical linear model: Specification errors - Review questions
pdf,
ps.
Due: Not to be handed in.
Exercises 7 - Classical linear model: Analysis of residuals - Review questions
pdf,
ps.
Due: Not to be handed in.
Exams
Final exam (15 April 2024). Details on the material for which students
are responsible (or not responsible) have been added to the course outline (last page).
Tutorials
There will be tutorials (given by the TA) on using R for linear regression.
The first one is scheduled for Friday March 15, 2024. Some earlier tutorials are
posted below.
Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change",
Economics Letters 6, 241-247.
pdf.
"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.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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 .
"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.
"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.
"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.
Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change",
Economics Letters 6, 241-247.
pdf.
"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.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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 .
"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.
"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.
"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.
Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change",
Economics Letters 6, 241-247.
pdf.
"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.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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 .
"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.
"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.
"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.
Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change",
Economics Letters 6, 241-247.
pdf.
"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.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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 .
"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.
"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.
"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
Properties of moments of random variables:
pdf,
ps.
Slides:
pdf,
ps.
Multivariate distributions and measures of dependence
between random variables:
pdf,
ps.
Slides:
pdf,
ps.
Dufour, J.-M. (1980): "Dummy Variables and Predictive Tests for Structural Change",
Economics Letters 6, 241-247.
pdf.
"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.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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 .
"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.
"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.
"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
Properties of moments of random variables:
pdf,
ps.
Slides:
pdf,
ps.
Multivariate distributions and measures of dependence
between random variables:
pdf,
ps.
Slides:
pdf,
ps.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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 .
"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.
"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.
"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
Properties of moments of random variables:
pdf,
ps.
Slides:
pdf,
ps.
Multivariate distributions and measures of dependence
between random variables:
pdf,
ps.
Slides:
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.
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
Introduction to time series analysis:
pdf.
Slides:
pdf.
Stochastic processes: basic notions:
pdf,
ps.
Slides:
pdf,
ps,
Stochastic processes: generating functions and identification:
pdf,
ps.
Slides:
pdf,
ps.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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)
Properties of moments of random variables:
pdf,
ps.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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)
Properties of moments of random variables:
pdf,
ps.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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.
"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)
Properties of moments of random variables:
pdf,
ps.
Dufour, J.-M: (1980): "Dummy Variables and Predictive Tests for Structural change",
Economics Letters, " 6 (1980), 241-247.
pdf.
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.
Generalized least squares:
pdf,
ps.
Slides:
pdf,
ps.
Basic asymptotic theory:
pdf,
ps.
Slides: pdf,
ps.
Only for reference (notions used in other texts).
Asymptotic theory for linear regressions and IV estimation:
pdf,
ps.
Slides:
pdf,
ps.
Estimation of linear regression models with AR(1) errors:
pdf,
ps.
Seemingly unrelated regressions:
pdf,
ps.
Not required for the final exam .
Distributed lag models:
pdf,
ps.
Not required for the final exam.
Simultaneous equations:
pdf,
ps.
Only the definition of two-stage least squares is required.
Exercises
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.
Prediction and regression:
pdf,
ps.
Due: Friday October 14, 2011, 12h00 (give to TA or put in my mailbox in Department of Economics).
Classical linear regression 1:
pdf,
ps.
Due: Friday October 27, 2011, 12h00 (give to TA or put in my mailbox in Department of Economics).
Empirical application: Canadian money demand.
pdf,
ps.
Data: money.data
Software
Mirza Trokic (2011). R: An Econometrician's Guide.
pdf
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.
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.
.
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.
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.
Special topics in econometrics (Economics 706), McGill University, Winter 2011
Course outline (Economics 706 / Winter 2011):
pdf,
ps.
Overviews
"General considerations on finite-sample inference in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Finite-sample inference and bounds methods in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"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.
"Finite-sample inference in econometrics and statistics", 2006.
Slides:
pdf,
ps.
"Finite-sample inference, weak identification and macroeconometrics", 2006.
Slides:
pdf,
ps.
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006.
Slides:
pdf,
ps.
"General considerations on finite-sample inference in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Finite-sample inference and bounds methods in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"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.
"Finite-sample ference in econometrics and statistics", 2006.
Slides:
pdf,
ps.
"Finite-sample inference, weak identification and macroeconometrics", 2006.
Slides:
pdf,
ps.
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006.
Slides:
pdf,
ps.
"General considerations on finite-sample inference in econometrics andstatistics", 2002.
Slides:
pdf,
ps.
"Finite-sample inference and bounds methods in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"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.
"Finite-sample inference in econometrics and statistics", 2006.
Slides:
pdf,
ps.
"Finite-sample inference, weak identification and macroeconometrics", 2006.
Slides:
pdf,
ps.
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006.
Slides:
pdf,
ps.
"General considerations on finite-sample inference in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Finite-sample inference and bounds methods in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"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.
"Finite-sample inference in econometrics and statistics", 2006.
Slides:
pdf,
ps.
"Finite-sample inference, weak identification and macroeconometrics", 2006.
Slides:
pdf,
ps.
"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
Syllabus (ECN 6238, Hiver / Winter 2007):
pdf,
ps.
Introduction to time series analysis:
pdf.
/
Introduction à l'analyse des séries chronologiques:
pdf,
ps.
Histoire de l'analyse des séries chronologiques:
pdf,
ps.
Introduction to stochastic processes:
pdf,
ps.
/
Introduction à la théorie des processus stochastiques:
pdf,
ps.
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