Monte Carlo Test Methods in Econometrics

By Jean-Marie Dufour, Lynda Khalaf. 2007

82 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/40e51635725cedebf79f77368a9fff6f0f970a8d

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In Economics and Econometrics

1. A. Ian McLeod
2. Esam Mahdi
3. L. Godfrey

Citations in the corpus

• Bootstrap Methods in Econometrics (2006, unknown): “Other references on Monte Carlo tests include Dwass (1957), in which they were first proposed, Jockel (1986) and Davidson and MacKinnon (2000), both of which discuss power loss, Dufour and Khalaf (2001) , which is a valuable survey, and Dufour et al. (2004), which discusses Monte Carlo tests for he”
• Improved multivariate portmanteau test (2012, methodology): “This type of test is widely used in econometrics ([9], [8])).”
• Bootstrap Tests for Regression Models (2009, methodology): “Simulation evidence on the relative merits of asymptotic, bootstrap and Monte Carlo tests for heteroskedasticity in finite samples can be obtained using the designs of the experiments reported in Dufour et al. (2004). In these experiments, the simulation data generation process, under Hh 0 , can be ”