Details about Jean-Marie Dufour

E-mail:
Homepage:	http://www.jeanmariedufour.com
Phone:	(1) 5143984400 ext. 09156
Postal address:	Department of Economics Leacock Building, Room 519 855 Sherbrooke Street West Montreal Quebec H3A 2T7 Canada
Workplace:	Department of Economics, McGill University, (more information at EDIRC) Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (Center for Interuniversity Research in Quantitative Economics), (more information at EDIRC) Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (Center for Interuniversity Research and Analysis on Organizations), (more information at EDIRC)

Access statistics for papers by Jean-Marie Dufour.

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Short-id: pdu24

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Working Papers

2016

1. Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory
   School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (3)

2015

2. Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
   CIRANO Working Papers, CIRANO
   See also Journal Article Asymptotic distributions for quasi-efficient estimators in echelon VARMA models, Computational Statistics & Data Analysis, Elsevier (2014) View citations (4) (2014)
3. Exact confidence sets and goodness-of-fit methods for stable distributions
   CIRANO Working Papers, CIRANO
   See also Journal Article Exact confidence sets and goodness-of-fit methods for stable distributions, Journal of Econometrics, Elsevier (2014) View citations (2) (2014)
4. Invariant tests based on M-estimators, estimating functions, and the generalized method of moments
   CIRANO Working Papers, CIRANO
   Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (1)

2014

5. Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (20)
   Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) View citations (5)
   CIRANO Working Papers, CIRANO (2014) View citations (18)
   MPRA Paper, University Library of Munich, Germany (2012) View citations (6)
   See also Journal Article Identification‐robust inference for endogeneity parameters in linear structural models, Econometrics Journal, Royal Economic Society (2014) View citations (17) (2014)

2013

6. Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
   Also in CIRANO Working Papers, CIRANO (2013) View citations (2)
   See also Journal Article Exchange rates and commodity prices: Measuring causality at multiple horizons, Journal of Empirical Finance, Elsevier (2016) View citations (72) (2016)
7. 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
   Also in CIRANO Working Papers, CIRANO (2013) View citations (7)
8. Weak Identification in Probit Models with Endogenous Covariates
   IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University

2011

9. An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices
   CIRANO Working Papers, CIRANO View citations (1)
   See also Journal Article An identification‐robust test for time‐varying parameters in the dynamics of energy prices, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (13) (2012)
10. Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models
    CIRANO Working Papers, CIRANO View citations (1)
11. Identification-robust estimation and testing of the zero-beta CAPM
    CIRANO Working Papers, CIRANO
    See also Journal Article Identification-Robust Estimation and Testing of the Zero-Beta CAPM, The Review of Economic Studies, Review of Economic Studies Ltd (2013) View citations (24) (2013)
12. Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
    CIRANO Working Papers, CIRANO View citations (4)
    See also Journal Article Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility, Journal of Financial Econometrics, Oxford University Press (2009) (2009)
13. Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors
    CIRANO Working Papers, CIRANO View citations (1)
14. Semiparametric Innovation-Based Tests of Orthogonality and Causality Between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions
    CIRANO Working Papers, CIRANO

2010

15. Finite and Large Sample Distribution-Free Inference in Median Regressions with Instrumental Variables
    Working Papers, Center for Research in Economics and Statistics

2009

16. Assessing Indexation-Based Calvo Inflation Models
    Staff Working Papers, Bank of Canada
17. Structural Inflation Models with Real Wage Rigidities: The Case of Canada
    Staff Working Papers, Bank of Canada
18. Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit
    Staff Working Papers, Bank of Canada View citations (6)

2008

19. Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
20. Hodges-Lehmann Sign-based Estimators and Generalized Confidence Distributions in Linear Median Regressions with Moment-free Heterogenous Errors and Dependence of Unknown Form
    Working Papers, Center for Research in Economics and Statistics
21. Instrument endogeneity and identification-robust tests: some analytical results
    MPRA Paper, University Library of Munich, Germany View citations (20)
22. Measuring causality between volatility and returns with high-frequency data
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (6)
23. Short and long run causality measures: theory and inference
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
    See also Journal Article Short and long run causality measures: Theory and inference, Journal of Econometrics, Elsevier (2010) View citations (61) (2010)

2007

24. Finite-sample Distribution-free Inference in Linear Median Regression under Heteroskedasticity and Nonlinear Dependence of Unknown Form
    Working Papers, Center for Research in Economics and Statistics View citations (10)
    See also Journal Article Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form, Econometrics Journal, Royal Economic Society (2009) View citations (18) (2009)

2006

25. Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
    Also in CIRANO Working Papers, CIRANO (2005)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2005)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005)
    See also Journal Article Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series, Journal of Econometrics, Elsevier (2006) View citations (3) (2006)
26. Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
    Staff Working Papers, Bank of Canada View citations (51)
27. Structural Estimation and Evaluation of Calvo-Style Inflation Models
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)

2005

28. Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (6)
    Also in CIRANO Working Papers, CIRANO (2005) View citations (7)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2005) View citations (6)
29. Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (9)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005) View citations (9)
    CIRANO Working Papers, CIRANO (2005) View citations (9)
30. Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (4)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005) View citations (7)
    CIRANO Working Papers, CIRANO (2005) View citations (3)
31. Inflation Dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (10)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005) View citations (6)
    Staff Working Papers, Bank of Canada (2005) View citations (5)
    CIRANO Working Papers, CIRANO (2005) View citations (5)
    See also Journal Article Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (73) (2006)
32. Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (3)
    Also in CIRANO Working Papers, CIRANO (2005) View citations (3)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2005) View citations (3)
    See also Journal Article Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics, Journal of Econometrics, Elsevier (2006) View citations (189) (2006)
33. Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
    CIRANO Working Papers, CIRANO
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005) View citations (2)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2005)
    See also Journal Article Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression*, L'Actualité Economique, Société Canadienne de Science Economique (2004) View citations (1) (2004)

2004

34. A simple estimation method and finite-sample inference for a stochastic volatility model
    Econometric Society 2004 North American Summer Meetings, Econometric Society
35. Are New Keynesian Phillips Curves Identified ?
    2004 Meeting Papers, Society for Economic Dynamics View citations (3)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (3)
    Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (3)
36. Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (2)
37. Finite-sample inference methods for autoregressive\ processes: an approach based on truncated pivotal autoregression
    Econometric Society 2004 Far Eastern Meetings, Econometric Society
38. Simulation-Based Finite-Sample Inference in Simultaneous Equations
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (7)

2003

39. 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 View citations (27)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) View citations (30)
    CIRANO Working Papers, CIRANO (2003) View citations (25)
    See also Journal Article 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, Department of Economics, University of Oxford (2003) View citations (26) (2003)
40. Exact tests and confidence sets for the tail coefficient of a-stable distributions
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (1)
41. Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
    Also in CIRANO Working Papers, CIRANO (2003) View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) View citations (2)
42. Identification, Weak Instruments and Statistical Inference in Econometrics
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (155)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) View citations (152)
    CIRANO Working Papers, CIRANO (2003) View citations (153)
    See also Journal Article Identification, weak instruments, and statistical inference in econometrics, Canadian Journal of Economics, Canadian Economics Association (2003) View citations (154) (2003)
43. Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in CIRANO Working Papers, CIRANO (2003)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003)
    See also Journal Article Méthodes d’inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes*, L'Actualité Economique, Société Canadienne de Science Economique (2004) (2004)
44. Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) View citations (6)
    CIRANO Working Papers, CIRANO (2003) View citations (4)
    See also Journal Article Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments, Econometrica, Econometric Society (2005) View citations (114) (2005)
45. Short Run and Long Run Causality in Time Series: Inference
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (13)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) View citations (3)
    CIRANO Working Papers, CIRANO (2003) View citations (12)
    See also Journal Article Short run and long run causality in time series: inference, Journal of Econometrics, Elsevier (2006) View citations (96) (2006)
46. Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (2)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2002)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (3)
    CIRANO Working Papers, CIRANO (2002) View citations (9)

2001

47. Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) View citations (1)
    CIRANO Working Papers, CIRANO (2001) View citations (1)
48. Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions
    Cahiers de recherche, Université Laval - Département d'économique
    Also in Cahiers de recherche, GREEN (2001) View citations (1)
49. Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
    Also in CIRANO Working Papers, CIRANO (2001) View citations (3)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) View citations (3)
50. Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
    CIRANO Working Papers, CIRANO View citations (9)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) View citations (13)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (16)
    See also Journal Article Simulation-based finite-sample tests for heteroskedasticity and ARCH effects, Journal of Econometrics, Elsevier (2004) View citations (45) (2004)

2000

51. Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models
    CIRANO Working Papers, CIRANO View citations (2)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998)
    See also Journal Article Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models, Annals of Economics and Statistics, GENES (2006) (2006)
52. Econometrie, theorie des tests et philosophie des sciences
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) View citations (2)
    CIRANO Working Papers, CIRANO (2000) View citations (2)
53. Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in CIRANO Working Papers, CIRANO (2000)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000)
    See also Journal Article Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions, Journal of Econometrics, Elsevier (2002) View citations (44) (2002)
54. Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors
    CIRANO Working Papers, CIRANO
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (7)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998)
55. Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes
    CIRANO Working Papers, CIRANO View citations (9)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000) View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) View citations (9)
    See also Journal Article Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes, Journal of Econometrics, Elsevier (2000) View citations (9) (2000)
56. Monte Carlo Test Applied to Models Estimated by Indirect Inference
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
57. Simulation Based Finite and Large Sample Tests in Multivariate Regressions
    CIRANO Working Papers, CIRANO View citations (5)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000) View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) View citations (3)
    See also Journal Article Simulation based finite and large sample tests in multivariate regressions, Journal of Econometrics, Elsevier (2002) View citations (64) (2002)

1999

58. 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

59. Generalized run tests for heteroscedastic time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
60. Simulation-Based Finite-Sample Normality Tests in Linear Regressions
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (51)
    See also Journal Article Simulation-based finite sample normality tests in linear regressions, Econometrics Journal, Royal Economic Society (1998) View citations (49) (1998)
61. 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 View citations (5)

1997

62. Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    See also Journal Article Statistical Inference For Computable General Equilibrium Models, With Application To A Model Of The Moroccan Economy, The Review of Economics and Statistics, MIT Press (1998) View citations (42) (1998)

1995

63. Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (31)
    See also Journal Article Exact Inference Methods for First-Order Autoregressive Distributed Lag Models, Econometrica, Econometric Society (1998) View citations (71) (1998)
64. Exact Tests Structural Change in First-Order Dynamic Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (2)
65. Exact Tests in Single Equation Autoregressive Distributed Lag Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (3)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)
    See also Journal Article Exact tests in single equation autoregressive distributed lag models, Journal of Econometrics, Elsevier (1997) View citations (29) (1997)
66. Short-Run and Long-Rub Causality in Time Series: Theory
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (1)
    See also Journal Article Short Run and Long Run Causality in Time Series: Theory, Econometrica, Econometric Society (1998) View citations (193) (1998)
67. Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (8)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (3)
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1995) View citations (3)

1994

68. Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994)
    See also Journal Article Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1997) View citations (51) (1997)

1993

69. Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Working Papers, Toulouse - GREMAQ (1992)
70. Exact Nonparametric Orthogonality and Random Walk Tests
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
    See also Journal Article Exact Nonparametric Orthogonality and Random Walk Tests, The Review of Economics and Statistics, MIT Press (1995) View citations (46) (1995)
71. Improved Eaton bounds for linear combinations of bounded random variables, with statistical applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (19)
    Also in Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1990)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations (2)
72. On the Rationship between Impulse Response Analysis, Innovation Accounting and Granger Causality
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    See also Journal Article On the relationship between impulse response analysis, innovation accounting and Granger causality, Economics Letters, Elsevier (1993) View citations (18) (1993)
73. Pitfalls of Rescalling Regression Models with Box-Cox Transformations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    See also Journal Article Pitfalls of Rescaling Regression Modes with Box-Cox Transformations, The Review of Economics and Statistics, MIT Press (1994) (1994)

1992

74. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
    See also Journal Article Generalized Predictive Tests and Structural Change Analysis in Econometrics, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1994) View citations (23) (1994)
75. Improved Berry-Esséen-Chebyshev bounds with statistical applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1989)
    See also Journal Article Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications, Econometric Theory, Cambridge University Press (1992) (1992)
76. Simple exact bounds for distributions of linear signed rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1990) View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990)
77. Simplified Conditions for Non-Causality Between Vectors in Multivariate Arma Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations (5)
    See also Journal Article Simplified conditions for noncausality between vectors in multivariate ARMA models, Journal of Econometrics, Elsevier (1994) View citations (23) (1994)

1991

78. An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1990)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991)
79. Nonuniform bounds for nonparametric t-tests
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1988)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1988)
80. Over-Rejections in Rational Expectations Models: A Nonparametric Approach to the Mankiw-Shapiro Problem
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (17)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations (15)
    See also Journal Article Over-rejections in rational expectations models: A non-parametric approach to the Mankiw-Shapiro problem, Economics Letters, Elsevier (1991) View citations (17) (1991)
81. Testing Causality Between Two Vectors in Multivariate Arma Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (10)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991)

1990

82. KIMBALL'S INEQUALITY AND BOUNDS TESTS FOR COMPARING SEVERAL REGRESSIONS UNDER HETERSKEDASTICITY
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990)

1989

83. ON A CONJECTURE OF EDELMAN ON NONPARAMETRIC T-TESTS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)
84. OPTIMAL INVARIANT TESTS FOR THE AUTOCORRELATION COEFFICIENT IN LINEAR REGRESSIONS WITH STATIONARY AND NONSTATIONARY AR(1) ERRORS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (4)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)

1987

85. Bias of S2 in linear regressions with dependent errors
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
86. Invariance, Nonlinear Models and Asymptotic Tests
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (3)
    See also Journal Article Invariance, Nonlinear Models, and Asymptotic Tests, Econometrica, Econometric Society (1991) View citations (38) (1991)
87. Investment, Taxation and Econometric Policy Evaluation: Some Evidence on the Lucas Critique
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1981)
88. Tests non paramétriques optimaux pour une autorégression d'ordre un
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986) View citations (1)

1986

89. Exact Tests and Confidence Sets in Linear Regressions with Autocorraled Errors
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
90. Exact tests and confidence sets in linear regressions with autocorrelated errors
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    See also Journal Article Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors, Econometrica, Econometric Society (1990) View citations (71) (1990)
91. L'echangeabilite En Series Chronologiques: Quelques Resultats Exacts Sur les Autocorrelations et les Statistiques Portemanteau
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
92. Le Financement Public des Exportations au Canada: une Evaluation Economique de la S.E.E
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
93. Nonlinear hypotheses, inequality restrictions and non-nested hypotheses: Exact simultaneous tests in linear regressions
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article Nonlinear Hypotheses, Inequality Restrictions, and Non-nested Hypotheses: Exact Simultaneous Tests in Linear Regressions, Econometrica, Econometric Society (1989) View citations (60) (1989)
94. On Estimators of the Disturbance Variance in Econometric Models: Some Several Small-Sample Results on Bias and the Existence of Moments
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1985)

1985

95. Generalized Portmanteau Statistics and Tests of Randomness
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
96. Mesure et Incidence des Depenses Fiscales au Quebec
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    See also Journal Article Mesure et incidence des dépenses fiscales au Québec, L'Actualité Economique, Société Canadienne de Science Economique (1985) (1985)

1984

97. Recurvise Stability Analysis: the Demand for Money During the German Hyperinflation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
98. Some Robust Exact Results on Sample Autocorrelations and Tests of Randomness
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    See also Journal Article Some robust exact results on sample autocorrelations and tests of randomness, Journal of Econometrics, Elsevier (1985) View citations (23) (1985)

1983

99. Durbin-Watson Tests for Serial Correlation in Regressions with Missing Observations
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    See also Journal Article Durbin-Watson tests for serial correlation in regressions with missing observations, Journal of Econometrics, Elsevier (1985) View citations (6) (1985)
100. Unbiasedness of Predictions From Estimated Vector Autoregressions
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
     See also Journal Article Unbiasedness of Predictions from Etimated Vector Autoregressions, Econometric Theory, Cambridge University Press (1985) View citations (3) (1985)

1982

101. A warning on the use of the Cochrane-Orcutt procedure based on a money demand equation for the United States
     Working Papers, Federal Reserve Bank of St. Louis

1981

102. A Specification Error Theorem for Predictions From Estimated Autoregressions
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
103. A Warning on the Use of the Cochrane-Orcutt Procedure Based on a Real Example Containing a Lagged Endogenous Variable
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
104. Fixed Points and Minima: a Comment on Betancourt and Kelejian
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
105. Generalized Chow Tests for Structural Change: a Coordinate-Free Approach
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
     See also Journal Article Generalized Chow Tests for Structural Change: A Coordinate-Free Approach, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1982) View citations (32) (1982)
106. Provincial and Federal Sales Taxes: Evidence of Their Effect and Prospect for Change
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
107. Rank Tests for Serial Dependence
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (33)
     Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1979)
108. Recursive Stability Analysis of Linear Regression Relationships
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
109. The Demand for Money During the German Hyperinflation: a Recursive Stability Analysis
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques

1980

110. A Simple Proof for the Chow Test When the Number of Observations Is Insufficient
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
111. An Annotated Bibliography of Canadian Public Finance (Revenue Side) 1946-1979: Extension and Update
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
112. An Annotated Bibliography of Canadian Public Finance (Revenue Side) 1946-1979: a First Round
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
113. Nonparametric Testing for Time Series: a Bibliography
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
114. Predictive Tests for Structural Change and the St. Louis Equation
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
115. Tests of Equality Between Sets of Coefficients in Several Regressions with Explanatory - Variable Matrices of Any Rank
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
116. Tests of Exogeneity
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
117. The Cochrane-Orcutt Procedure: Numerical Examples of Multiple Admissible Minima
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
     See also Journal Article The Cochrane-Orcutt procedure numerical examples of multiple admissible minima, Economics Letters, Elsevier (1980) View citations (3) (1980)

1978

118. Fonctions de Production Dans L'economie du Quebec
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
     See also Journal Article Fonctions de production dans l’économie du Québec, L'Actualité Economique, Société Canadienne de Science Economique (1978) View citations (1) (1978)

Undated

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

Journal Articles

2016

1. Exchange rates and commodity prices: Measuring causality at multiple horizons
   Journal of Empirical Finance, 2016, 36, (C), 100-120 View citations (72)
   See also Working Paper Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons, Cahiers de recherche (2013) View citations (2) (2013)

2015

2. IDENTIFICATION-ROBUST FACTOR PRICING: CANADIAN EVIDENCE
   L'Actualité Economique, 2015, 91, (1-2), 235-252

2014

3. Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
   Computational Statistics & Data Analysis, 2014, 73, (C), 69-86 View citations (4)
   See also Working Paper Asymptotic distributions for quasi-efficient estimators in echelon VARMA models, CIRANO Working Papers (2015) (2015)
4. Exact confidence sets and goodness-of-fit methods for stable distributions
   Journal of Econometrics, 2014, 181, (1), 3-14 View citations (2)
   See also Working Paper Exact confidence sets and goodness-of-fit methods for stable distributions, CIRANO Working Papers (2015) (2015)
5. Identification‐robust inference for endogeneity parameters in linear structural models
   Econometrics Journal, 2014, 17, (1), 165-187 View citations (17)
   See also Working Paper Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models, Cahiers de recherche (2014) View citations (20) (2014)

2013

6. Factor-Augmented VARMA Models With Macroeconomic Applications
   Journal of Business & Economic Statistics, 2013, 31, (4), 491-506 View citations (24)
7. Identification-Robust Estimation and Testing of the Zero-Beta CAPM
   The Review of Economic Studies, 2013, 80, (3), 892-924 View citations (24)
   See also Working Paper Identification-robust estimation and testing of the zero-beta CAPM, CIRANO Working Papers (2011) (2011)
8. Identification-robust analysis of DSGE and structural macroeconomic models
   Journal of Monetary Economics, 2013, 60, (3), 340-350 View citations (27)

2012

9. An identification‐robust test for time‐varying parameters in the dynamics of energy prices
   Journal of Applied Econometrics, 2012, 27, (4), 603-624 View citations (13)
   See also Working Paper An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices, CIRANO Working Papers (2011) View citations (1) (2011)

2010

10. Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions
    Journal of Empirical Finance, 2010, 17, (4), 763-782 View citations (9)
11. Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance: A volume honoring Benoît B. Mandelbrot
    Journal of Empirical Finance, 2010, 17, (2), 177-179 View citations (1)
12. Estimation uncertainty in structural inflation models with real wage rigidities
    Computational Statistics & Data Analysis, 2010, 54, (11), 2554-2561 View citations (5)
13. Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions
    Journal of Empirical Finance, 2010, 17, (2), 180-194 View citations (5)
14. Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
    Computational Statistics & Data Analysis, 2010, 54, (11), 2532-2553 View citations (4)
15. 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 View citations (9)
16. On the precision of Calvo parameter estimates in structural NKPC models
    Journal of Economic Dynamics and Control, 2010, 34, (9), 1582-1595 View citations (17)
17. Short and long run causality measures: Theory and inference
    Journal of Econometrics, 2010, 154, (1), 42-58 View citations (61)
    See also Working Paper Short and long run causality measures: theory and inference, UC3M Working papers. Economics (2008) View citations (1) (2008)

2009

18. Comment
    Journal of Business & Economic Statistics, 2009, 27, (3), 318-321
19. Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
    Journal of Econometrics, 2009, 150, (2), 193-206 View citations (9)
20. Finite sample multivariate tests of asset pricing models with coskewness
    Computational Statistics & Data Analysis, 2009, 53, (6), 2008-2021 View citations (14)
21. Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
    Econometrics Journal, 2009, 12, (s1), S19-S49 View citations (18)
    See also Working Paper Finite-sample Distribution-free Inference in Linear Median Regression under Heteroskedasticity and Nonlinear Dependence of Unknown Form, Working Papers (2007) View citations (10) (2007)
22. Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
    Journal of Financial Econometrics, 2009, 10, (1), 124-163
    See also Working Paper Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility, CIRANO Working Papers (2011) View citations (4) (2011)

2008

23. Market failure, inequality and redistribution
    Ethics and Economics, 2008, 6, (1), 9

2007

24. Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
    Journal of Econometrics, 2007, 139, (1), 133-153 View citations (53)
25. Multivariate Tests of MeanVariance Efficiency With Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach
    Journal of Business & Economic Statistics, 2007, 25, 398-410 View citations (46)

2006

26. Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models
    Annals of Economics and Statistics, 2006, (81), 1-31
    See also Working Paper Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models, CIRANO Working Papers (2000) View citations (2) (2000)
27. Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
    Journal of Econometrics, 2006, 130, (1), 123-142 View citations (3)
    See also Working Paper Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series, ULB Institutional Repository (2006) View citations (4) (2006)
28. Finite-sample simulation-based inference in VAR models with application to Granger causality testing
    Journal of Econometrics, 2006, 135, (1-2), 229-254 View citations (17)
29. 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 View citations (73)
    See also Working Paper Inflation Dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis, Cahiers de recherche (2005) View citations (10) (2005)
30. Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics
    Journal of Econometrics, 2006, 133, (2), 443-477 View citations (189)
    See also Working Paper Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics, Cahiers de recherche (2005) View citations (3) (2005)
31. Resampling methods in econometrics
    Journal of Econometrics, 2006, 133, (2), 411-419
32. Short run and long run causality in time series: inference
    Journal of Econometrics, 2006, 132, (2), 337-362 View citations (96)
    See also Working Paper Short Run and Long Run Causality in Time Series: Inference, Cahiers de recherche (2003) View citations (13) (2003)

2005

33. Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
    Econometrica, 2005, 73, (4), 1351-1365 View citations (114)
    See also Working Paper Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments, Cahiers de recherche (2003) View citations (4) (2003)

2004

34. Méthodes d’inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes*
    L'Actualité Economique, 2004, 80, (4), 593-618
    See also Working Paper Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes, Cahiers de recherche (2003) (2003)
35. Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
    Journal of Econometrics, 2004, 122, (2), 317-347 View citations (45)
    See also Working Paper Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects, CIRANO Working Papers (2001) View citations (9) (2001)
36. Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression*
    L'Actualité Economique, 2004, 80, (2), 501-522 View citations (1)
    See also Working Paper Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression, CIRANO Working Papers (2005) (2005)

2003

37. 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 View citations (26)
    See also Working Paper Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models, Cahiers de recherche (2003) View citations (27) (2003)
38. Identification, weak instruments, and statistical inference in econometrics
    Canadian Journal of Economics, 2003, 36, (4), 767-808 View citations (154)
    See also Working Paper Identification, Weak Instruments and Statistical Inference in Econometrics, Cahiers de recherche (2003) View citations (155) (2003)

2002

39. Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions
    Journal of Econometrics, 2002, 106, (1), 143-170 View citations (44)
    See also Working Paper Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions, Cahiers de recherche (2000) (2000)
40. Méthodes d’inférence exactes pour des processus autorégressifs: une approche fondée sur des tests induits
    L'Actualité Economique, 2002, 78, (1), 19-40
41. Simulation based finite and large sample tests in multivariate regressions
    Journal of Econometrics, 2002, 111, (2), 303-322 View citations (64)
    See also Working Paper Simulation Based Finite and Large Sample Tests in Multivariate Regressions, CIRANO Working Papers (2000) View citations (5) (2000)

2001

42. 36th annual meeting of the Canadian economics association
    Economics Bulletin, 2001, 28, (66), A0
43. Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors
    International Economic Review, 2001, 42, (3), 815-43 View citations (90)
44. Logique et tests d’hypothèses
    L'Actualité Economique, 2001, 77, (2), 171-190

2000

45. Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
    Journal of Econometrics, 2000, 99, (2), 255-289 View citations (9)
    See also Working Paper Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes, CIRANO Working Papers (2000) View citations (9) (2000)

1998

46. Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
    Econometrica, 1998, 66, (1), 79-104 View citations (71)
    See also Working Paper Exact Inference Methods for First-Order Autoregressive Distributed Lag Models, Cahiers de recherche (1995) View citations (2) (1995)
47. Short Run and Long Run Causality in Time Series: Theory
    Econometrica, 1998, 66, (5), 1099-1126 View citations (193)
    See also Working Paper Short-Run and Long-Rub Causality in Time Series: Theory, Cahiers de recherche (1995) View citations (1) (1995)
48. Simulation-based finite sample normality tests in linear regressions
    Econometrics Journal, 1998, 1, (ConferenceIssue), C154-C173 View citations (49)
    See also Working Paper Simulation-Based Finite-Sample Normality Tests in Linear Regressions, Cahiers de recherche (1998) View citations (51) (1998)
49. Statistical Inference For Computable General Equilibrium Models, With Application To A Model Of The Moroccan Economy
    The Review of Economics and Statistics, 1998, 80, (4), 520-534 View citations (42)
    See also Working Paper Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy, Cahiers de recherche (1997) (1997)

1997

50. Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
    International Economic Review, 1997, 38, (1), 151-73 View citations (51)
    See also Working Paper Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter, Cahiers de recherche (1994) (1994)
51. Exact tests in single equation autoregressive distributed lag models
    Journal of Econometrics, 1997, 80, (2), 325-353 View citations (29)
    See also Working Paper Exact Tests in Single Equation Autoregressive Distributed Lag Models, Cahiers de recherche (1995) View citations (3) (1995)
52. La causalité entre la monnaie et le revenu: une analyse fondée sur un modèle VARMA-échelon
    L'Actualité Economique, 1997, 73, (1), 351-366
53. Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models
    Econometrica, 1997, 65, (6), 1365-1388 View citations (342)

1996

54. Editors' introduction recent developments in the econometrics of structural change
    Journal of Econometrics, 1996, 70, (1), 1-8 View citations (7)
55. Exact tests for structural change in first-order dynamic models
    Journal of Econometrics, 1996, 70, (1), 39-68 View citations (58)

1995

56. Exact Nonparametric Orthogonality and Random Walk Tests
    The Review of Economics and Statistics, 1995, 77, (1), 1-16 View citations (46)
    See also Working Paper Exact Nonparametric Orthogonality and Random Walk Tests, Cahiers de recherche (1993) View citations (2) (1993)

1994

57. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    International Economic Review, 1994, 35, (1), 199-229 View citations (23)
    See also Working Paper Generalized Predictive Tests and Structural Change Analysis in Econometrics, Cahiers de recherche (1992) View citations (3) (1992)
58. Pitfalls of Rescaling Regression Modes with Box-Cox Transformations
    The Review of Economics and Statistics, 1994, 76, (3), 571-75
    See also Working Paper Pitfalls of Rescalling Regression Models with Box-Cox Transformations, Cahiers de recherche (1993) (1993)
59. Simplified conditions for noncausality between vectors in multivariate ARMA models
    Journal of Econometrics, 1994, 63, (1), 271-287 View citations (23)
    See also Working Paper Simplified Conditions for Non-Causality Between Vectors in Multivariate Arma Models, Cahiers de recherche (1992) View citations (3) (1992)

1993

60. New Developments in Time Series Econometrics: An Overview
    Empirical Economics, 1993, 18, (4), 557-64
61. On the relationship between impulse response analysis, innovation accounting and Granger causality
    Economics Letters, 1993, 42, (4), 327-333 View citations (18)
    See also Working Paper On the Rationship between Impulse Response Analysis, Innovation Accounting and Granger Causality, Cahiers de recherche (1993) View citations (1) (1993)
62. The importance of seasonality in inventory models
    Journal of Econometrics, 1993, 55, (1-2), 129-133 View citations (3)

1992

63. Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications
    Econometric Theory, 1992, 8, (2), 223-240
    See also Working Paper Improved Berry-Esséen-Chebyshev bounds with statistical applications, ULB Institutional Repository (1992) (1992)
64. On the lack of invariance of some asymptotic tests to rescaling
    Economics Letters, 1992, 38, (3), 251-257 View citations (7)

1991

65. Invariance, Nonlinear Models, and Asymptotic Tests
    Econometrica, 1991, 59, (6), 1601-15 View citations (38)
    See also Working Paper Invariance, Nonlinear Models and Asymptotic Tests, Cahiers de recherche (1987) View citations (3) (1987)
66. Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
    Journal of Econometrics, 1991, 47, (1), 115-143 View citations (76)
67. Over-rejections in rational expectations models: A non-parametric approach to the Mankiw-Shapiro problem
    Economics Letters, 1991, 35, (3), 285-290 View citations (17)
    See also Working Paper Over-Rejections in Rational Expectations Models: A Nonparametric Approach to the Mankiw-Shapiro Problem, Cahiers de recherche (1991) View citations (17) (1991)

1990

68. Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors
    Econometrica, 1990, 58, (2), 475-94 View citations (71)
    See also Working Paper Exact tests and confidence sets in linear regressions with autocorrelated errors, LIDAM Discussion Papers CORE (1986) View citations (2) (1986)

1989

69. Nonlinear Hypotheses, Inequality Restrictions, and Non-nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
    Econometrica, 1989, 57, (2), 335-55 View citations (60)
    See also Working Paper Nonlinear hypotheses, inequality restrictions and non-nested hypotheses: Exact simultaneous tests in linear regressions, LIDAM Discussion Papers CORE (1986) (1986)

1988

70. Estimators of the disturbance variance in econometric models: Small-sample bias and the existence of moments
    Journal of Econometrics, 1988, 37, (2), 277-292 View citations (1)

1987

71. Tests non paramétriques optimaux pour le modéle autorégressif d'ordre un
    Annals of Economics and Statistics, 1987, (6-7), 411-434 View citations (1)

1986

72. Une evaluation economique du financement public des exportations. (With English summary.)
    Canadian Public Policy, 1986, 12, (4), 584-595

1985

73. Corrigendum [A Warning on the Use of the Cochrane-Orcutt Procedure Based on a Money Demand Equation]
    Empirical Economics, 1985, 10, (4), 275
74. Durbin-Watson tests for serial correlation in regressions with missing observations
    Journal of Econometrics, 1985, 27, (3), 371-381 View citations (6)
    See also Working Paper Durbin-Watson Tests for Serial Correlation in Regressions with Missing Observations, Cahiers de recherche (1983) (1983)
75. Mesure et incidence des dépenses fiscales au Québec
    L'Actualité Economique, 1985, 61, (1), 93-111
    See also Working Paper Mesure et Incidence des Depenses Fiscales au Quebec, Cahiers de recherche (1985) (1985)
76. Some robust exact results on sample autocorrelations and tests of randomness
    Journal of Econometrics, 1985, 29, (3), 257-273 View citations (23)
    See also Working Paper Some Robust Exact Results on Sample Autocorrelations and Tests of Randomness, Cahiers de recherche (1984) (1984)
77. Unbiasedness of Predictions from Etimated Vector Autoregressions
    Econometric Theory, 1985, 1, (3), 387-402 View citations (3)
    See also Working Paper Unbiasedness of Predictions From Estimated Vector Autoregressions, Cahiers de recherche (1983) View citations (1) (1983)

1984

78. Unbiasedness of Predictions from Estimated Autoregressions When the True Order Is Unknown
    Econometrica, 1984, 52, (1), 209-15 View citations (5)

1983

79. A Warning on the Use of the Cochrane-Orcutt Procedure Based on a Money Demand Equation
    Empirical Economics, 1983, 8, (2), 111-17

1982

80. Generalized Chow Tests for Structural Change: A Coordinate-Free Approach
    International Economic Review, 1982, 23, (3), 565-75 View citations (32)
    See also Working Paper Generalized Chow Tests for Structural Change: a Coordinate-Free Approach, Cahiers de recherche (1981) (1981)
81. Recursive stability analysis of linear regression relationships: An exploratory methodology
    Journal of Econometrics, 1982, 19, (1), 31-76 View citations (42)

1981

82. Variables binaires et tests prédictifs contre les changements structurels
    L'Actualité Economique, 1981, 57, (3), 376-386

1980

83. Dummy variables and predictive tests for structural change
    Economics Letters, 1980, 6, (3), 241-247 View citations (22)
84. The Cochrane-Orcutt procedure numerical examples of multiple admissible minima
    Economics Letters, 1980, 6, (1), 43-48 View citations (3)
    See also Working Paper The Cochrane-Orcutt Procedure: Numerical Examples of Multiple Admissible Minima, Cahiers de recherche (1980) View citations (4) (1980)

1978

85. Fonctions de production dans l’économie du Québec
    L'Actualité Economique, 1978, 54, (2), 176-206 View citations (1)
    See also Working Paper Fonctions de Production Dans L'economie du Quebec, Cahiers de recherche (1978) (1978)

1976

86. On spectral estimation for a homogeneous random process on the circle
    Stochastic Processes and their Applications, 1976, 4, (2), 107-120 View citations (1)