Loading...

← Back to Leaderboard

Jean-Marie Dufour

Institution: McGill University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.jeanmariedufour.com

First Publication: 1980

Most Recent: 2016

RePEc ID: pdu24 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 0.00 0.00 0.00 0.00 -
Last 10 Years 0.00 0.00 0.00 0.34 0.34 5%
All Time 2.69 58.19 5.55 4.04 70.47 99%

Publication Statistics

Raw Publications 44
Coauthorship-Adjusted Count 43.42

Publications (44)

Year Article Journal Tier Authors
2016 Exchange rates and commodity prices: Measuring causality at multiple horizons Journal of Empirical Finance C 3
2014 Exact confidence sets and goodness-of-fit methods for stable distributions Journal of Econometrics A 3
2013 Identification-robust analysis of DSGE and structural macroeconomic models Journal of Monetary Economics A 3
2013 Identification-Robust Estimation and Testing of the Zero-Beta CAPM Review of Economic Studies S 3
2013 Factor-Augmented VARMA Models With Macroeconomic Applications Journal of Business & Economic Statistics A 2
2012 An identification‐robust test for time‐varying parameters in the dynamics of energy prices Journal of Applied Econometrics B 4
2010 Short and long run causality measures: Theory and inference Journal of Econometrics A 2
2010 On the precision of Calvo parameter estimates in structural NKPC models Journal of Economic Dynamics and Control B 3
2010 Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions Journal of Empirical Finance C 3
2010 Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions Journal of Empirical Finance C 2
2010 Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance: A volume honoring Benoît B. Mandelbrot Journal of Empirical Finance C 3
2009 Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models Journal of Econometrics A 2
2007 Further results on projection-based inference in IV regressions with weak, collinear or missing instruments Journal of Econometrics A 2
2006 Resampling methods in econometrics Journal of Econometrics A 2
2006 Short run and long run causality in time series: inference Journal of Econometrics A 3
2006 Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis Journal of Economic Dynamics and Control B 3
2006 Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics Journal of Econometrics A 1
2006 Finite-sample simulation-based inference in VAR models with application to Granger causality testing Journal of Econometrics A 2
2006 Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series Journal of Econometrics A 3
2004 Simulation-based finite-sample tests for heteroskedasticity and ARCH effects Journal of Econometrics A 4
2003 Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models* Oxford Bulletin of Economics and Statistics B 3
2002 Simulation based finite and large sample tests in multivariate regressions Journal of Econometrics A 2
2002 Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions Journal of Econometrics A 2
2000 Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes Journal of Econometrics A 2
1998 Statistical Inference For Computable General Equilibrium Models, With Application To A Model Of The Moroccan Economy Review of Economics and Statistics A 2
1997 Exact tests in single equation autoregressive distributed lag models Journal of Econometrics A 2
1996 Exact tests for structural change in first-order dynamic models Journal of Econometrics A 2
1996 Editors' introduction recent developments in the econometrics of structural change Journal of Econometrics A 2
1995 Exact Nonparametric Orthogonality and Random Walk Tests. Review of Economics and Statistics A 2
1994 Pitfalls of Rescaling Regression Modes with Box-Cox Transformations. Review of Economics and Statistics A 2
1994 Simplified conditions for noncausality between vectors in multivariate ARMA models Journal of Econometrics A 3
1993 The importance of seasonality in inventory models Journal of Econometrics A 1
1993 On the relationship between impulse response analysis, innovation accounting and Granger causality Economics Letters C 2
1992 On the lack of invariance of some asymptotic tests to rescaling Economics Letters C 2
1992 Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications Econometric Theory B 2
1991 Over-rejections in rational expectations models : A non-parametric approach to the Mankiw-Shapiro problem Economics Letters C 2
1991 Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors Journal of Econometrics A 2
1988 Estimators of the disturbance variance in econometric models : Small-sample bias and the existence of moments Journal of Econometrics A 1
1985 Some robust exact results on sample autocorrelations and tests of randomness Journal of Econometrics A 2
1985 Durbin-Watson tests for serial correlation in regressions with missing observations Journal of Econometrics A 2
1985 Unbiasedness of Predictions from Etimated Vector Autoregressions Econometric Theory B 1
1982 Recursive stability analysis of linear regression relationships: An exploratory methodology Journal of Econometrics A 1
1980 The Cochrane-Orcutt procedure numerical examples of multiple admissible minima Economics Letters C 3
1980 Dummy variables and predictive tests for structural change Economics Letters C 1