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Dufour, Jean-Marie

Overview
Works: 173 works in 520 publications in 2 languages and 1,327 library holdings
Genres: Bibliography 
Roles: Author, Editor
Classifications: HB139, 330.015195
Publication Timeline
Key
Publications about Jean-Marie Dufour
Publications by Jean-Marie Dufour
Most widely held works by Jean-Marie Dufour
New developments in time series econometrics by Jean-Marie Dufour( Book )
10 editions published between 1993 and 2014 in English and Undetermined and held by 111 libraries worldwide
This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area
Government assistance to export financing by André Raynauld( Book )
9 editions published between 1983 and 1984 in English and held by 93 libraries worldwide
Inflation dynamics and the New Keynesian Phillips curve : an identification-robust econometric analysis by Jean-Marie Dufour( Book )
9 editions published in 2005 in English and held by 62 libraries worldwide
The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation. They focus on Galí and Gertler's (1999) specification, for both U.S. and Canadian data. Two variants of the model are studied: one based on a rational-expectations assumption, and a modification to the latter that uses survey data on inflation expectations. The results based on these two specifications exhibit sharp differences concerning: (i) identification difficulties, (ii) backward-looking behaviour, and (iii) the frequency of price adjustment. Overall, the authors find that there is some support for the hybrid NKPC for the United States, whereas the model is not suited to Canada. Their findings underscore the need for employing identification-robust inference methods in the estimation of expectations-based dynamic macroeconomic relations
Short-run and long-run causality between monetary policy variables and stock prices by Jean-Marie Dufour( Book )
5 editions published in 2006 in English and held by 61 libraries worldwide
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynamics of asset prices can provide key insights -- in terms of information -- for the conduct of monetary policy, since asset prices constitute a class of potentially leading indicators of either economic activity or inflation
An annotated bibliography of Canadian public finance (revenue side) 1946-1979 : a first round by Christian Beauregard( Book )
6 editions published between 1979 and 1980 in English and held by 42 libraries worldwide
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach by Marie-Claude Beaulieu( Book )
8 editions published between 2002 and 2003 in English and held by 39 libraries worldwide
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gibbons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)] most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken's mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors
Exact tests and confidence sets for the tail coefficient of [alpha]-stable [alpha-stable] distributions by Jean-Marie Dufour( Book )
5 editions published in 2003 in English and held by 34 libraries worldwide
In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of [alpha]-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution can be far different from that of asymptotic samples on which the level of confidence interval for estimates is usually based. Statistical theory for the MC method is given. A simulation study compares the efficiency of our estimate with the Hill estimate (Hill, 1975). Construction of significance level based on the MC method is exploited and the corresponding power function is also studied. An empirical application demonstrates an easy implementation of our estimation and test procedure. It turns out that our estimate can improve the efficiency of any estimator for a in terms of mean square error
L'aide publique au financement des exportations by André Raynauld( Book )
4 editions published between 1983 and 1984 in French and held by 20 libraries worldwide
Le financement public des exportations au Canada : une évaluation économique de la SEE by Jean-Marie Dufour( Book )
6 editions published between 1985 and 1986 in French and held by 19 libraries worldwide
Etude statistique et comparée sur le suicide à la Morgue de Genève (1er janvier 1880-31 décembre 1900) by Jean-Marie Dufour( Book )
6 editions published in 1903 in French and held by 16 libraries worldwide
Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes by Jean-Marie Dufour( Book )
10 editions published between 1999 and 2000 in English and held by 15 libraries worldwide
Finite sample inference methods for simultaneous equations and models with unobserved and generated regressors by Jean-Marie Dufour( Book )
10 editions published between 1997 and 2000 in English and French and held by 13 libraries worldwide
Exact nonparametric orthogonality and random walk tests by Bryan Campbell( Book )
4 editions published in 1993 in English and French and held by 12 libraries worldwide
Confidence regions for calibrated parameters in computable general equilibrium models by Touhami Abdelkhalek( Book )
9 editions published between 1997 and 2000 in English and French and held by 12 libraries worldwide
Exact tests in single equation autoregressive distributed lag models by J. F Kiviet( Book )
8 editions published in 1995 in English and French and held by 11 libraries worldwide
Logique et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie by Jean-Marie Dufour( Book )
6 editions published in 2001 in French and held by 9 libraries worldwide
Structural multi-equation macroeconomic models : identification-robust estimation and fit by Jean-Marie Dufour( file )
4 editions published in 2009 in English and held by 2 libraries worldwide
Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable. While the extensive econometric literature now includes a number of identification-robust methods that are valid regardless of the identification status of models, these are mostly limited-information-based approaches, and applications have accordingly been made on single-equation models such as the New Keynesian Phillips Curve. In this paper, we develop a set of identification-robust econometric tools that, regardless of the model's identification status, are useful for estimating and assessing the fit of a system of structural equations. In particular, we propose a vector auto-regression (VAR) based estimation and testing procedure that relies on inverting identification-robust multivariate statistics. The procedure is valid in the presence of endogeneity, structural constraints, identification difficulties, or any combination of these, and also provides summary measures of fit. Furthermore, it has the additional desirable features that it is robust to missing instruments, errors-in-variables, the specification of the data generating process, and the presence of contemporaneous correlation in the disturbances. We apply our methodology, using U.S. data, to the standard New Keynesian model such as the one studied in Clarida, Gali, and Gertler (1999). We find that, despite the presence of identification difficulties, our proposed method is able to shed some light on the fit of the considered model and, particularly, on the nature of the NKPC. Notably our results show that (i) confidence intervals obtained using our system-based approach are generally tighter than their single-equation counterparts, and thus are more informative, (ii) most model coefficients are significant at conventional levels, and (iii) the NKPC is preponderantly forward-looking, though not purely so. -- Inflation and prices ; Econometric and statistical methods
Structural inflation models with real wage rigidities : the case of Canada by Jean-Marie Dufour( file )
4 editions published in 2009 in English and held by 2 libraries worldwide
Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two recent illustrative structural models, we evaluate empirically the importance of real wage rigidities in the data and the extent to which such models provide useful information regarding price stickiness. Structural estimation and testing is carried out using Canadian data and identification-robust methods. Results based on one of the models are relatively uninformative. Our tests reveal important identification difficulties and considerable estimate uncertainty, as can be seen from the wide projections for the estimates. However, we obtain economically reasonable ranges for estimates of average frequency of price changes and some evidence for rigidity in real wages (as measured by a rigidity index) based on the other model we examine. In addition, our specification for the latter model yields significant [at usual levels] and correctly-signed reduced-form coefficient estimates, showing a trade-off between unemployment and inflation in the New Keynesian Phillips curve. From a methodological perspective, these results derive from our treatment of the productivity term as observable although with error, which seems to capture vital information and improve overall identification. From a substantive perspective, our findings suggest that wage-rigidity based New Keynesian Phillips Curves hold promise empirically and provide interesting research directions. -- Inflation and prices ; Labour markets ; Econometric and statistical methods
Assessing indexation-based Calvo inflation models by Jean-Marie Dufour( Computer File )
4 editions published in 2009 in English and held by 1 library worldwide
Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized structural Calvo-type models. The models allow for different forms of frictions and vary in their assumptions regarding the type of price indexation adopted by firms. Point and confidence-set parameter estimates are obtained based on the inversion of identification-robust test statistics. Focus is maintained on the structural aspect of the model with formal imposition of the restrictions that map the theoretical model into the econometric one. The results show that there is some statistical merit to using indexationbased Calvo-type models for inflation. However, some identification difficulties are also uncovered with considerable uncertainty associated with estimated parameter values. In particular, we find that implausibly-high frequency of price re-optimization values cannot be ruled out from our identification-robust confidence sets. -- Inflation and prices ; Econometric and statistical methods
Short-run and long-run causality between monetary policy variables and stock prices by Jean-Marie Dufour( Computer File )
3 editions published in 2006 in English and held by 0 libraries worldwide
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynamics of asset prices can provide key insights - in terms of information - for the conduct of monetary policy, since asset prices constitute a class of potentially leading indicators of either economic activity or inflation. This is of particular interest in the context of an inflation-targeting regime, where the monetary policy stance is set according to inflation forecasts. While most empirical studies on causality have examined this issue using Granger's (1969) original definition, the authors examine the causality relations through the generalization proposed in Dufour and Renault (1998). For the United States, the authors find no support for stock returns as a leading indicator of the macroeconomic variables considered, or for stock returns being influenced by those macroeconomic variables, except for one case: fluctuations in M1 tend to anticipate fluctuations in stock returns. Furthermore, the authors' empirical methodology allows them to infer that monetary aggregates may have significant predictive power for income and prices at longer horizons. It is therefore incorrect to dismiss the importance of monetary aggregates based on the usual Granger causality criteria. The causality pattern inferred by the authors' procedure is consistent with the Phillips curve (for the inflation dynamics) and with the Taylor rule in the case of the interest rate. For Canada, the results are much different. The authors show that there is a potential role for asset prices as a predictor of some important macroeconomic variables, namely interest rates, inflation, and output at policy-relevant horizons. Furthermore, some measures of monetary aggregates tend to dominate the interest rate as robust causal variables for output growth and inflation. However, the authors do not find strong evidence in favour of the Phillips curve and the Taylor rule. Finally, for both Canada and the United States, the authors show that seasonal adjustments can highly distort the inferred causality structure
 
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Alternative Names
Dufour, J.-M.
Dufour, J.-M. (Jean-Marie)
Jean-Marie Dufour Canadees econoom
Jean-Marie Dufour Canadian economist
Jean-Marie Dufour canadisk økonom
Jean-Marie Dufour kanadensisk ekonom
Jean-Marie Dufour kanadischer Wirtschaftswissenschaftler
Jean-Marie Dufour kanadisk økonom
Languages
English (103)
French (26)
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