Página 1 dos resultados de 10 itens digitais encontrados em 0.031 segundos

Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors

DUFOUR, Jean-Marie; JASIAK, Joanna
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 242575 bytes; application/pdf
Português
Relevância na Pesquisa
47.930117%
We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by the presence of identification problems or \"weak instruments\", so no detection of such problems is required. We study two distinct approaches for various models considered by Pagan (1984). The first one is an instrument substitution method which generalizes an approach proposed by Anderson and Rubin (1949) and Fuller (1987) for different (although related) problems, while the second one is based on splitting the sample. The instrument substitution method uses the instruments directly, instead of generated regressors, in order to test hypotheses about the \"structural parameters\" of interest and build confidence sets. The second approach relies on \"generated regressors\", which allows a gain in degrees of freedom, and a sample split technique. For inference about general possibly nonlinear transformations of model parameters, projection techniques are proposed. A distributional theory is obtained under the assumptions of Gaussian errors and strictly exogenous regressors. We show that the various tests and confidence sets proposed are (locally) \"asymptotically valid\" under much weaker assumptions. The properties of the tests proposed are examined in simulation experiments. In general...

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 400691 bytes; application/pdf
Português
Relevância na Pesquisa
59.316304%
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods...

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 219916 bytes; application/pdf
Português
Relevância na Pesquisa
58.145635%
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates...

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 225374 bytes; application/pdf
Português
Relevância na Pesquisa
58.788315%
We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.; Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés...

Simulation-Based Finite and Large Sample Tests in Multivariate Regressions.

DUFOUR, Jean-Marie; KHALAF, Lynda
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 762828 bytes; application/pdf
Português
Relevância na Pesquisa
58.15577%
In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of possibly nonlinear hypotheses on the coefficients of MLR systems. For the case of uniform linear hypotheses, we present exact distributional invariance results concerning several standard test criteria. These include Wilks' likelihood ratio (LR) criterion as well as trace and maximum root criteria. The normality assumption is not necessary for most of the results to hold. Implications for inference are two-fold. First, invariance to nuisance parameters entails that the technique of Monte Carlo tests can be applied on all these statistics to obtain exact tests of uniform linear hypotheses. Second, the invariance property of the latter statistic is exploited to derive general nuisance-parameter-free bounds on the distribution of the LR statistic for arbitrary hypotheses. Even though it may be difficult to compute these bounds analytically, they can easily be simulated, hence yielding exact bounds Monte Carlo tests. Illustrative simulation experiments show that the bounds are sufficiently tight to provide conclusive results with a high probability. Our findings illustrate the value of the bounds as a tool to be used in conjunction with more traditional simulation-based test methods (e.g....

Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression

DUFOUR, Jean-Marie; FARHAT, Abdeljelil; KHALAF, Lynda
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 209341 bytes; application/pdf
Português
Relevância na Pesquisa
89.06451%
Cet article illustre l’applicabilité des méthodes de rééchantillonnage dans le cadre des tests multiples (simultanés), pour divers problèmes économétriques. Les hypothèses simultanées sont une conséquence habituelle de la théorie économique, de sorte que le contrôle de la probabilité de rejet de combinaisons de tests est un problème que l’on rencontre fréquemment dans divers contextes économétriques et statistiques. À ce sujet, on sait que le fait d’ignorer le caractère conjoint des hypothèses multiples peut faire en sorte que le niveau de la procédure globale dépasse considérablement le niveau désiré. Alors que la plupart des méthodes d’inférence multiple sont conservatrices en présence de statistiques non-indépendantes, les tests que nous proposons visent à contrôler exactement le niveau de signification. Pour ce faire, nous considérons des critères de test combinés proposés initialement pour des statistiques indépendantes. En appliquant la méthode des tests de Monte Carlo, nous montrons comment ces méthodes de combinaison de tests peuvent s’appliquer à de tels cas, sans recours à des approximations asymptotiques. Après avoir passé en revue les résultats antérieurs sur ce sujet...

Parenting styles and adjustment in gifted children

Pilarinos, Vassiliki
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
37.827532%
Cette recherche porte sur la problématique du développement psychosocial des enfants doués. Bien qu’il existe des travaux qui indiquent que les enfants doués souffrent plus souvent de problèmes d’adaptation que les autres, comme l’isolement social, la dépression, l’anxiété et une faible estime de soi, la littérature de recherche considère peu l’environnement familial des enfants doués comme étant un facteur qui puisse contribuer au niveau d’adaptation de l’enfant. La présente recherche a eu donc pour objectif de déterminer si les styles parentaux, tels que définis par Baumrind, sont associés à l’adaptation des enfants doués. Les styles parentaux des parents ont été mesurés à l'aide d'un questionnaire auto-rapporté. Le niveau d’adaptation d’un groupe d’enfants doués, âgés de 7 à 11 ans, a été évalué à l’aide de mesures de comportement et de concept de soi. La douance a été mesurée avec un test d’intelligence standardisé. Quarante-huit enfants doués et 52 enfants du groupe contrôle ont participé à l'étude. Les résultats ont démontré que les parents des enfants doués utilisent majoritairement un style parental démocratique. Les mères ont rapporté être significativement plus démocratiques que les pères. Les parents ont identifié un sous-groupe d'enfants doués ayant des problèmes sociaux avec leurs pairs...

Tests d'indépendance en analyse multivariée et tests de normalité dans les modèles ARMA

Lafaye de Micheaux, Pierre
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
67.77942%
Thèse diffusée initialement dans le cadre d'un projet pilote des Presses de l'Université de Montréal/Centre d'édition numérique UdeM (1997-2008) avec l'autorisation de l'auteur.

Relação da economia de corrida e da eficiência mecânica com o desempenho de corredores de rendimento usando modelos alométricos; Relation de l’économie de course et l’efficience mécanique sur la performance des athlètes de longues distances utilisant des modèles allométriques

Tartaruga, Marcus Peikriswili
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Tese de Doutorado Formato: application/pdf
Português
Relevância na Pesquisa
38.132053%
O objetivo do presente estudo foi analisar as relações da economia de corrida (ECO) e da eficiência mecânica (Ef) com o desempenho de corredores de rendimento, utilizando modelos alométricos. No estudo original 1, 13 corredores recreacionistas (homens; idade: 33,3 ± 8,4 anos; massa corporal: 76,4 ± 8,6 kg; consumo máximo de oxigênio - VO2máx: 52,8 ± 4,6 mrkg - 1•min-1) e 13 corredores de alto-rendimento (homens; idade: 25,5 ± 4,2 anos; massa corporal: 62,8 ± 2,7 kg; VO2máx: 70,4 ± 1,9 ml*kg-t rnin -1), todos praticantes de provas de meio-fundo, realizaram um teste máximo de esforço progressivo, até a exaustão, com o intuito de determinar o valor de VO2máx, e um teste de ECO com duração de 6-min à 70% do VO2máx para a mensuração do consumo submáximo de oxigênio (VO2submáx), com e sem a aplicação de um expoente alométrico (b) específico correspondente a 0,75, determinado através da relação alométrica y = axb, onde y corresponde à taxa metabólica máxima, a ao coeficiente alométrico, e x à massa corporal. Todos os corredores, também, participaram de uma prova de meiadistância em uma pista de atletismo. Neste estudo, investigou-se o efeito da escala alométrica na relação entre ECO e desempenho em prova de meia-distância...

Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie

DUFOUR, Jean-Marie
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 161986 bytes; application/pdf
Português
Relevância na Pesquisa
38.741567%
Dans ce texte, nous analysons les développements récents de l’économétrie à la lumière de la théorie des tests statistiques. Nous revoyons d’abord quelques principes fondamentaux de philosophie des sciences et de théorie statistique, en mettant l’accent sur la parcimonie et la falsifiabilité comme critères d’évaluation des modèles, sur le rôle de la théorie des tests comme formalisation du principe de falsification de modèles probabilistes, ainsi que sur la justification logique des notions de base de la théorie des tests (tel le niveau d’un test). Nous montrons ensuite que certaines des méthodes statistiques et économétriques les plus utilisées sont fondamentalement inappropriées pour les problèmes et modèles considérés, tandis que de nombreuses hypothèses, pour lesquelles des procédures de test sont communément proposées, ne sont en fait pas du tout testables. De telles situations conduisent à des problèmes statistiques mal posés. Nous analysons quelques cas particuliers de tels problèmes : (1) la construction d’intervalles de confiance dans le cadre de modèles structurels qui posent des problèmes d’identification; (2) la construction de tests pour des hypothèses non paramétriques...