scholarly journals Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions

2003 ◽  
Author(s):  
Jean-Marie Dufour ◽  
Lynda Khalaf
Keyword(s):  
Finite Sample ◽  
Seemingly Unrelated Regressions ◽  
Simulation Based

scholarly journals Simulation-based finite-sample tests for heteroskedasticity and ARCH effects

2004 ◽  
Vol 122 (2) ◽  
pp. 317-347 ◽  
Author(s):  
Jean-Marie Dufour ◽  
Lynda Khalaf ◽  
Jean-Thomas Bernard ◽  
Ian Genest
Keyword(s):  
Finite Sample ◽  
Simulation Based

TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES

2001 ◽  
Vol 17 (1) ◽  
pp. 156-187 ◽  
Author(s):  
Atsushi Inoue
Keyword(s):  
Time Series ◽  
A Priori ◽  
Nuisance Parameter ◽  
Nonparametric Tests ◽  
Local Power ◽  
Finite Sample ◽  
Null Distributions ◽  
Monte Carlo Experiments ◽  
Simulation Based ◽  
Finite Sample Properties

This paper proposes nonparametric tests of change in the distribution function of a time series. The limiting null distributions of the test statistics depend on a nuisance parameter, and critical values cannot be tabulated a priori. To circumvent this problem, a new simulation-based statistical method is developed. The validity of our simulation procedure is established in terms of size, local power, and test consistency. The finite-sample properties of the proposed tests are evaluated in a set of Monte Carlo experiments, and the distributional stability in financial markets is examined.

scholarly journals Simulation‐based finite sample normality tests in linear regressions

1998 ◽  
Vol 1 (1) ◽  
pp. C154-C173 ◽  
Author(s):  
Jean‐Marie Dufour ◽  
Abdeljelil Farhat ◽  
Lucien Gardiol ◽  
Lynda Khalaf
Keyword(s):  
Finite Sample ◽  
Simulation Based ◽  
Linear Regressions

From Finite Sample to Asymptotic Methods in Statistics

2009 ◽  
Author(s):  
Pranab K. Sen ◽  
Julio M. Singer ◽  
Antonio C. Pedroso de Lima
Keyword(s):  
Asymptotic Methods ◽  
Finite Sample
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