Monte Carlo Test Methods in Econometrics

[1]  Susan A. Murphy,et al.  Monographs on statistics and applied probability , 1990 .

[2]  M. Kenward,et al.  An Introduction to the Bootstrap , 2007 .

[3]  Jean-Marie Dufour,et al.  Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard , 2006 .

[4]  R. Fisher.  Statistical methods for research workers , 1927, Protoplasma.

[5]  Jean-Marie Dufour,et al.  Simulation-based finite-sample tests for heteroskedasticity and ARCH effects , 2004 .

[6]  Debashis Kushary,et al.  Bootstrap Methods and Their Application , 2000, Technometrics.

[7]  Jean-Marie Dufour,et al.  Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes , 2000 .

[8]  J. MacKinnon,et al.  Bootstrap tests: how many bootstraps? , 2000 .

[9]  James G. MacKinnon,et al.  THE SIZE DISTORTION OF BOOTSTRAP TESTS , 1999, Econometric Theory.

[10]  Jean-Marie Dufour,et al.  Simulation Based Finite- and Large-Sample Inference Methods in Simultaneous Equations , 1999 .

[11]  Jean-Marie Dufour,et al.  Statistical Inference for Computable General Equilibrium Models, with Application to A Model of the Moroccan Economy , 1998, Review of Economics and Statistics.

[12]  Jean-Marie Dufour,et al.  Simulation�?Based Finite Sample Normality Tests in Linear Regressions , 1998 .

[13]  Jean-Marie Dufour,et al.  Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions , 1998 .

[14]  Jean-Marie Dufour,et al.  Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors , 1998 .

[15]  Jean-Marie Dufour,et al.  Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models , 1997 .

[16]  Anthony C. Davison,et al.  Bootstrap Methods and Their Application , 1998 .

[17]  E. Mammen.  The Bootstrap and Edgeworth Expansion , 1997 .

[18]  K. G. Stewart.  Exact testing in multivariate regression , 1997 .

[19]  Eric Zivot,et al.  Valid Confidence Intervals and Inference in the Presence of Weak Instruments , 1998 .

[20]  A. Gallant,et al.  Which Moments to Match? , 1995, Econometric Theory.

[21]  Christian Gourieroux,et al.  Simulation-based econometric methods , 1996 .

[22]  Deirdre N. McCloskey,et al.  The Standard Error of Regressions , 1996 .

[23]  Francis X. Diebold,et al.  Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures , 1996 .

[24]  Jean-Marie Dufoury,et al.  Markovian Processes , Two-Sided Autoregressions andExact Inference for Stationary and NonstationaryAutoregressive Processes * , 1996 .

[25]  Jan F. Kiviet,et al.  Exact Tests in Single Equation Autoregressive Distributed Lag Models. , 1997 .

[26]  C. Attfield,et al.  A Bartlett adjustment to the likelihood ratio test for a system of equations , 1995 .

[27]  Jean-Marie Dufour,et al.  Exact Tests Structural Change in First-Order Dynamic Models , 1995 .

[28]  Anil K. Bera,et al.  A test for the presence of conditional heteroskedasticity within ARCH-M framework , 1995 .

[29]  David A. Jaeger,et al.  Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is Weak , 1995 .

[30]  Jean-Marie Dufour,et al.  Exact Inference Methods for First-Order Autoregressive Distributed Lag Models , 1995 .

[31]  J. Horowitz.  Bootstrap Methods in Econometrics: Theory and Numerical Performance , 1995 .

[32]  Jon Faust,et al.  When Do Long-Run Identifying Restrictions Give Reliable Results? , 1997 .

[33]  Eric R. Ziegel,et al.  Handbook of Statistics 11: Econometrics , 1994 .

[34]  J. Stock,et al.  Instrumental Variables Regression with Weak Instruments , 1994 .

[35]  R. Tibshirani,et al.  An Introduction to the Bootstrap , 1995 .

[36]  H. Vinod.  23 Bootstrap methods: Applications in econometrics , 1993 .

[37]  G. Maddala,et al.  21 A perspective on application of bootstrap methods in econometrics , 1993 .

[38]  Maxwell L. King,et al.  A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances , 1993 .

[39]  Michael Keane,et al.  Simulation estimation for panel data models with limited dependent variables , 1993 .

[40]  Ernst R. Berndt,et al.  The Practice of Econometrics: Classic and Contemporary. , 1992 .

[41]  P. Hall.  The Bootstrap and Edgeworth Expansion , 1992 .

[42]  M. Bartlett.  Properties of Sufficiency and Statistical Tests , 1992 .

[43]  M. Chavance.  [Jackknife and bootstrap]. , 1992, Revue d'epidemiologie et de sante publique.

[44]  William L. Goffe,et al.  SIMANN: FORTRAN module to perform Global Optimization of Statistical Functions with Simulated Annealing , 1992 .

[45]  Vassilis A. Hajivassiliou,et al.  Simulation Estimation Methods for Limited Dependent Variable Models , 1991 .

[46]  John H. H. Lee.  A Lagrange Multiplier Test for Garch Models , 1991 .

[47]  Stephen A. Ross,et al.  A Test of the Efficiency of a Given Portfolio , 1989 .

[48]  Jean-Marie Dufour,et al.  Nonlinear hypotheses, inequality restrictions, and non-nested hypotheses: exact simultaneous tests in linear regressions , 1989 .

[49]  Richard Startz,et al.  Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator , 1988 .

[50]  Richard Startz,et al.  The Distribution of the Instrumental Variables Estimator and its T-Ratiowhen the Instrument is a Poor One , 1988 .

[51]  Jean-Marie Dufour,et al.  Invariance, Nonlinear Models and Asymptotic Tests , 1991 .

[52]  Sandro Ridella,et al.  Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithmCorrigenda for this article is available here , 1987, TOMS.

[53]  Anil K. Bera,et al.  A test for normality of observations and regression residuals , 1987 .

[54]  R. Davies.  Hypothesis Testing when a Nuisance Parameter is Present Only Under the Alternatives , 1987 .

[55]  Anil K. Bera,et al.  A Test for Normality of Observations and , 1987 .

[56]  B. Efron.  The jackknife, the bootstrap, and other resampling plans , 1987 .

[57]  Jean-Marie Dufour,et al.  Exact tests and confidence sets in linear regressions with autocorrelated errors , 1990 .

[58]  R. D'Agostino,et al.  Goodness-of-Fit-Techniques , 1987 .

[59]  Ole E. Barndorff-Nielsen,et al.  A note on the calculation of Bartlett adjustments , 1986 .

[60]  Moshe Ben-Akiva,et al.  Discrete Choice Analysis: Theory and Application to Travel Demand , 1985 .

[61]  N. Savin.  MULTIPLE HYPOTHESIS TESTING , 1984 .

[62]  Peter C. B. Phillips,et al.  Exact Small Sample Theory in the Simultaneous Equations Model , 1983 .

[63]  A. Harvey,et al.  Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations , 1982 .

[64]  Anil K. Bera,et al.  Model specification tests: A simultaneous approach☆ , 1982 .

[65]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[66]  Trevor Breusch,et al.  Useful invariance results for generalized regression models , 1980 .

[67]  Andrew Harvey,et al.  Testing for Serial Correlation in Simultaneous Equation Models , 1980 .

[68]  Anil K. Bera,et al.  Efficient tests for normality, homoscedasticity and serial independence of regression residuals , 1980 .

[69]  Adrian Pagan,et al.  The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics , 1980 .

[70]  T. Breurch,et al.  A simple test for heteroscedasticity and random coefficient variation (econometrica vol 47 , 1979 .

[71]  K. Laitinen.  Why is demand homogeneity so often rejected , 1978 .

[72]  R. Davies.  Hypothesis testing when a nuisance parameter is present only under the alternative , 1977 .

[73]  M. Bartlett.  The Spectral Analysis of Point Processes , 1963 .

[74]  A. Zellner.  An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias , 1962 .

[75]  M. Dwass.  Modified Randomization Tests for Nonparametric Hypotheses , 1957 .

[76]  E. C. Fieller.  SOME PROBLEMS IN INTERVAL ESTIMATION , 1954 .

[77]  B WILKINSON,et al.  A statistical consideration in psychological research. , 1951, Psychological bulletin.

[78]  T. W. Anderson,et al.  Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations , 1949 .

[79]  M. Bartlett.  A Note on the Statistical Estimation of Supply and Demand Relations from Time Series , 1948 .

[80]  E. C. Fieller.  The Biological Standardization of Insulin , 1940 .

[81]  K. Pearson.  ON A METHOD OF DETERMINING WHETHER A SAMPLE OF SIZE n SUPPOSED TO HAVE BEEN DRAWN FROM A PARENT POPULATION HAVING A KNOWN PROBABILITY INTEGRAL HAS PROBABLY BEEN DRAWN AT RANDOM , 1933 .

[82]  AN Kolmogorov-Smirnov,et al.  Sulla determinazione empírica di uma legge di distribuzione , 1933 .

[83]  E. S. Pearson,et al.  On the Problem of the Most Efficient Tests of Statistical Hypotheses , 1933 .

[84]  S. S. Wilks.  CERTAIN GENERALIZATIONS IN THE ANALYSIS OF VARIANCE , 1932 .

[85]  L. Tippett,et al.  The Methods of Statistics. , 1933 .