Nonlinear Hypotheses, Inequality Restrictions, and Non-nested Hypotheses: Exact Simultaneous Tests in Linear Regressions

Citations

Cited by:

1. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
   • Jean-Marie Dufour & Lynda Khalaf, 2000. "Simulation Based Finite and Large Sample Tests in Multivariate Regressions," CIRANO Working Papers 2000s-15, CIRANO.
   • Dufour, J.M. & Khalaf, L., 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
   • DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Universite de Montreal, Departement de sciences economiques.
2. Andrews, Donald W. K., 1998. "Hypothesis testing with a restricted parameter space," Journal of Econometrics, Elsevier, vol. 84(1), pages 155-199, May.
   • Donald W.K. Andrews, 1994. "Hypothesis Testing with a Restricted Parameter Space," Cowles Foundation Discussion Papers 1060R, Cowles Foundation for Research in Economics, Yale University.
3. Dufour, Jean-Marie, 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, vol. 133(2), pages 443-477, August.
   • Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO.
   • DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche 2005-03, Universite de Montreal, Departement de sciences economiques.
   • DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche 03-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
4. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions," Journal of Econometrics, Elsevier, vol. 106(1), pages 143-170, January.
   • DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," Cahiers de recherche 2000-11, Universite de Montreal, Departement de sciences economiques.
   • Jean-Marie Dufour & Lynda Khalaf, 2000. "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," CIRANO Working Papers 2000s-16, CIRANO.
   • Dufour, J.M. & Khalaf, L., 2000. "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," Cahiers de recherche 2000-11, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
5. Kenneth Stewart, 1997. "Exact testing in multivariate regression," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 321-352.
6. Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3198-3211.
7. Kaplan, David M. & Zhuo, Longhao, 2021. "Frequentist properties of Bayesian inequality tests," Journal of Econometrics, Elsevier, vol. 221(1), pages 312-336.
   • David M. Kaplan & Longhao Zhuo, 2016. "Frequentist properties of Bayesian inequality tests," Papers 1607.00393, arXiv.org, revised Jul 2024.
   • David M. Kaplan & Longhao Zhuo, 2019. "Frequentist properties of Bayesian inequality tests," Working Papers 1910, Department of Economics, University of Missouri.
8. Dufour, Jean-Marie & Torres, Olivier, 2000. "Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes," Journal of Econometrics, Elsevier, vol. 99(2), pages 255-289, December.
   • DUFOUR, Jean-Marie & TORRÈS, Olivier, 2000. "Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," Cahiers de recherche 2000-12, Universite de Montreal, Departement de sciences economiques.
   • Dufour, J.M. & Torres, O., 2000. "Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," Cahiers de recherche 2000-12, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
   • Jean-Marie Dufour & Olivier Torrès, 2000. "Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," CIRANO Working Papers 2000s-17, CIRANO.
9. Kiviet, Jan F. & Dufour, Jean-Marie, 1997. "Exact tests in single equation autoregressive distributed lag models," Journal of Econometrics, Elsevier, vol. 80(2), pages 325-353, October.
   • Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests in Single Equation Autoregressive Distributed Lag Models," Cahiers de recherche 9549, Universite de Montreal, Departement de sciences economiques.
   • Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests in Single Equation Autoregressive Distributed Lag Models," Cahiers de recherche 9549, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
10. Dufour, Jean-Marie & Khalaf, Lynda, 2001. "Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions," Cahiers de recherche 0111, Université Laval - Département d'économique.
    • Dufour, Jean-Marie & Khalaf, Lynda, 2001. "Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions," Cahiers de recherche 0105, GREEN.
11. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2014. "Exact confidence sets and goodness-of-fit methods for stable distributions," Journal of Econometrics, Elsevier, vol. 181(1), pages 3-14.
    • Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2015. "Exact confidence sets and goodness-of-fit methods for stable distributions," CIRANO Working Papers 2015s-25, CIRANO.
12. Abadir, Karim M. & Distaso, Walter, 2007. "Testing joint hypotheses when one of the alternatives is one-sided," Journal of Econometrics, Elsevier, vol. 140(2), pages 695-718, October.
    • K Abadir & W Distaso, "undated". "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
13. Touhami Abdelkhalek & Jean-Marie Dufour, 1998. "Statistical Inference For Computable General Equilibrium Models, With Application To A Model Of The Moroccan Economy," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 520-534, November.
    • ABDELKHALEK, Touhami & DUFOUR, Jean-Marie, 1997. "Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy," Cahiers de recherche 9713, Universite de Montreal, Departement de sciences economiques.
14. Òscar Jordà & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
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    • Marcellino, Massimiliano & Jordà , Ã’scar, 2008. "Path Forecast Evaluation," CEPR Discussion Papers 7009, C.E.P.R. Discussion Papers.
    • Oscar Jorda & Massimiliano Marcellino, 2008. "Path Forecast Evaluation," Working Papers 131, University of California, Davis, Department of Economics.
15. Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers 13/09, Institute for Fiscal Studies.
    • Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
16. Bolduc, Denis & Khalaf, Lynda & Yélou, Clément, 2010. "Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models," Journal of Econometrics, Elsevier, vol. 157(2), pages 317-327, August.
17. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
    • Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Universite de Montreal, Departement de sciences economiques.
    • Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
18. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978, Cowles Foundation for Research in Economics, Yale University.
    • Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R2, Cowles Foundation for Research in Economics, Yale University, revised Jan 2019.
    • Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2018.
19. DUFOUR, Jean-Marie & JASIAK, Joanna, 1998. "Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors," Cahiers de recherche 9812, Universite de Montreal, Departement de sciences economiques.
    • Jean-Marie Dufour & Joanna Jasiak, 2000. "Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors," Econometric Society World Congress 2000 Contributed Papers 1536, Econometric Society.
    • Jean-Marie Dufour & Joann Jasiak, 2000. "Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors," CIRANO Working Papers 2000s-13, CIRANO.
20. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
21. Dufour, Jean-Marie & Valéry, Pascale, 2009. "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 193-206, June.
22. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
23. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
24. David M. Kaplan, 2015. "Bayesian and frequentist tests of sign equality and other nonlinear inequalities," Working Papers 1516, Department of Economics, University of Missouri.
    • David M. Kaplan & Longhao Zhuo, 2018. "Frequentist size of Bayesian inequality tests," Working Papers 1802, Department of Economics, University of Missouri, revised 14 Jul 2019.
    • David M. Kaplan & Longhao Zhuo, 2017. "Frequentist size of Bayesian inequality tests," Working Papers 1709, Department of Economics, University of Missouri, revised 14 Jul 2019.
    • David M. Kaplan & Longhao Zhuo, 2019. "Frequentist properties of Bayesian inequality tests," Working Papers 1910, Department of Economics, University of Missouri.
25. Khalaf, Lynda & Kichian, Maral & Saunders, Charles J. & Voia, Marcel, 2021. "Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit," Journal of Econometrics, Elsevier, vol. 220(2), pages 589-605.
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26. Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
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    • Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
    • Dufour, J.M. & Khalaf, L. & Bernard, J.T. & Genest, I., 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
27. Tuvaandorj, Purevdorj, 2020. "Regression discontinuity designs, white noise models, and minimax," Journal of Econometrics, Elsevier, vol. 218(2), pages 587-608.
28. Sermin Gungor & Richard Luger, 2016. "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.
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29. Tomasz Woźniak, 2018. "Granger-causal analysis of GARCH models: A Bayesian approach," Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 325-346, April.
    • Tomasz Wozniak, 2015. "Granger-causal analysis of GARCH models: a Bayesian approach," Department of Economics - Working Papers Series 1194, The University of Melbourne.
30. Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2010. "Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 263-285.
31. Jean-Marie Dufour & Abdeljelil Farhat, 2001. "Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions," CIRANO Working Papers 2001s-56, CIRANO.
    • DUFOUR, Jean-Marie & FARHAT, Abdeljelil, 2001. "Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions," Cahiers de recherche 2001-23, Universite de Montreal, Departement de sciences economiques.
    • Dufour, J.M. & Farhat, A., 2001. "Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions," Cahiers de recherche 2001-23, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
32. Dufour, Jean-Marie & Taamouti, Mohamed, 2007. "Further results on projection-based inference in IV regressions with weak, collinear or missing instruments," Journal of Econometrics, Elsevier, vol. 139(1), pages 133-153, July.
33. Jean-Marie Dufour & Mohamed Taamouti, 2005. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," Econometrica, Econometric Society, vol. 73(4), pages 1351-1365, July.
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34. Gaudry, Marc & Himouri, Slimane, 2013. "DRAG-ALZ-1, a first model of monthly total road demand, accident frequency, severity and victims by category, and of mean speed on highways, Algeria 1970–2007," Research in Transportation Economics, Elsevier, vol. 37(1), pages 66-78.
35. Christopher J. Bennett, 2009. "Consistent and Asymptotically Unbiased MinP Tests of Multiple Inequality Moment Restrictions," Vanderbilt University Department of Economics Working Papers 0908, Vanderbilt University Department of Economics.
36. Jean-Marie DUFOUR & Lynda KHALAF & Marcel VOIA, 2013. "Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability," Cahiers de recherche 13-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Jean-Marie Dufour & Lynda Khalaf & Marcel Voia, 2013. "Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability," CIRANO Working Papers 2013s-40, CIRANO.
37. Denis Bolduc & Lynda Khalaf & Clément Yélou, 2005. "Identification Robust Confidence Sets Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time," Computing in Economics and Finance 2005 48, Society for Computational Economics.
38. Richard Luger, 2024. "Regularizing stock return covariance matrices via multiple testing of correlations," Papers 2407.09696, arXiv.org.
39. Jean-Thomas Bernard & Nadhem Idoudi & Lynda Khalaf & Clément Yélou, 2007. "Finite sample inference methods for dynamic energy demand models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(7), pages 1211-1226.
40. Tangian, Andranik, 2001. "Constructing a monotonic quadratic objective function in n variables from a few two-dimensional indifferences," European Journal of Operational Research, Elsevier, vol. 130(2), pages 276-304, April.
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