6 citations · 6 across the 4 of their papers we have counts for
4 papers
A technical note on divergence of the Wald statistic
Jean-Marie Dufour, Eric Renault, Victoria Zinde-Walsh
The Wald test statistic has been shown to diverge (Dufour et al, 2013, 2017) under some conditions. This note links the divergence to eigenvalues of a polynomial matrix and establi…
Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
Firmin Doko Tchatoka, Jean-Marie Dufour
We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We co…
Identification-robust moment-based tests for Markov-switching in autoregressive models
Jean-Marie Dufour, Richard Luger
This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the ident…
Wald tests when restrictions are locally singular
Jean-Marie Dufour, Eric Renault, Victoria Zinde-Walsh
Wald-type tests are convenient because they allow one to test a wide array of linear and nonlinear restrictions from a single unrestricted estimator; we focus on the problem of imp…