Chapter 23
Monte Carlo Test Methods in Econometrics
Summary
This chapter contains section titled:
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INTRODUCTION
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STATISTICAL ISSUES: A PRACTICAL APPROACH TO CORE QUESTIONS
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THE MONTE CARLO TEST TECHNIQUE: AN EXACT RANDOMIZED TEST PROCEDURE
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MONTE CARLO TESTS: ECONOMETRIC APPLICATIONS
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CONCLUSION
Citing Literature
Number of times cited according to CrossRef: 9
- Sermin Gungor, Richard Luger, Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects, SSRN Electronic Journal, 10.2139/ssrn.3044757, (2017).
- Sermin Gungor, Richard Luger, Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns, SSRN Electronic Journal, 10.2139/ssrn.3044765, (2017).
- Jean-Marie Dufour, Richard Luger, Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models, SSRN Electronic Journal, 10.2139/ssrn.3149111, (2017).
- Jean-Marie Dufour, Richard Luger, Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models, SSRN Electronic Journal, 10.2139/ssrn.2891810, (2016).
- Jean-Thomas Bernard, Nadhem Idoudi, Lynda Khalaf, Clément Yélou, Finite sample multivariate structural change tests with application to energy demand models, Journal of Econometrics, 10.1016/j.jeconom.2007.02.004, 141, 2, (1219-1244), (2007).
- Jen-Wen Lin, A.Ian McLeod, Improved Peňa–Rodriguez portmanteau test, Computational Statistics & Data Analysis, 10.1016/j.csda.2006.06.010, 51, 3, (1731-1738), (2006).
- JAMES G. MacKINNON, Bootstrap Methods in Econometrics*, Economic Record, 10.1111/j.1475-4932.2006.00328.x, 82, (S2-S18), (2006).
- G. Forchini, Similar tests for covariance structures in multivariate linear models, Journal of Multivariate Analysis, 10.1016/j.jmva.2004.04.001, 93, 2, (223-237), (2005).
- Jean-Marie Dufour, Lynda Khalaf, Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions, Journal of Econometrics, 10.1016/S0304-4076(01)00093-8, 106, 1, (143-170), (2002).
