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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 Downloads View citations

1997

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

1994

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

1993

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

1992

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

1991

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

1987

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

1985

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

1984

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

1982

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

1981

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

1979

  1. Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    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 Downloads
  2. Switching VARMA Term Structure Models
    Journal of Financial Econometrics, 2007, 5, (1), 105-153 Downloads

2006

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

2005

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

2004

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

2003

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

2000

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

1999

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

1995

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

1993

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

1992

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

1990

  1. 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 Downloads

1989

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

1987

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

1986

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

1984

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

1983

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

1982

  1. 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 Downloads View citations
  2. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
    Econometrica, 1982, 50, (2), 409-25 Downloads View citations

1981

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

1980

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

1979

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

1978

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

Chapters

1986

  1. Testing non-nested hypotheses
    Chapter 44 in Handbook of Econometrics, 1986, vol. 4, pp 2583-2637 Downloads
 
 
Page updated 2008-11-25