Simulation-Based Finite and Large Sample Tests in Multivariate Regressions

By Jean-Marie Dufour, Lynda Khalaf. 2002

107 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/13f6e12fd6077245043c92a02022bd02b240962a

How researchers see this paper

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In Statistics and Probability

1. Marie-Claude Beaulieu
2. Jean-Marie Dufour
3. Lynda Khalaf

Citations in the corpus

• Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors (2007, methodology): “…efficiency tests, it is noteworthy that the proposed methodology applies to several interesting asset pricing tests, including problems in which Hotelling’s test (exploited by GRS and MacKinlay 1987) and Rao’s F test (see Stewart 1997; Dufour and Khalaf 2002b, the app.) have been used.”