Details about Alain Monfort

E-mail:
Homepage:	http://crest.fr/pageperso/monfort/monfort.htm
Workplace:	Centre de Recherche en Économie et Statistique (CREST) (Research Center for Economics and Statistics), Institut National de la Statistique et des Études Économiques (INSEE) (National Institute of Statistics and Economic Studies), Government of France, (more information at EDIRC)

Access statistics for papers by Alain Monfort.

Last updated 2008-07-04. Update your information in the RePEc Author Service.

Short-id: pmo298

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Working Papers

2003

1. Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

1997

2. Econometric specification of the risk neutral valuation model
   CEPREMAP Working Papers (Couverture Orange), CEPREMAP
   See Also Journal Article in Journal of Econometrics (2000)

1994

3. Kernel m-estimators: non parametric diagnostics for structural models
   CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations
4. Testing, encompassing and simulating dynamic econometric models
   CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1993

5. Modèles linéaires à facteurs et structure à terme des taux d'intérêt
   CEPREMAP Working Papers (Couverture Orange), CEPREMAP
6. Prévision de mesures de prix contingents
   CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1992

7. Indirect Inference
   Working Papers, Toulouse - GREMAQ View citations
   See Also Journal Article in Journal of Applied Econometrics (1993)

1991

8. Modèles de durée et effets de génération
   CEPREMAP Working Papers (Couverture Orange), CEPREMAP
9. Qualitative threshold arch models
   CEPREMAP Working Papers (Couverture Orange), CEPREMAP
   See Also Journal Article in Journal of Econometrics (1992)
10. Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1987

11. Consistent m-estimators in a semi-parametric model
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations

1985

12. Simulated residuals
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See Also Journal Article in Journal of Econometrics (1987)
13. Testing unknown linear restrictions on parameter functions
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1984

14. General approach of serial correlation (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations

1982

15. Estimation and test in probit models with serial correlation
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations
16. Pseudo maximum lilelihood methods: applications to poisson models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See Also Journal Article in Econometrica (1984)
17. Revision adaptative des anticipations et convergence vers les anticipations rationnelles
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1981

18. Pseudo maximum likelihood methods: theory
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations
    See Also Journal Article in Econometrica (1984)

1979

19. Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes
    NBER Working Papers, National Bureau of Economic Research, Inc
    See Also Journal Article in Econometrica (1980)

Journal Articles

2007

1. Econometric specification of stochastic discount factor models
   Journal of Econometrics, 2007, 136, (2), 509-530
2. Switching VARMA Term Structure Models
   Journal of Financial Econometrics, 2007, 5, (1), 105-153

2006

3. Affine Models for Credit Risk Analysis
   Journal of Financial Econometrics, 2006, 4, (3), 494-530

2005

4. The econometrics of efficient portfolios
   Journal of Empirical Finance, 2005, 12, (1), 1-41 View citations

2004

5. Infrequent Extreme Risks
   The Geneva Papers on Risk and Insurance Theory, 2004, 29, (1), 5-22
   Also in
   The Geneva Risk and Insurance Review, 2004, 29, (1), 5-22 (2004)

2003

6. Kernel-Based Indirect Inference
   Journal of Financial Econometrics, 2003, 1, (3), 297-326 View citations

2000

7. Econometric specification of the risk neutral valuation model
   Journal of Econometrics, 2000, 94, (1-2), 117-143 View citations
   See Also Working Paper (1997)

1999

8. Bayesian estimation of switching ARMA models
   Journal of Econometrics, 1999, 93, (2), 229-255 View citations

1995

9. Prepayment analysis for securitization
   Journal of Empirical Finance, 1995, 2, (1), 45-70

1993

10. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 View citations
    See Also Working Paper (1992)
11. Simulation-based inference: A survey with special reference to panel data models
    Journal of Econometrics, 1993, 59, (1-2), 5-33 View citations

1992

12. Qualitative threshold ARCH models
    Journal of Econometrics, 1992, 52, (1-2), 159-199 View citations
    See Also Working Paper (1991)

1990

13. From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral
    Journal of Applied Econometrics, 1990, 5, (3), 203-27

1989

14. Testing for Common Roots
    Econometrica, 1989, 57, (1), 171-85

1987

15. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 View citations
16. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 View citations
    See Also Working Paper (1985)

1986

17. Some useful equivalence properties of Hausman's test
    Economics Letters, 1986, 20, (1), 39-43

1984

18. Pseudo Maximum Likelihood Methods: Applications to Poisson Models
    Econometrica, 1984, 52, (3), 701-20 View citations
    See Also Working Paper (1982)
19. Pseudo Maximum Likelihood Methods: Theory
    Econometrica, 1984, 52, (3), 681-700 View citations
    See Also Working Paper (1981)

1983

20. Testing nested or non-nested hypotheses
    Journal of Econometrics, 1983, 21, (1), 83-115 View citations

1982

21. Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
    Econometrica, 1982, 50, (1), 63-80 View citations
22. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
    Econometrica, 1982, 50, (2), 409-25 View citations

1981

23. Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
    Journal of Econometrics, 1981, 17, (1), 83-97 View citations
24. Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters
    Journal of Econometrics, 1981, 16, (1), 166-166 View citations
25. On the Problem of Missing Data in Linear Models
    Review of Economic Studies, 1981, 48, (4), 579-86 View citations

1980

26. Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
    Econometrica, 1980, 48, (3), 675-95 View citations
    See Also Working Paper (1979)
27. Disequilibrium Econometrics in Simultaneous Equations Systems
    Econometrica, 1980, 48, (1), 75-96 View citations
28. Sufficient Linear Structures: Econometric Applications
    Econometrica, 1980, 48, (5), 1083-97
29. Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
    International Economic Review, 1980, 21, (1), 245-47

1979

30. Disequilibrium econometrics in dynamic models
    Journal of Econometrics, 1979, 11, (2-3), 353-361 View citations
31. On the characterization of a joint probability distribution by conditional distributions
    Journal of Econometrics, 1979, 10, (1), 115-118

1978

32. First-order identification in linear models
    Journal of Econometrics, 1978, 7, (3), 333-350

Chapters

1986

1. Testing non-nested hypotheses
   Chapter 44 in Handbook of Econometrics, 1986, vol. 4, pp 2583-2637