Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics

Abstract

Montréal

Dependence structure and extreme comovements in international equity and bond markets

“…18 One can notice that our asymmetric copula specification implies some restrictions in the dependence structure. For three different couples from different components of this copula, the sum of their TDC is lower than one.…”

“…20 18 The Longin and Solnik (2001) result implies that lower tails are dependent while upper tails are independent. Hence, the Gumbel survival copula is designed to model this feature since it has this tail dependence structure.…”

Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form

“…In view of the above characterization of the distribution of SL n (β 1 ), its distribution can be simulated under the null hypothesis and the relevant critical values can be evaluated to any degree of precision with a sufficient number of replications. It is also possible to run exact Monte Carlo tests (corrected for the discrete nature of the test statistic) as described in Dufour (2006).…”

L’économétrie et l’évidence fallacieuse : erreurs et avancées

“…En particulier, la méthode des tests de Monte Carlo (MC) (Dufour, 2006) permet d'obtenir, par des simulations, la distribution sous l'hypothèse nulle des statistiques à l'étude tout en tenant compte des relations conjointes sous-jacentes sans se contraindre aux lois normales. Sur base de cette méthode, plusieurs résultats publiés par sont négatifs vis-à-vis les conceptions classiques et les idées reçues.…”