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Details about Lynda Khalaf

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Homepage:http://www2.carleton.ca/economics/faculty-and-staff/regular-faculty/khalaf-lynda-a.
Workplace:Department of Economics, Carleton University, (more information at EDIRC)
Centre for Monetary and Financial Economics (CMFE), Department of Economics, Carleton University, (more information at EDIRC)

Access statistics for papers by Lynda Khalaf.

Last updated 2016-09-29. Update your information in the RePEc Author Service.

Short-id: pkh49


Jump to Journal Articles

Working Papers

2015

  1. Exact confidence sets and goodness-of-fit methods for stable distributions
    CIRANO Working Papers, CIRANO Downloads
    See also Journal Article in Journal of Econometrics (2014)
  2. Factor based identification-robust inference in IV regressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  3. Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?
    Cahiers de recherche CREATE, CREATE Downloads
    Also in Working Papers, University of Ottawa, Department of Economics (2015) Downloads
    Working Papers, University of Ottawa, Department of Economics (2015) Downloads

2013

  1. Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in CIRANO Working Papers, CIRANO (2013) Downloads View citations (1)

2011

  1. An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2012)
  2. Identification-robust estimation and testing of the zero-beta CAPM
    CIRANO Working Papers, CIRANO Downloads
    See also Journal Article in Review of Economic Studies (2013)
  3. The Environmental Kuznets Curve: Tipping Points, Uncertainty and Weak Identification
    Cahiers de recherche CREATE, CREATE Downloads View citations (7)

2009

  1. Assessing Indexation-Based Calvo Inflation Models
    Staff Working Papers, Bank of Canada Downloads
  2. Structural Inflation Models with Real Wage Rigidities: The Case of Canada
    Staff Working Papers, Bank of Canada Downloads
  3. Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit
    Staff Working Papers, Bank of Canada Downloads View citations (5)

2008

  1. Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield
    Cahiers de recherche, GREEN Downloads View citations (1)

2006

  1. Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion
    Staff Working Papers, Bank of Canada Downloads View citations (4)
    See also Journal Article in Journal of Forecasting (2008)
  2. Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada
    Staff Working Papers, Bank of Canada Downloads
  3. Structural Estimation and Evaluation of Calvo-Style Inflation Models
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)
  4. Testing Financial Integration: Finite Sample Motivated Mothods
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads

2005

  1. Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
    CIRANO Working Papers, CIRANO Downloads View citations (5)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005) Downloads View citations (6)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2005) Downloads View citations (6)
  2. Identification Robust Confidence Sets Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads
  3. Inflation Dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads View citations (7)
    Also in Staff Working Papers, Bank of Canada (2005) Downloads View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005) Downloads View citations (3)
    CIRANO Working Papers, CIRANO (2005) Downloads View citations (2)

    See also Journal Article in Journal of Economic Dynamics and Control (2006)
  4. Testing for Structural Breaks in Covariance: Exchange Rate Pass-Through in Canada
    Computing in Economics and Finance 2005, Society for Computational Economics
  5. Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005) Downloads View citations (2)
    CIRANO Working Papers, CIRANO (2005) Downloads

    See also Journal Article in L'Actualité Economique (2004)

2004

  1. Are New Keynesian Phillips Curves Identified ?
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (3)
    Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (3)
    Cahiers de recherche, GREEN (2003) Downloads
    Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (2)
  2. Estimating New Keynesian Phillips Curves Using Exact Methods
    Staff Working Papers, Bank of Canada Downloads View citations (9)
  3. Simulation-Based Finite-Sample Inference in Simultaneous Equations
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (7)
  4. Structural Change and Forecasting Long-Run Energy Prices
    Staff Working Papers, Bank of Canada Downloads View citations (4)

2003

  1. Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads View citations (11)
    Also in CIRANO Working Papers, CIRANO (2003) Downloads View citations (11)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) Downloads View citations (18)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  2. Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) Downloads
  3. Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre Downloads View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (3)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2002) Downloads
    CIRANO Working Papers, CIRANO (2002) Downloads View citations (9)
  4. Testing the Stability of the Canadian Phillips Curve Using Exact Methods
    Staff Working Papers, Bank of Canada Downloads View citations (2)

2002

  1. Exact Testing of the Stability of the Phillips Curve
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (1)

2001

  1. Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions
    Cahiers de recherche, GREEN Downloads View citations (1)
    Also in Cahiers de recherche, Université Laval - Département d'économique (2001) Downloads
  2. Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
    CIRANO Working Papers, CIRANO Downloads View citations (9)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (14)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) Downloads View citations (12)

    See also Journal Article in Journal of Econometrics (2004)

2000

  1. Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000)
    CIRANO Working Papers, CIRANO (2000) Downloads

    See also Journal Article in Journal of Econometrics (2002)
  2. On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests
    Cahiers de recherche, GREEN Downloads View citations (1)
    Also in Cahiers de recherche, Université Laval - Département d'économique (2000) Downloads View citations (5)
    Working Papers, Laval - Recherche en Energie (2000) View citations (2)
  3. SIMULATION-BASED EXACT TESTS FOR STRUCTURAL DISCONTINUITIES WITH UNIDENTIFIED NUISANCE PARAMETERS: AN APPLICATION TO COMMODITIES SPOT PRICES
    Computing in Economics and Finance 2000, Society for Computational Economics
  4. Simulation Based Finite and Large Sample Tests in Multivariate Regressions
    CIRANO Working Papers, CIRANO Downloads View citations (4)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2002)
  5. Simulation Based Inference in Simultaneous Equations
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
  6. Simulation-Based Exact Tests in Jump-Diffusion Models in the Presence of Unidentified Nuisance Parameters: an Application to Commodity Spot Prices
    Working Papers, Laval - Recherche en Energie
  7. Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity
    Cahiers de recherche, GREEN Downloads
    Also in Cahiers de recherche, Université Laval - Département d'économique (2000) Downloads
  8. TESTING THE PRICING-TO-MARKET HYPOTHESIS CASE OF THE TRANSPORTATION EQUIPMENT INDUSTRY
    Computing in Economics and Finance 2000, Society for Computational Economics Downloads
    Also in Staff Working Papers, Bank of Canada (2000) Downloads

1999

  1. Simulation Based Finite- and Large-Sample Inference Methods in Simultaneous Equations
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (9)

1998

  1. Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (5)

1995

  1. Simulation Based Inference in Moving Average Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (3)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)
    CIRANO Working Papers, CIRANO (1994) Downloads View citations (1)

    See also Journal Article in Annals of Economics and Statistics (2003)

Undated

  1. Simulation Based Finite and Large Sample Inference Methods in Multiple Regression Models
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads View citations (1)

Journal Articles

2016

  1. Identification and inference in two-pass asset pricing models
    Journal of Economic Dynamics and Control, 2016, 70, (C), 165-177 Downloads View citations (1)

2015

  1. Environmental Kuznets Curve: Tipping Points, Uncertainty and Weak Identification
    Environmental & Resource Economics, 2015, 60, (2), 285-315 Downloads View citations (4)
  2. IDENTIFICATION-ROBUST FACTOR PRICING: CANADIAN EVIDENCE
    L'Actualité Economique, 2015, 91, (1-2), 235-252 Downloads
  3. The Convenience Yield and the Informational Content of the Oil Futures Price
    The Energy Journal, 2015, Volume 36, (Number 2) Downloads

2014

  1. Exact confidence sets and goodness-of-fit methods for stable distributions
    Journal of Econometrics, 2014, 181, (1), 3-14 Downloads
    See also Working Paper (2015)
  2. Identification robust inference in cointegrating regressions
    Journal of Econometrics, 2014, 182, (2), 385-396 Downloads View citations (2)
  3. L’économétrie et l’évidence fallacieuse: erreurs et avancées
    L'Actualité Economique, 2014, 90, (1), 5-22 Downloads

2013

  1. Identification-Robust Estimation and Testing of the Zero-Beta CAPM
    Review of Economic Studies, 2013, 80, (3), 892-924 Downloads View citations (11)
    See also Working Paper (2011)
  2. Identification-robust analysis of DSGE and structural macroeconomic models
    Journal of Monetary Economics, 2013, 60, (3), 340-350 Downloads View citations (9)

2012

  1. An identification‐robust test for time‐varying parameters in the dynamics of energy prices
    Journal of Applied Econometrics, 2012, 27, (4), 603-624 Downloads View citations (6)
    See also Working Paper (2011)

2010

  1. Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions
    Journal of Empirical Finance, 2010, 17, (4), 763-782 Downloads View citations (3)
  2. Estimation uncertainty in structural inflation models with real wage rigidities
    Computational Statistics & Data Analysis, 2010, 54, (11), 2554-2561 Downloads View citations (3)
  3. Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models
    Journal of Econometrics, 2010, 157, (2), 317-327 Downloads View citations (13)
  4. Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models
    Journal of Applied Econometrics, 2010, 25, (2), 263-285 Downloads View citations (7)
  5. On the precision of Calvo parameter estimates in structural NKPC models
    Journal of Economic Dynamics and Control, 2010, 34, (9), 1582-1595 Downloads View citations (11)

2009

  1. A cross-section analysis of financial market integration in North America using a four factor model
    International Journal of Managerial Finance, 2009, 5, (3), 248-267 Downloads View citations (2)
  2. Finite sample multivariate tests of asset pricing models with coskewness
    Computational Statistics & Data Analysis, 2009, 53, (6), 2008-2021 Downloads View citations (8)

2008

  1. Forecasting commodity prices: GARCH, jumps, and mean reversion
    Journal of Forecasting, 2008, 27, (4), 279-291 Downloads View citations (8)
    See also Working Paper (2006)
  2. Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
    Computational Statistics & Data Analysis, 2008, 52, (6), 3148-3161 Downloads View citations (5)

2007

  1. Exact test for breaks in covariance in multivariate regressions
    Economics Letters, 2007, 95, (2), 241-246 Downloads
  2. Finite sample inference methods for dynamic energy demand models
    Journal of Applied Econometrics, 2007, 22, (7), 1211-1226 Downloads View citations (9)
  3. Finite sample multivariate structural change tests with application to energy demand models
    Journal of Econometrics, 2007, 141, (2), 1219-1244 Downloads View citations (7)
  4. Multivariate Tests of MeanVariance Efficiency With Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach
    Journal of Business & Economic Statistics, 2007, 25, 398-410 Downloads View citations (20)

2006

  1. Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1707-1727 Downloads View citations (44)
    See also Working Paper (2005)

2005

  1. Exact tests of the stability of the Phillips curve: the Canadian case
    Computational Statistics & Data Analysis, 2005, 49, (2), 445-460 Downloads View citations (6)

2004

  1. Pricing-to-market tests in instrumental regressions: Case of the transportation equipment industry
    Empirical Economics, 2004, 29, (2), 293-309 Downloads View citations (3)
  2. Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
    Journal of Econometrics, 2004, 122, (2), 317-347 Downloads View citations (33)
    See also Working Paper (2001)
  3. Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression*
    L'Actualité Economique, 2004, 80, (2), 501-522 Downloads
    See also Working Paper (2005)

2003

  1. 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, 2003, 65, (s1), 891-906 Downloads View citations (17)
    See also Working Paper (2003)
  2. Simulation Based Inference In Moving Average Models
    Annals of Economics and Statistics, 2003, (69), 85-99 Downloads
    See also Working Paper (1995)
  3. Simulation-based exact jump tests in models with conditional heteroskedasticity
    Journal of Economic Dynamics and Control, 2003, 28, (3), 531-553 Downloads View citations (14)

2002

  1. Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions
    Journal of Econometrics, 2002, 106, (1), 143-170 Downloads View citations (28)
    See also Working Paper (2000)
  2. On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices
    American Journal of Agricultural Economics, 2002, 84, (2), 387-400 Downloads View citations (11)
  3. Simulation based finite and large sample tests in multivariate regressions
    Journal of Econometrics, 2002, 111, (2), 303-322 Downloads View citations (48)
    See also Working Paper (2000)

1998

  1. Simulation-based finite sample normality tests in linear regressions
    Econometrics Journal, 1998, 1, (ConferenceIssue), C154-C173 View citations (34)
 
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