Jean-Marie Dufour | Academic Influence

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Jean-Marie Dufour

Economics

#2948

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#3349

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Econometrics

#88

World Rank

#91

Historical Rank

economics Degrees

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Economics

Jean-Marie Dufour's Degrees

PhD Economics University of California, San Diego
Masters Economics Université de Montréal
Bachelors Mathematics Université de Montréal

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Why Is Jean-Marie Dufour Influential?

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According to Wikipedia, Jean-Marie Dufour, OC is an econometrician and statistician from Quebec who teaches at McGill University. He has degrees from McGill University, Université de Montréal, and a PhD in economics from the University of Chicago. He also taught at the Université de Montréal. He is noted for his work on econometric methodology.

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Jean-Marie Dufour's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models (1997) (594)
Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard (2006) (274)
Identification, Weak Instruments, and Statistical Inference in Econometrics (2003) (265)
Short-Run and Long-Rub Causality in Time Series: Theory. (1998) (246)
Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments (2005) (198)
Short run and long run causality in time series (2003) (182)
Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis (2005) (155)
Short run and long run causality in time series: Inference (2003) (146)
Finite Sample Limited Information Inference Methods for Structural Equations and Models With Generated Regressors (2001) (145)
Invariance, Nonlinear Models and Asymptotic Tests (1991) (139)
Optimal Invariant Tests for the Autocorrelation Coefficient in Linear Regressions with Stationary and Nonstationary Ar(1) Errors (1989) (132)
Simulation�?Based Finite Sample Normality Tests in Linear Regressions (1998) (120)
Exact tests and confidence sets in linear regressions with autocorrelated errors (1990) (118)
Exact Inference Methods for First-Order Autoregressive Distributed Lag Models (1995) (117)
Recursive stability analysis of linear regression relationships: An exploratory methodology (1982) (115)
Simulation-Based Finite and Large Sample Tests in Multivariate Regressions (2002) (107)
Nonlinear hypotheses, inequality restrictions, and non-nested hypotheses: exact simultaneous tests in linear regressions (1989) (102)
Further results on projection-based inference in IV regressions with weak, collinear or missing instruments ∗ (2007) (97)
Generalized Chow Tests for Structural Change: a Coordinate-Free Approach (1982) (92)
Simulation-based finite-sample tests for heteroskedasticity and ARCH effects (2004) (92)
Testing Causality between Two Vectors in Multivariate Autoregressive Moving Average Models (1992) (89)
Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons (2015) (83)
Monte Carlo Test Methods in Econometrics (2007) (82)
Short and long run causality measures: Theory and inference (2008) (82)
Dummy variables and predictive tests for structural change (1980) (80)
Rank Tests for Serial Dependence (1981) (79)
Exact Nonparametric Orthogonality and Random Walk Tests (1995) (79)
Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions (2000) (78)
Exact Tests Structural Change in First-Order Dynamic Models (1995) (71)
Some Robust Exact Results on Sample Autocorrelations and Tests of Randomness (1985) (70)
Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter (1997) (68)
Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models* (2003) (67)
Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors (2007) (66)
Generalized Portmanteau Statistics and Tests of Randomness (1985) (65)
Statistical Inference for Computable General Equilibrium Models, with Application to A Model of the Moroccan Economy (1998) (63)
Tests of Equality Between Sets of Coefficients in Several Regressions with Explanatory - Variable Matrices of Any Rank (1980) (62)
Generalized Predictive Tests and Structural Change Analysis in Econometrics (1994) (56)
Identification-Robust Estimation and Testing of the Zero-Beta CAPM (2011) (55)
Identification-robust analysis of DSGE and structural macroeconomic models (2013) (50)
Simplified Conditions for Non-Causality Between Vectors in Multivariate Arma Models (1994) (41)
Durbin-Watson Tests for Serial Correlation in Regressions with Missing Observations (1985) (41)
On the relationship between impulse response analysis, innovation accounting and Granger causality (1993) (41)
Testing Causality Between Two Vectors in Multivariate Arma Models (1991) (38)
A regularized goodness-of-fit test for copulas (2013) (34)
Instrument endogeneity and identification-robust tests: Some analytical results (2008) (34)
Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility (2011) (33)
Factor-Augmented VARMA Models With Macroeconomic Applications (2013) (30)
Generalized run tests for heteroscedastic time series (1998) (30)
Finite-Sample Distribution-Free Inference in Linear Median Regressions Under Heteroscedasticity and Non-Linear Dependence of Unknown Form (2009) (30)
Finite-sample simulation-based inference in VAR models with application to Granger causality testing (2006) (29)
Identification�?Robust Inference for Endogeneity Parameters in Linear Structural Models (2014) (29)
Union-Intersection and Sample-Split Methods in Econometrics with Applications to MA and SURE Models ∗ (1998) (29)
Over-rejections in rational expectations models: A non-parametric approach to the Mankiw-Shapiro problem (1991) (27)
Bias of S 2 in Linear Regressions with Dependent Errors (1986) (27)
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors (1998) (26)
Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models (2010) (26)
Editors' introduction recent developments in the econometrics of structural change (1996) (24)
Unbiasedness of Predictions from Etimated Vector Autoregressions (1985) (24)
Finite sample multivariate tests of asset pricing models with coskewness (2009) (24)
Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models (2009) (23)
Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration. (1995) (22)
Nonparametric testing for time series: A bibliography (1982) (22)
Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices (2006) (22)
The Cochrane-Orcutt Procedure: Numerical Examples of Multiple Admissible Minima (1980) (21)
Recursive Stability Analysis of Linear Regression Relationships (1981) (20)
Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions (2001) (20)
Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions (2010) (19)
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions (2005) (19)
Linear Wald Methods for Inference on Covariances and Weak Exogeneity Tests in Structural Equations (1987) (18)
Unbiasedness of Predictions From Estimated Vector Autoregressions (1983) (17)
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application (2021) (17)
On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling (2018) (16)
Nonuniform Bounds for Nonparametric t-Tests (1991) (16)
Unbiasedness of Predictions from Estimated Autoregressions When the True Order Is Unknown (1984) (16)
On the precision of Calvo parameter estimates in structural NKPC models (2010) (16)
Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R (2019) (15)
Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit (2009) (15)
An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices (2011) (15)
Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes (2000) (14)
Exact confidence sets and goodness-of-fit methods for stable distributions (2014) (14)
Asymptotic Distribution of a Simple Linear Estimator for Varma Models in Echelon Form (2005) (14)
Simulation Based Finite- and Large-Sample Inference Methods in Simultaneous Equations (1999) (13)
INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS BY DOUGLAS STAIGER AND JAMES H. STOCK' (2007) (13)
Pitfalls of Rescalling Regression Models with Box-Cox Transformations (1994) (13)
Invariant tests based on M-estimators, estimating functions, and the generalized method of moments (2017) (12)
Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability (2013) (12)
Wald-type tests when rank conditions fail: a smooth regularization approach ⁄ (2011) (12)
Identification-Robust Inequality Analysis (2020) (11)
Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing (2005) (11)
On spectral estimation for a homogeneous random process on the circle (1976) (11)
Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions (2001) (11)
On a Simple Two-Stage Closed-form Estimator for a Stochastic Volatility in a General Linear Regression (2006) (11)
Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form (2010) (11)
Exact Nonparametric Two-Sample Homogeneity Tests (2002) (11)
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors (2017) (11)
Nonlinear models, rescaling and test invariance (1992) (11)
An identification-robust test for time-varying parameters in the dynamics of energy prices: DYNAMICS OF ENERGY PRICES (2012) (10)
Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions (2010) (10)
Measuring causality between volatility and returns with high-frequency data (2008) (10)
Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory (2016) (9)
Asymptotic distributions for quasi-efficient estimators in echelon VARMA models (2014) (9)
Hypothesis tests when rank conditions fail : a smooth regularization approach ∗ (2009) (9)
Permutation Tests for Comparing Inequality Measures (2019) (9)
Identification-robust moment-based tests for Markov switching in autoregressive models (2016) (9)
Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models (2003) (9)
Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach (2002) (8)
Simple exact bounds for distributions of linear signed rank statistics (1992) (8)
Estimators of the disturbance variance in econometric models: small-sample bias and the existence of moments (1988) (8)
New developments in time series econometrics (1994) (8)
Estimation uncertainty in structural inflation models with real wage rigidities (2010) (8)
Wald tests when restrictions are locally singular (2013) (8)
Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference (2020) (8)
A warning on the use of the Cochrane-Orcutt procedure based on a money demand equation (1983) (8)
Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions (1998) (7)
Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models (1998) (7)
RECURSIVE STABILITY ANALYSIS OF LINEAR REGRESSION (1982) (7)
On the lack of invariance of some asymptotic tests to rescaling (1992) (7)
Provincial and Federal Sales Taxes: Evidence of Their Effect and Prospect for Change (1981) (6)
Improved Nonparametric Inference for the Mean of a Bounded Random Variable with Application to Poverty Measures (2005) (6)
The importance of seasonality in inventory models (1993) (6)
Finite-sample simulation-based tests in VAR models with applications to order selection and causality testing (2004) (6)
Simulation-Based Finite-Sample Inference in Simultaneous Equations (2004) (6)
Editors’ introduction: Heavy tails and stable Paretian distributions in econometrics (2014) (5)
Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series (2005) (5)
Predictive Tests for Structural Change and the St. Louis Equation (1980) (5)
Kimball'S Inequality And Bounds Tests For Comparing Several Regressions Under Heterskedasticity (1990) (4)
Finite-sample identification-robust inference for unobservable zero-beta rates and portfolio efficiency with non-Gaussian distributions ⁄ (2007) (4)
Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance: A volume honoring Benoît B. Mandelbrot (2010) (4)
Testing Black’s CAPM with possibly non-Gaussian errors: an exact simulation-based approach (2004) (4)
Optimal Moment-based Tests for Distributional Assumptions (2013) (3)
Comment (2009) (3)
Structural Estimation and Evaluation of Calvo-Style Inflation Models (2006) (3)
FOR ESTIMATING VARMA MODELS WITH A MACROECONOMIC APPLICATION (2002) (3)
Investment, Taxation, and Econometric Policy Evaluation: Some Evidence on the Lucas Critique (1981) (3)
Exact inference and optimal invariant estimation for the tail coefficient of symmetric α-stable ∗ distributions (2005) (3)
Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory (2016) (3)
Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models (2014) (3)
Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications (1992) (3)
Rank-robust Wald-type tests : a regularization approach ∗ (2016) (3)
Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors (2011) (3)
Tabulation of Farebrother's Test for Linear Restriction (1993) (3)
Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors (2004) (2)
An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient (1990) (2)
Weak identification in probit models with endogenous covariates (2018) (2)
On estimators of the disturbance variance in econometric models: some general small-sample results on bias and the existence of moments (1985) (2)
Asymptotic distributions for some quasi-efficient estimators i n echelon-form VARMA models 1 (2010) (2)
Statistical models and likelihood functions (2002) (2)
Exact Tests and Confidence Sets for the Tail Coefficient of A-Stable Distributions (2003) (2)
Monte Carlo Test Applied to Models Estimated by Indirect Inference (2000) (2)
Simulation-based ! nite-sample tests for heteroskedasticity and ARCH e * ects (2003) (2)
Recurvise Stability Analysis: the Demand for Money During the German Hyperinflation (1984) (2)
Hodges-Lehmann sign-based estimators and generalized confidence distributions in linear median regressions with heterogenous dependent errors ∗ (2009) (2)
CFEnetwork: The annals of computational and financial econometrics, 3rd issue (2014) (2)
Testing the CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach ⁄ (2002) (2)
On the Precision of the Calvo Parameter in Structural NKPC Models (2010) (1)
Government assistance to export financing (1983) (1)
Structural Inflation Models with Real Wage Rigidities: The Case of Canada (2009) (1)
Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence (2016) (1)
A warning on the use of the Cochrane-Orcutt procedure based on a money demand equation for the United States (1982) (1)
Confidence sets for covariances between errors and endogenous regressors with possibly weak instruments ∗ (2009) (1)
Tests of Exogeneity (1980) (1)
A Warning on the Use of the Cochrane-Orcutt Procedure Based on a Real Example Containing a Lagged Endogenous Variable (1981) (1)
Market failure, inequality and redistribution (2008) (1)
A Simple Efficient Moment-based Estimator for the Stochastic Volatility Model (2019) (1)
Science, prediction and models (2008) (1)
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves (2021) (1)
Basic asymptotic theory (2011) (1)
Finite and Large Sample Distribution-Free Inference in Median Regressions with Instrumental Variables (2010) (1)
Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms (2008) (1)
Multiple Horizon Causality in Network Analysis: Measuring Volatility Interconnections in Financial Markets (2016) (1)
Impact of Instrument Endogeneity on some Test-Statistics (2007) (1)
Fixed Points and Minima: a Comment on Betancourt and Kelejian (1981) (1)
On a simple closed-form estimator for a stochastic volatility model ∗ (2005) (1)
Confidence Sets for Inequality Measures: Fieller-Type Methods (2016) (1)
Estimation of ARMA models by maximum likelihood (2008) (1)
The Demand for Money During the German Hyperinflation: a Recursive Stability Analysis (1981) (1)
Solution to Econ 763 Midterm (Winter 2017) (2017) (0)
Stochastic processes : generating functions and identification ∗ (2017) (0)
Exact Monte Carlo Tests Applied to Models Estimated by Indirect Inference and by Eecient Method of Moments (2000) (0)
The Phillips Curve as a Macroeconometric Relation: Evolution and Recent Econometric Developments (2009) (0)
A simple estimation method and finite-sample inference for a stochastic volatility model (2004) (0)
Estimation of the mean and autocorrelations of a stationary process (2015) (0)
Directional Tests and Confidence Bounds on Economic Inequality (2022) (0)
Efficient Semiparametric Detection of Changes in Trend Chuan Goh (2009) (0)
Cahier 17-2002 TESTING MEAN-VARIANCE EFFICIENCY IN CAPM WITH POSSIBLY NON-GAUSSIAN ERRORS : AN EXACT SIMULATION-BASED APPROACH (2003) (0)
Resampling methods in econometrics (2006) (0)
A Simple Proof for the Chow Test When the Number of Observations Is Insufficient (1980) (0)
AUTOREGRESSIONS WHEN THE TRUE ORDER IS UNKNOWN (1984) (0)
PREDICTIONS FROM ESTIMATED VECTOR AUTOREGRESSIONS (1985) (0)
Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models (2011) (0)
Assessing indexation-based Calvo inflation models (2009) (0)
New Keynesian Phillips Curves, structural econometrics and weak identification ⁄ (2006) (0)
FINITE SAMPLE TESTS FOR ARCH EFFECTS AND VARIANCE CHANGE-POINTS IN LINEAR REGRESSIONS (2002) (0)
An Annotated Bibliography of Canadian Public Finance (Revenue Side) 1946-1979: a First Round (1980) (0)
The New Palgrave Dictionary of Economics Online model selection (0)
On a Conjecture of Edelman on Nonparametric T-Tests (1989) (0)
ST ] 2 D ec 2 01 3 Wald tests when restrictions are locally singular ∗ (2013) (0)
Chuan Goh Efficient Semiparametric Detection of Changes in Trend (2009) (0)
’ Introduction : Identification , Simulation and Finite-Sample Inference (2016) (0)
Simple estimators and inference for higher-order stochastic volatility models (2021) (0)
WITH APPLICATIONS TO STRUCTURAL AND DYNAMIC MODELS (1997) (0)
A Specification Error Theorem for Predictions From Estimated Autoregressions (1981) (0)
Editors’ Introduction: Identification, Simulation and Finite-Sample Inference (2015) (0)
Finite-sample inference, weak identification and macroeconometrics (2006) (0)
Identification-Robust Factor Pricing: Canadian Evidence (2016) (0)
Working Paper / Document de travail 2009-7 Assessing Indexation-Based Calvo Inflation Models (2007) (0)
Monte Carlo Tests and Regularized Indirect Inference for a Stochastic Volatility Model (2004) (0)
A technical note on divergence of the Wald statistic (2019) (0)
Exact simulation-based inference for autoregressive processes based on induced tests∗ (2005) (0)
The Halle Institute for Economic Research and the Centre Interuniversitaire de Recherche en Economie Quantitative (CIREQ) are organizing the 13 th Macroeconometric Workshop to (2012) (0)
Residual-Based Finite-Sample Misspeci fi cation Tests in Multivariate Regressions with Applications to Asset Pricing Models ∗ (2002) (0)
Structural multi-equation macroeconomic models : complete versus limited-information identification-robust estimation and fit ∗ (2011) (0)
Identification and causality in macroeconomics and finance (2008) (0)
Finite-sample inference in econometrics and statistics (2006) (0)
An Annotated Bibliography of Canadian Public Finance (Revenue Side) 1946-1979: Extension and Update (1980) (0)
New developments in time series econometrics: An overview (1993) (0)
Exchangeability of chronologic series: some exact results on autocorrelations and portmanteau statistics (1986) (0)
CAHIER 29-2001 (2002) (0)
Weak identification in probit models with endogenous covariates (2018) (0)
36th annual meeting of the Canadian economics association (2001) (0)
DISCOVER WILEY'S LEADING STATISTICS JOURNALS (2014) (0)
L ' Actualité économique Identification-Robust Factor Pricing : Canadian Evidence (0)
Cahier 06-2003 FINITE-SAMPLE DIAGNOSTICS FOR MULTIVARIATE REGRESSIONS WITH APPLICATIONS TO LINEAR ASSET PRICING MODELS (2003) (0)
Maximum likelihood methods (2008) (0)
Semiparametric Innovation-Based Tests of Orthogonality and Causality between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions (2011) (0)
EcoSta special issue on theoretical econometrics (2020) (0)
Editors' introduction: Resampling methods in econometrics (2005) (0)
Introduction to stochastic processes (2006) (0)
Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models 1 (2000) (0)
RANK TESTS FOR SERIAL CORRELATION* (2001) (0)
Reverse Regressions, Symmetry and Test Distributions in Linear Models (2022) (0)

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