← All authors Christian Gouriéroux Toulouse School of Economics (from arXiv:2506.13531, 2025) · OpenAlex
194 papers in scope · 188 published · 12 on the econ.EM arXiv · 11,105 citations · h-index 45 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Joann Jasiak Francesco Giancaterini Aryan Manafi Neyazi Alain Hecq Gianluca Cubadda Quinlan Lee Sean Telg Tomás del Barrio Castro Stefano Grassi Elisa Voisin Iones Kelanemer Holban Lutz Kilian Elena Peavento Daniel Velásquez-Gaviria Claudio Morana Ana María Herrera Giovanni Ballarin Elena Pesavento Jacob Carlson Ivan Ricardo Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (10 of 194)
published 2026 · Journal of Financial Econometrics · 7 citations · first circulated 2022
Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering
published 2025 · Mathematical Finance
with Yang Lu
working paper 2025 · arXiv
Markov Determinantal Point Process for Dynamic Random Sets
published 2025 · Journal of Time Series Analysis
with Yang Lu
Susceptible‐infected‐recovered model with stochastic transmission
published 2025 · Canadian Journal of Statistics · 1 citations
with Yang Lu
A Stochastic Tree for Bubble Asset Modelling and Pricing
published 2024 · Journal of Time Series Analysis · 1 citations
published 2024 · Journal of Econometrics · 3 citations · first circulated 2022
Generalized covariance‐based inference for models set‐identified from independence restrictions
published 2024 · Journal of Time Series Analysis
working paper 2024 · arXiv
published 2023 · Journal of Financial Econometrics · 1 citations · first circulated 2021
working paper 2023 · arXiv · 1 citations
Noncausal affine processes with applications to derivative pricing
published 2023 · Mathematical Finance · 2 citations · first circulated 2019
with Yang Lu
Temporally Local Maximum Likelihood with Application to SIS Model
published 2023 · Journal of Time Series Econometrics · first circulated 2021
working paper 2022 · arXiv
published 2022 · Journal of Business and Economic Statistics · 10 citations · first circulated 2021
Required Capital for Long-Run Risks
published 2022 · Journal of Economic Dynamics and Control · 3 citations · first circulated 2021
with Alain Monfort, Jean-Paul Renne
Dynamic deconvolution and identification of independent autoregressive sources
published 2022 · Journal of Time Series Analysis · 2 citations
Transition model for coronavirus management
published 2022 · Canadian Journal of Economics/Revue canadienne d économique · 1 citations
Estimated reproduction ratios in the SIR model
published 2021 · Canadian Journal of Statistics · 3 citations
Convolution‐based filtering and forecasting: An application to WTI crude oil prices
published 2021 · Journal of Forecasting · 7 citations
Noncausal counting processes: A queuing perspective
published 2021 · Electronic Journal of Statistics · 2 citations
with Yang Lu
working paper 2020 · arXiv · 1 citations
Disastrous Defaults
published 2020 · European Finance Review · 9 citations · first circulated 2019
with Alain Monfort, Sarah Mouabbi, Jean-Paul Renne
Time varying Markov process with partially observed aggregate data: An application to coronavirus
published 2020 · Journal of Econometrics · 1 citations
Testing for Endogeneity of Covid-19 Patient Assignments
published 2020 · Journal of Financial Econometrics · 1 citations
working paper 2020 · arXiv
Model risk management: Valuation and governance of pseudo-models
published 2020 · Econometrics and Statistics · 2 citations
with Alain Monfort
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes
published 2020 · Journal of Forecasting · 12 citations
Stationary bubble equilibria in rational expectation models
published 2020 · Journal of Econometrics · 11 citations
Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models
published 2020 · Annals of Economics and Statistics · 1 citations
Beta Risk in the Cross-Section of Equities
published 2019 · Review of Financial Studies · 20 citations · first circulated 2017
with Ali Boloorforoosh, Peter Christoffersen, Mathieu Fournier, Ali Boloor
Positional Portfolio Management
published 2019 · Journal of Financial Econometrics · 3 citations · first circulated 2014
Identification and Estimation in Non-Fundamental Structural VARMA Models
published 2019 · The Review of Economic Studies · 40 citations · first circulated 2017
with Alain Monfort, Jean-Paul Renne
Least impulse response estimator for stress test exercises
published 2019 · Journal of Banking & Finance · 2 citations · first circulated 2018
with Yang Lu
Model Risk Management: Limits and Future of Bayesian Approaches
published 2019 · Annals of Economics and Statistics · 1 citations
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
published 2019 · Econometrica · 6 citations · first circulated 2018
Negative Binomial Autoregressive Process with Stochastic Intensity
published 2018 · Journal of Time Series Analysis · 20 citations
with Yang Lu
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
published 2018 · Journal of Econometrics · 8 citations · first circulated 2014
Robust analysis of the martingale hypothesis
published 2018 · Econometrics and Statistics · 7 citations · first circulated 2016
Misspecification of noncausal order in autoregressive processes
published 2018 · Journal of Econometrics · 14 citations · first circulated 2014
Composite indirect inference with application to corporate risks
published 2017 · Econometrics and Statistics · 9 citations
with Alain Monfort
Double instrumental variable estimation of interaction models with big data
published 2017 · Journal of Econometrics · 8 citations
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation
published 2017 · Journal of Econometrics · 26 citations
Consistent Pseudo-Maximum Likelihood Estimators
published 2017 · Annals of Economics and Statistics · 6 citations · first circulated 2016
with Alain Monfort, Éric Renault
Aversions to Impatience, Uncertainty and Illiquidity
published 2017 · Annals of Economics and Statistics
with Marie Allard, C. Bronsard
Statistical inference for independent component analysis: Application to structural VAR models
published 2016 · Journal of Econometrics · 131 citations · first circulated 2015
with Alain Monfort, Jean-Paul Renne
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
published 2016 · Annals of Operations Research · 3 citations
with Hung T. Nguyen, Songsak Sriboonchitta
Local explosion modelling by non‐causal process Series B Statistical methodology
published 2016 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 82 citations
Simulation Based Inference in Models with Heterogeneity
published 2016 · Annals of Economics and Statistics · 45 citations
with Alain Monfort
no link
Courbes de performance, de selection et de discrimination
published 2016 · Annals of Economics and Statistics · 2 citations
no link
Spread Term Structure and Default Correlation
published 2016 · Annals of Economics and Statistics · 10 citations · first circulated 2003
Une approche geometrique des processus ARMA
published 2016 · Annals of Economics and Statistics · 1 citations · first circulated 1986
no link
Heterogeneite 11. Etude des biais de representativite (sous I'hypothese d'exogeneite faible)
published 2016 · Annals of Economics and Statistics
no link
The double default value-of-the-firm model
published 2016 · The Journal of Credit Risk
with Alain Monfort
Introduction
published 2016 · Annals of Economics and Statistics
Filtering, Prediction and Simulation Methods for Noncausal Processes
published 2015 · Journal of Time Series Analysis · 55 citations · first circulated 2014
The Tradability Premium on the S&P 500 Index
published 2015 · Journal of Financial Econometrics · first circulated 2013
On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes
published 2015 · Journal of Time Series Analysis · 17 citations · first circulated 2014
Performance fees and hedge fund return dynamics
published 2015 · International Journal of Approximate Reasoning · first circulated 2014
with Serge Darolles, Jérôme Teïletche
Love and death: A Freund model with frailty
published 2015 · Insurance Mathematics and Economics · 24 citations · first circulated 2013
with Yang Lu
Pricing with finite dimensional dependence
published 2015 · Journal of Econometrics · 4 citations
with Alain Monfort
Pricing default events: Surprise, exogeneity and contagion” [J. Econometrics 182 (2) (2014) 397–411
published 2014 · Journal of Econometrics · 17 citations · first circulated 2013
with Alain Monfort, Jean-Paul Renne
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
published 2014 · Econometric Theory · 22 citations · first circulated 2008
Funding Liquidity Risk From a Regulatory Perspective
published 2013 · Economics Papers from University Paris Dauphine
with Jean-Cyprien Héam
no link
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE
published 2013 · International Journal of Theoretical and Applied Finance · 19 citations
with Alain Monfort
Regime Switching and Bond Pricing
published 2013 · Journal of Financial Econometrics · 24 citations
with Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne
Linear-price term structure models
published 2013 · Journal of Empirical Finance · 10 citations
with Alain Monfort
Correlated risks vs contagion in stochastic transition models
published 2013 · Journal of Economic Dynamics and Control · 11 citations · first circulated 2012
Liquidation equilibrium with seniority and hidden CDO
published 2013 · Journal of Banking & Finance · 21 citations
with Jean-Cyprien Héam, Alain Monfort
Granularity adjustment for risk measures: Systematic vs unsystematic risks
published 2013 · International Journal of Approximate Reasoning · 13 citations
ESTIMATION-ADJUSTED VAR
published 2013 · Econometric Theory · 33 citations · first circulated 2012
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model
published 2013 · Annals of Economics and Statistics · 3 citations
with Alain Monfort
Bilateral exposures and systemic solvency risk
published 2012 · Canadian Journal of Economics/Revue canadienne d économique · 86 citations
with Jean-Cyprien Héam, Alain Monfort
Granularity Adjustment for Efficient Portfolios
published 2012 · Econometric Reviews · 3 citations
with Alain Monfort
Converting Tail-VaR to VaR: An Econometric Study
published 2012 · Journal of Financial Econometrics · 12 citations
with Wei Liu
Granularity adjustment for default risk factor model with cohorts
published 2012 · Journal of Banking & Finance · 9 citations
Microinformation, Nonlinear Filtering, and Granularity
published 2011 · Journal of Financial Econometrics · 6 citations · first circulated 2010
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
published 2011 · Journal of Financial Econometrics · 12 citations · first circulated 2010
Discrete time Wishart term structure models
published 2011 · Journal of Economic Dynamics and Control · 31 citations
with Razvan Sufana
Efficient Derivative Pricing by the Extended Method of Moments
published 2011 · Econometrica · 71 citations · first circulated 2005
DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE
published 2010 · Mathematical Finance · 6 citations
with Alain Monfort
BILINEAR TERM STRUCTURE MODEL
published 2010 · Mathematical Finance · 5 citations
with Alain Monfort
International money and stock market contingent claims
published 2010 · Journal of International Money and Finance · 28 citations · first circulated 2005
with Alain Monfort, Razvan Sufana
Derivative Pricing With Wishart Multivariate Stochastic Volatility
published 2010 · Journal of Business and Economic Statistics · 108 citations
with Razvan Sufana
Local Likelihood Density Estimation and Value‐at‐Risk
published 2010 · Journal of Probability and Statistics · 20 citations · first circulated 2001
Granularity in a qualitative factor model
published 2009 · The Journal of Credit Risk · 13 citations
with Alain Monfort
Indirect inference for dynamic panel models
published 2009 · Journal of Econometrics · 128 citations · first circulated 2006
Conditionally fitted Sharpe performance with an application to hedge fund rating
published 2009 · Journal of Banking & Finance · 5 citations
with Serge Darolles
Managing hedonic housing price indexes: The French experience
published 2009 · Journal of Housing Economics · 81 citations
with Anne Laferrère
Control and Out‐of‐Sample Validation of Dependent Risks
published 2009 · Journal of Risk & Insurance · 2 citations
with Wei Liu
L-performance with an application to hedge funds
published 2009 · Journal of Empirical Finance · 38 citations · first circulated 2008
Création d’actifs financiers et remboursements anticipés
published 2009 · L Actualité économique
Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat
published 2009 · L Actualité économique · 29 citations
with Irina Peaucelle
Modèles de comptage semi-paramétriques
published 2009 · L Actualité économique · 1 citations · first circulated 1997
with Alain Monfort
D’une analyse de variabilités à un modèle d’investissement des firmes
published 2009 · L Actualité économique
with D. Forest, Lise Salvas-Bronsard
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable
published 2009 · L Actualité économique · 4 citations · first circulated 1986
with Laurence Broze, Ariane Szafarz
The Wishart Autoregressive process of multivariate stochastic volatility
published 2009 · Journal of Econometrics · 307 citations · first circulated 2004
Dynamic quantile models
published 2008 · Journal of Econometrics · 96 citations · first circulated 2006
Quadratic stochastic intensity and prospective mortality tables
published 2008 · Insurance Mathematics and Economics · 34 citations · first circulated 2007
with Alain Monfort
Bon ou mauvais usage des notations
published 2008 · Revue d économie financière · 3 citations
Duration time‐series models with proportional hazard
published 2007 · Journal of Time Series Analysis · 15 citations
Positivity Conditions for a Bivariate Autoregressive Volatility Specification
published 2007 · Journal of Financial Econometrics · 8 citations
The ordered qualitative model for credit rating transitions
published 2007 · Journal of Empirical Finance · 68 citations · first circulated 2003
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing
published 2007 · Economics Books · 21 citations
no link
Diffusion Processes with Polynomial Eigenfunctions
published 2007 · Annals of Economics and Statistics · 4 citations
with Eric Renault, Pascale Valéry
no link
Diffusion Processes with Polynominal Eigenfunctions.
published 2007 · Annals of Economics and Statistics
with Eric Renault, Pascale Valéry
no link
STOCHASTIC UNIT ROOT MODELS
published 2006 · Econometric Theory · 50 citations · first circulated 2001
with Christian Y. Robert
Continuous Time Wishart Process for Stochastic Risk
published 2006 · Econometric Reviews · 149 citations
An efficient nonparametric estimator for models with nonlinear dependence
published 2006 · Journal of Econometrics · 18 citations
Affine Models for Credit Risk Analysis
published 2006 · Journal of Financial Econometrics · 75 citations · first circulated 2005
with Alain Monfort, Vassilis Polimenis
Structural Laplace Transform and Compound Autoregressive Models
published 2006 · Journal of Time Series Analysis · 111 citations
Econometric specification of stochastic discount factor models
published 2006 · Journal of Econometrics · 98 citations
with Alain Monfort
Autoregressive gamma processes
published 2006 · Journal of Forecasting · 199 citations · first circulated 2005
Migration Correlation: Estimation Method and Application to French Corporates Ratings.
published 2006 · Annals of Economics and Statistics
with Sandra Foulcher, André Tiomo
no link
A Classification of Two-Factor Affine Diffusion Term Structure Models
published 2005 · Journal of Financial Econometrics · 31 citations
with Razvan Sufana
Stochastic Migration Models with Application to Corporate Risk
published 2005 · Journal of Financial Econometrics · 12 citations · first circulated 2004
Multivariate Jacobi process with application to smooth transitions
published 2005 · Journal of Econometrics · 75 citations
Économétrie de la finance : l’exemple du risque de crédit
published 2005 · L Actualité économique · 1 citations
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity
published 2005 · Annals of Economics and Statistics · 9 citations · first circulated 1999
Migration correlation: Definition and efficient estimation
published 2004 · Journal of Banking & Finance · 33 citations
The econometrics of efficient portfolios
published 2004 · Journal of Empirical Finance · 29 citations
with Alain Monfort
Heterogeneous INAR(1) model with application to car insurance
published 2004 · Insurance Mathematics and Economics · 96 citations
LA STRUCTURE PAR TERMEDES TAUX DE DÉFAUT ET RATINGS
published 2004 · Assurances et gestion des risques · 3 citations
with Sandra Foulcher, André Tiomo
Kernel-based nonlinear canonical analysis and time reversibility
published 2003 · Journal of Econometrics · 30 citations
Stochastic volatility duration models
published 2003 · Journal of Econometrics · 149 citations · first circulated 1997
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
published 2002 · Journal of Time Series Analysis · 9 citations · first circulated 1998
Pricing with Splines
published 2002 · Annals of Economics and Statistics · 10 citations
with Alain Monfort
no link
State‐space Models with Finite Dimensional Dependence
published 2001 · Journal of Time Series Analysis · 12 citations
DYNAMIC FACTOR MODELS
published 2001 · Econometric Reviews · 14 citations · first circulated 1999
Local Power Properties of Kernel Based Goodness of Fit Tests
published 2001 · Journal of Multivariate Analysis · 19 citations
with Carlos Tenreiro
Factor ARMA representation of a Markov process
published 2001 · Economics Letters · 1 citations
Truncated dynamics and estimation of diffusion equations
published 2001 · Journal of Econometrics · 20 citations
with Serge Darolles
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment
published 2001 · Journal of Political Economy · 256 citations
with Georges Dionne, Charles Vanasse
Memory and infrequent breaks
published 2001 · Economics Letters · 109 citations
Sensitivity analysis of Values at Risk
published 2000 · Journal of Empirical Finance · 415 citations
Causality between Returns and Traded Volumes
published 2000 · Annals of Economics and Statistics · 8 citations
no link
Econometric specification of the risk neutral valuation model
published 2000 · Journal of Econometrics · 13 citations · first circulated 1997
with Emmanuelle Clément, Alain Monfort
The Econometrics of Risk Classification in Insurance
published 1999 · The Geneva Risk and Insurance Review · 27 citations
Intra-day market activity
published 1999 · Journal of Financial Markets · 153 citations
with Joanna Jasiak, Gaëlle Le Fol
Econometrics of efficient fitted portfolios
published 1999 · Journal of Empirical Finance · 23 citations
with Frédéric Jouneau
ARCH Models and Financial Applications
published 1998 · Journal of the American Statistical Association · 396 citations · first circulated 1997
with Cătălin Stărică, Eric R. Ziegel
Time Series and Dynamic Models
published 1998 · Journal of the American Statistical Association · 126 citations · first circulated 1996
with Kent D. Wall, Alain Monfort, Errol Caby
Mean‐Variance Hedging and Numéraire
published 1998 · Mathematical Finance · 186 citations · first circulated 1996
with Jean-Paul Laurent, Huyên Pham
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
published 1998 · Journal of Econometrics · 2 citations · first circulated 1993
with Laurence Broze
Kernel autocorrelogram for time-deformed processes
published 1998 · Journal of Statistical Planning and Inference · 3 citations · first circulated 1996
Instrumental Models and Indirect Encompassing
published 1998 · Econometrica · 19 citations
Effet des modes de négociation sur les échanges
published 1998 · Revue économique · 8 citations
with Gaëlle Le Fol, Christian Gourieroux, Gaëlle Le
Rank tests for unit roots
published 1997 · Journal of Econometrics · 64 citations
Unemployment insurance and mortgages
published 1997 · Insurance Mathematics and Economics · 3 citations
A count data model with unobserved heterogeneity
published 1997 · Journal of Econometrics · 36 citations
with M. Visser
Duration, transition and count data models Introduction
published 1997 · Journal of Econometrics · 1 citations
with Thierry Magnac
Économétrie de la finance : analyses historiques
published 1997 · Medical Entomology and Zoology · 5 citations
no link
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
published 1996 · Journal of Statistical Planning and Inference · 20 citations
with Alain Monfort, Éric Renault
Diffusion et effet de vague
published 1996 · Annals of Economics and Statistics · 1 citations
with Irina Peaucelle
no link
Prepayment analysis for securitization
published 1995 · Journal of Empirical Finance · 8 citations
with M. De Toldi, Alain Monfort
Testing, Encompassing, and Simulating Dynamic Econometric Models
published 1995 · Econometric Theory · 67 citations
with Alain Monfort
Solutions of multivariate Rational Expectations Models
published 1995 · Econometric Theory · 27 citations
with Laurence Broze, Ariane Szafarz
Des mathématiques financières à la finance quantitative : Évolution récente des modèles mathématiques utilisés par les financiers
published 1995 · Revue d économie financière
with Jean-François Boulier
Indirect inference
published 1993 · Journal of Applied Econometrics · 1057 citations
with Alain Monfort, Éric Renault
Encompassing and indirect inference
published 1993 · Statistical Methods & Applications · 6 citations
with Alain Monfort
Simulation-based inference
published 1993 · Journal of Econometrics · 207 citations
with Alain Monfort
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié
published 1993 · Annals of Economics and Statistics · 9 citations
with Alain Monfort, Éric Renault
no link
Les transitions en économie. ; Les changements de prix en Russie dans les années vingt
published 1993 · Économie & prévision
with Irina Peaucelle
Qualitative threshold ARCH models
published 1992 · Journal of Econometrics · 161 citations · first circulated 1991
with Alain Monfort
Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire
published 1990 · Annals of Economics and Statistics · 1 citations · first circulated 1988
with Irina Peaucelle, Peaucelle Irina
no link
A General Framework for Testing a Null Hypothesis in a “Mixed” Form
published 1989 · Econometric Theory · 45 citations
with Alain Monfort
Testing For Common Roots
published 1989 · Econometrica · 13 citations
with Alain Monfort, Éric Renault
Fonctions de production représentatives de fonctions à complémentarité stricte
published 1988 · L Actualité économique · 1 citations
with Irina Peaucelle
Generalised residuals
published 1987 · Journal of Econometrics · 305 citations
with Alain Monfort, Éric Renault, Alain Trognon
Simulated residuals
published 1987 · Journal of Econometrics · 60 citations
with Alain Monfort, Éric Renault, Alain Trognon
Kuliback Causality Measures
published 1987 · Annals of Economics and Statistics · 37 citations
with Alain Monfort, Éric Renault
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Agrégation de processus autoregressifs d'ordre 1
published 1987 · Annals of Economics and Statistics · 10 citations
with Esmeralda Gonçalves
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Learning Procedures and Convergence to Rationality
published 1986 · Econometrica · 124 citations
with C. Fourgeaud, Jacqueline Pradel
Direct test of the rational expectation hypothesis
published 1986 · European Economic Review · 26 citations · first circulated 1983
with Jacqueline Pradel
A General Approach to Serial Correlation
published 1985 · Econometric Theory · 69 citations
with Alain Monfort, Alain Trognon
The Aggregation of Commodities in Quantity Rationing Models
published 1985 · International Economic Review · 22 citations
with Guy Laroque
Rational Expectations Models and Bounded Memory
published 1985 · Econometrica · 13 citations · first circulated 1983
with C. Fourgeaud, Jacqueline Pradel, Fourgeaud Claude
Pseudo Maximum Likelihood Methods: Theory
published 1984 · Econometrica · 1419 citations · first circulated 1981
with Alain Monfort, Alain Trognon
Pseudo Maximum Likelihood Methods: Applications to Poisson Models
published 1984 · Econometrica · 1067 citations · first circulated 1982
with Alain Monfort, Alain Trognon
Specification pre-test estimator
published 1984 · Journal of Econometrics · 11 citations
with Alain Trognon
Some theoretical results for generalized ridge regression estimators
published 1984 · Journal of Econometrics · 7 citations · first circulated 1982
with C. Fourgeaud, Jacqueline Pradel, Fourgeaud Claude
Testing nested or non-nested hypotheses
published 1983 · Journal of Econometrics · 79 citations
with Alain Monfort, Alain Trognon
Révision adaptative des anticipations et convergence vers les anticipations rationnelles
published 1983 · Économie appliquée · 4 citations
with Jean-Jacques Laffont, Alexandre Casademunt Monfort
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
published 1982 · Econometrica · 111 citations
with Jean-Jacques Laffont, Alain Monfort, Laurence Broze, Ariane Szafarz
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
published 1982 · Econometrica · 475 citations
with Alberto Holly, Alain Monfort
On the Problem of Missing Data in Linear Models
published 1981 · The Review of Economic Studies · 87 citations
with Alain Monfort
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
published 1981 · Journal of Econometrics · 102 citations
with Alain Monfort
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters
published 1981 · Journal of Econometrics · 31 citations
with Alberto Holly, Alain Monfort
Sufficient Linear Structures: Econometric Applications
published 1980 · Econometrica · 27 citations
with Alain Monfort
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
published 1980 · Econometrica · 100 citations · first circulated 1979
with J.J. Laffont, Alain Monfort, Jean-Jacques Laffont
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
published 1980 · International Economic Review · 9 citations
with Jean-Jacques Laffont, Alain Monfort
Disequilibrium Econometrics in Simultaneous Equations Systems
published 1980 · Econometrica · 100 citations
with Jean-Jacques Laffont, Alain Monfort
On the backward-forward procedure
published 1980 · Economics Letters
with Jean-Jacques Laffont, A. Montfort
On the characterization of a joint probability distribution by conditional distributions
published 1979 · Journal of Econometrics · 28 citations
with Alain Monfort
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