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Simulation-based finite sample normality tests in linear regressions

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Cited by:

  1. Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003. "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 891-906, December.
  2. Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002. "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 17-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. 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.
  4. 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.
  5. Dalia Ghanem & Sarojini Hirshleifer & Karen Ortiz-Becerra, 2019. "Testing Attrition Bias in Field Experiments," Working Papers 202218, University of California at Riverside, Department of Economics, revised Oct 2022.
  6. Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers 2003s-34, CIRANO.
  7. Christian Bontemps & Nour Meddahi, 2012. "Testing distributional assumptions: A GMM aproach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
  8. Pavol Durana & Katarina Valaskova & Darina Chlebikova & Vladislav Krastev & Irina Atanasova, 2020. "Heads and Tails of Earnings Management: Quantitative Analysis in Emerging Countries," Risks, MDPI, vol. 8(2), pages 1-21, June.
  9. 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.
  10. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-Francois, 2003. "Simulation-based exact jump tests in models with conditional heteroskedasticity," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 531-553, December.
  11. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Springer Books, in: Michèle Breton & Hatem Ben-Ameur (ed.), Numerical Methods in Finance, chapter 0, pages 173-191, Springer.
  12. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian, 2004. "Structural Change and Forecasting Long-Run Energy Prices," Staff Working Papers 04-5, Bank of Canada.
  13. Dufour, Jean-Marie & Khalaf, Lynda, 2001. "Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions," Cahiers de recherche 0111, Université Laval - Département d'économique.
  14. 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.
  15. Jiwoong Kim, 2020. "Implementation of a goodness-of-fit test through Khmaladze martingale transformation," Computational Statistics, Springer, vol. 35(4), pages 1993-2017, December.
  16. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters under the Null Hypothesis : the Case of Jumps Tests in Model with Conditional Heteroskedasticity," Cahiers de recherche 0004, Université Laval - Département d'économique.
  17. CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier, 1999. "Bartlett identities tests," LIDAM Discussion Papers CORE 1999039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  18. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2020. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory," Journal of Econometrics, Elsevier, vol. 218(2), pages 390-418.
  19. Hien Thu Pham & Shino Takayama, 2015. "Revisiting the Missing Middle: Production and Corruption," CEPA Working Papers Series WP022015, School of Economics, University of Queensland, Australia.
  20. Schützenmeister, André & Piepho, Hans-Peter, 2012. "Residual analysis of linear mixed models using a simulation approach," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1405-1416.
  21. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
  22. Dalia Ghanem & Sarojini Hirshleifer & Karen Ortiz-Becerra, 2019. "Testing for Attrition Bias in Field Experiments," Working Papers 202010, University of California at Riverside, Department of Economics, revised Mar 2020.
  23. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
  24. Islam, Tanweer ul, 2008. "Normality Testing- A New Direction," MPRA Paper 16452, University Library of Munich, Germany.
  25. Barrera, Carlos R., 2011. "Impacto amplificador del ajuste de inventarios ante choques de demanda según especificaciones flexibles," Working Papers 2011-009, Banco Central de Reserva del Perú.
  26. Jean-Marie Dufour & Abdeljelil Farhat, 2001. "Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions," CIRANO Working Papers 2001s-56, CIRANO.
  27. Khalaf, Lynda & Kichian, Maral, 2005. "Exact tests of the stability of the Phillips curve: the Canadian case," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 445-460, April.
  28. King, Maxwell L. & Zhang, Xibin & Akram, Muhammad, 2020. "Hypothesis testing based on a vector of statistics," Journal of Econometrics, Elsevier, vol. 219(2), pages 425-455.
  29. Michael Creel, 2008. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.
  30. Diego Valderrama, 2002. "The impact of financial frictions on a small open economy: when current account borrowing hits a limit," Working Paper Series 2002-15, Federal Reserve Bank of San Francisco.
  31. Jean-Marie Dufour & Byunguk Kang, 2022. "Reverse Regressions, Symmetry and Test Distributions in Linear Models," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 71-99, September.
  32. 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.
  33. Månsson, Kristofer & Sjölander, Pär, 2014. "Testing for nonlinear panel unit roots under cross-sectional dependency — With an application to the PPP hypothesis," Economic Modelling, Elsevier, vol. 38(C), pages 121-132.
  34. Poitras, Geoffrey, 2006. "More on the correct use of omnibus tests for normality," Economics Letters, Elsevier, vol. 90(3), pages 304-309, March.
  35. Hyeyun Ku & Jun Ho Maeng, 2021. "Extreme value analysis of the typhoon-induced surges on the coastal seas of South Korea," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 107(1), pages 617-637, May.
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