Jean‐Marie Dufour
Biographic Data
| ID | 6472161 |
|---|---|
| NAME | Jean‐Marie Dufour |
| GIVEN NAMES | Jean‐Marie |
| FAMILY NAME | Dufour |
| SIGNATURE | DUFOUR J M |
| AFFILIATIONS | McGill University |
| ORCID | 0000-0002-7731-2278 |
| VERIFIED | Yes |
| TOTAL WORKS | 10 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 10 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1986 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 0 |
Identification-robust methods for comparing inequality with an application to regional disparities
We propose Fieller-type methods for inference on generalized entropy inequality indices in the context of the two-sample problem which covers testing the statistical significance of the difference in indices, and the construction of a confidence set for this difference. In addition to irregularities arising from thick distributional tails, standard inference procedures are prone to identification problems because of the ratio transformation that …
Practical Methods for Modeling Weak Varma Processes
We consider the problem of developing practical methods for modelling weak VARMA processes. We first propose new identified VARMA representations, the diagonal MA equation form and the final MA equation form, where the MA operator is either diagonal or scalar. Both these representations have the important feature that they constitute relatively simple modifications of a VAR model (in contrast with the echelon representation). Second, for estimati…
Confidence Sets for Inequality Measures
Permutation Tests for Comparing Inequality Measures
Asymptotic and bootstrap tests for inequality measures are known to perform poorly in finite samples when the underlying distribution is heavy-tailed. We propose Monte Carlo permutation and bootstrap methods for the problem of testing the equality of inequality measures between two samples. Results cover the Generalized Entropy class, which includes Theil’s index, the Atkinson class of indices, and the Gini index. We analyze finite-sample and asy…
Factor-Augmented Varma Models With Macroeconomic Applications
We study the relationship between vector autoregressive moving-average (VARMA) and factor representations of a vector stochastic process. We observe that, in general, vector time series and factors cannot both follow finite-order VAR models. Instead, a VAR factor dynamics induces a VARMA process, while a VAR process entails VARMA factors. We propose to combine factor and VARMA modeling by using factor-augmented VARMA (FAVARMA) models. This approa…
Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors
We develop exact mean–variance efficiency tests of the market portfolio in the context of (conditional and unconditional) capital asset pricing models (CAPM), allowing for a wide class of possibly non-Gaussian error distributions. The proposed procedures are applicable in a general multivariate linear regression framework, and exactness is achieved through Monte Carlo test techniques. We also perform exact multivariate diagnostic checks. Empirica…
Statistical Inference for Computable General Equilibrium Models, with Application to A Model of the Moroccan Economy
We study the problem of measuring the uncertainty of computable general equilibrium (CGE) (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first uses a standard Wald-type statistic. The second approach assumes that a confidence set (sampling or Baycsian) is available for the free parameters, from which confidence sets are derived by a …
Exact Nonparametric Orthogonality and Random Walk Tests
The hypothesis that a variable is independent of past information, such as its own past and past realizations of other observable variables, is a frequent implication of economic theory. Yet standard regression-based tests of orthogonality may not have the correct level if there is feedback from innovations to future values of the regressors. In this paper we develop nonparametric tests of orthogonality based on signs and signed ranks which are p…
Pitfalls of Rescaling Regression Models with Box-Cox Transformations
To facilitate maximum likelihood estimation for Box-Cox models, several authors have suggested dividing the dependent variable by its sample geometric mean. This paper points out previously unmentioned drawbacks of this 'recalling.' First, the 'resealed' model is not actually equivalent to the untransformed one, so that the procedure involves more than a unit change. Second, there is no clear interpretation of the parameters after such resealing.…
Une evaluation economique du financement public des exportations
No prominent works on this page.
Une evaluation economique du financement public des exportations
Pitfalls of Rescaling Regression Models with Box-Cox Transformations
To facilitate maximum likelihood estimation for Box-Cox models, several authors have suggested dividing the dependent variable by its sample geometric mean. This paper points out previously unmentioned drawbacks of this 'recalling.' First, the 'resealed' model is not actually equivalent to the untransformed one, so that the procedure involves more than a unit change. Second, there is no clear interpretation of the parameters after such resealing.…
Exact Nonparametric Orthogonality and Random Walk Tests
The hypothesis that a variable is independent of past information, such as its own past and past realizations of other observable variables, is a frequent implication of economic theory. Yet standard regression-based tests of orthogonality may not have the correct level if there is feedback from innovations to future values of the regressors. In this paper we develop nonparametric tests of orthogonality based on signs and signed ranks which are p…
Statistical Inference for Computable General Equilibrium Models, with Application to A Model of the Moroccan Economy
We study the problem of measuring the uncertainty of computable general equilibrium (CGE) (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first uses a standard Wald-type statistic. The second approach assumes that a confidence set (sampling or Baycsian) is available for the free parameters, from which confidence sets are derived by a …
Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors
We develop exact mean–variance efficiency tests of the market portfolio in the context of (conditional and unconditional) capital asset pricing models (CAPM), allowing for a wide class of possibly non-Gaussian error distributions. The proposed procedures are applicable in a general multivariate linear regression framework, and exactness is achieved through Monte Carlo test techniques. We also perform exact multivariate diagnostic checks. Empirica…
Factor-Augmented Varma Models With Macroeconomic Applications
We study the relationship between vector autoregressive moving-average (VARMA) and factor representations of a vector stochastic process. We observe that, in general, vector time series and factors cannot both follow finite-order VAR models. Instead, a VAR factor dynamics induces a VARMA process, while a VAR process entails VARMA factors. We propose to combine factor and VARMA modeling by using factor-augmented VARMA (FAVARMA) models. This approa…
Permutation Tests for Comparing Inequality Measures
Asymptotic and bootstrap tests for inequality measures are known to perform poorly in finite samples when the underlying distribution is heavy-tailed. We propose Monte Carlo permutation and bootstrap methods for the problem of testing the equality of inequality measures between two samples. Results cover the Generalized Entropy class, which includes Theil’s index, the Atkinson class of indices, and the Gini index. We analyze finite-sample and asy…
Confidence Sets for Inequality Measures
Practical Methods for Modeling Weak Varma Processes
We consider the problem of developing practical methods for modelling weak VARMA processes. We first propose new identified VARMA representations, the diagonal MA equation form and the final MA equation form, where the MA operator is either diagonal or scalar. Both these representations have the important feature that they constitute relatively simple modifications of a VAR model (in contrast with the echelon representation). Second, for estimati…
Identification-robust methods for comparing inequality with an application to regional disparities
We propose Fieller-type methods for inference on generalized entropy inequality indices in the context of the two-sample problem which covers testing the statistical significance of the difference in indices, and the construction of a confidence set for this difference. In addition to irregularities arising from thick distributional tails, standard inference procedures are prone to identification problems because of the ratio transformation that …
Mathematics (9 works) · Statistics (9 works) · Econometrics (8 works) · Monetary Policy and Economic Impact (7 works) · Computer Science (6 works) · Applied Mathematics (5 works) · Artificial Intelligence (5 works) · Economic theories and models (4 works) · Estimator (3 works) · Inference (3 works)