← All authors Jean-Marie Dufour McGill University (from arXiv:2510.17070, 2025) · ORCID · OpenAlex
127 papers in scope · 121 published · 6 on the econ.EM arXiv · 4,940 citations · h-index 36 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Eugene Dettaa Endong Wang Paul Kattuman Rustam Ibragimov Anton Skrobotov Katsumi Shimotsu Hiroyuki Kasahara Matthew Cocci Ji-Hyun Kim Tianyu He Eiji Kurozumi Ying Wei Nathan Canen Rasmus Hundsbæk Pedersen Alessandro Casini Seojeong Lee Bruce E. Hansen Pierre Perrón Mikkel Plagborg-Møller Hao Yu 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 (6 of 127)
working paper 2025 · arXiv
working paper 2025 · arXiv
working paper 2025 · arXiv
working paper 2025 · arXiv
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage
published 2025 · Journal of Time Series Analysis
Wald tests when restrictions are locally singular
published 2025 · The Annals of Statistics · 6 citations · first circulated 2013
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models
published 2025 · Journal of Time Series Analysis
with Md. Nazmul Ahsan
Identification-robust and simultaneous inference in multifactor asset pricing models
published 2024 · Journal of Econometrics · 3 citations
with Marie-Claude Beaulieu, Lynda Khalaf
working paper 2024 · arXiv
working paper 2024 · arXiv
Exogeneity tests and weak identification in IV regressions: Asymptotic theory and point estimation
published 2024 · Journal of Econometrics · 7 citations
with Firmin Doko Tchatoka
Identification-robust methods for comparing inequality with an application to regional disparities
published 2024 · The Journal of Economic Inequality · 3 citations
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
published 2023 · Journal of Econometrics · 5 citations
with Marie-Claude Beaulieu, Lynda Khalaf, Olena Melin
Reverse Regressions, Symmetry and Test Distributions in Linear Models
published 2022 · Journal of Quantitative Economics · 1 citations
with Byunguk Kang
Directional Tests and Confidence Bounds on Economic Inequality
published 2022 · Econometrics and Statistics
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
published 2021 · Econometric Reviews · 3 citations
with Byunguk Kang
Simple estimators and inference for higher-order stochastic volatility models
published 2021 · Journal of Econometrics · 5 citations
with Md. Nazmul Ahsan
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
published 2021 · Journal of Business and Economic Statistics · 40 citations
with Denis Pelletier
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
published 2020 · Econometric Reviews · 4 citations · first circulated 2017
with Élise Coudin
EcoSta special issue on theoretical econometrics
published 2020 · Econometrics and Statistics
On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling
published 2018 · Journal of Time Series Analysis · 27 citations
Weak identification in probit models with endogenous covariates
published 2018 · AStA Advances in Statistical Analysis · 1 citations · first circulated 2013
with Joachim Wilde
Confidence Sets for Inequality Measures: Fieller-Type Methods
published 2018 · Springer proceedings in business and economics · 2 citations
Permutation Tests for Comparing Inequality Measures
published 2017 · Journal of Business and Economic Statistics · 22 citations
Identification-robust moment-based tests for Markov switching in autoregressive models
published 2017 · Econometric Reviews · 3 citations · first circulated 2016
Invariant tests based on M -estimators, estimating functions, and the generalized method of moments
published 2016 · Econometric Reviews · 13 citations
Identification-Robust Factor Pricing: Canadian Evidence
published 2016 · L Actualité économique
with Marie-Claude Beaulieu, Lynda Khalaf
Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory
published 2016 · Journal of Econometrics · 4 citations
with Firmin Doko Tchatoka
Exchange rates and commodity prices: Measuring causality at multiple horizons
published 2015 · Journal of Empirical Finance · 108 citations · first circulated 2013
with Hui Jun Zhang, John W. Galbraith
Editors’ Introduction: Identification, Simulation and Finite-Sample Inference
published 2015 · L Actualité économique
with Marie-Claude Beaulieu, Lynda Khalaf, A. Craig MacKinlay
Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability
published 2014 · Communications in Statistics - Simulation and Computation · 3 citations · first circulated 2013
with Lynda Khalaf, Marcel Voia
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Exact confidence sets and goodness-of-fit methods for stable distributions
published 2014 · Journal of Econometrics · 10 citations
with Marie-Claude Beaulieu, Lynda Khalaf
Editors’ introduction: Heavy tails and stable Paretian distributions in econometrics
published 2013 · Journal of Econometrics · 3 citations
with Jeong-Ryeol Kurz-Kim
Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
published 2013 · Computational Statistics & Data Analysis · 16 citations · first circulated 2010
with Tarek Jouini
Identification-robust inference for endogeneity parameters in linear structural models
published 2013 · Econometrics Journal · 33 citations
with Firmin Doko Tchatoka
Factor-Augmented VARMA Models With Macroeconomic Applications
published 2013 · Journal of Business and Economic Statistics · 30 citations
Identification-robust analysis of DSGE and structural macroeconomic models
published 2013 · Journal of Monetary Economics · 55 citations
with Lynda Khalaf, Maral Kichian
Identification-Robust Estimation and Testing of the Zero-Beta CAPM
published 2012 · The Review of Economic Studies · 10 citations · first circulated 2011
with Marie-Claude Beaulieu, Lynda Khalaf
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
published 2011 · Journal of Financial Econometrics · 16 citations · first circulated 2008
An identification‐robust test for time‐varying parameters in the dynamics of energy prices
published 2010 · Journal of Applied Econometrics · 14 citations
with Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, Marie-Claude Beaulieu
On the precision of Calvo parameter estimates in structural NKPC models
published 2010 · Journal of Economic Dynamics and Control · 26 citations
with Lynda Khalaf, Maral Kichian
Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions
published 2010 · Journal of Empirical Finance · 22 citations
with Marie-Claude Beaulieu, Lynda Khalaf
Multivariate residual‐based finite‐sample tests for serial dependence and ARCH effects with applications to asset pricing models
published 2009 · Journal of Applied Econometrics · 21 citations
with Lynda Khalaf, Marie-Claude Beaulieu
Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
published 2009 · Computational Statistics & Data Analysis · 10 citations · first circulated 2008
Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions
published 2009 · Journal of Empirical Finance · 11 citations
with Jeong-Ryeol Kurz-Kim
Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance
published 2009 · Journal of Empirical Finance · 3 citations
Short and long run causality measures: Theory and inference
published 2009 · Journal of Econometrics · 124 citations · first circulated 2008
Fonctions de production dans l’économie du Québec
published 2009 · L Actualité économique · 2 citations · first circulated 1978
with Vittorio Corbo
Comment
published 2009 · Journal of Business and Economic Statistics · 6 citations
Estimation uncertainty in structural inflation models with real wage rigidities
published 2009 · Computational Statistics & Data Analysis · 8 citations
with Lynda Khalaf, Maral Kichian
Mesure et incidence des dépenses fiscales au Québec
published 2009 · L Actualité économique · 2 citations · first circulated 1985
with Jacques Jobin
Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
published 2009 · Journal of Econometrics · 26 citations
with Pascale Valéry
La causalité entre la monnaie et le revenu : une analyse fondée sur un modèle VARMA-échelon
published 2009 · L Actualité économique · 1 citations
with David Tessier
Logique et tests d’hypothèses
published 2009 · L Actualité économique
Variables binaires et tests prédictifs contre les changements structurels
published 2009 · L Actualité économique · 2 citations · first circulated 1981
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
published 2009 · Econometrics Journal · 39 citations · first circulated 2007
with Élise Coudin
Finite sample multivariate tests of asset pricing models with coskewness
published 2008 · Computational Statistics & Data Analysis · 20 citations
with Marie-Claude Beaulieu, Lynda Khalaf
Instrument endogeneity and identification-robust tests: Some analytical results
published 2008 · Journal of Statistical Planning and Inference · 32 citations
with Firmin Doko, Firmin Doko Tchatoka
Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors
published 2007 · Journal of Business and Economic Statistics · 79 citations
with Marie-Claude Beaulieu, Lynda Khalaf
Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
published 2006 · Journal of Econometrics · 89 citations
with Mohamed Taamouti
Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis
published 2006 · Journal of Economic Dynamics and Control · 134 citations
with Lynda Khalaf, Maral Kichian
Méthodes d’inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes
published 2006 · L Actualité économique · 1 citations · first circulated 2003
with Malika Neifar
Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression*
published 2005 · L Actualité économique · 5 citations
with Abdeljelil Farhat, Lynda Khalaf
Finite-sample simulation-based inference in VAR models with application to Granger causality testing
published 2005 · Journal of Econometrics · 29 citations
with Tarek Jouini
Resampling methods in econometrics
published 2005 · Journal of Econometrics · 2 citations
Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics
published 2005 · Journal of Econometrics · 264 citations
Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
published 2005 · Econometrica · 186 citations · first circulated 2003
with Mohamed Taamouti
Short run and long run causality in time series: inference
published 2005 · Journal of Econometrics · 141 citations · first circulated 2003
with Denis Pelletier, Éric Renault
Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
published 2005 · Journal of Econometrics · 7 citations · first circulated 2004
Méthodes d’inférence exactes pour des processus autorégressifs : une approche fondée sur des tests induits
published 2004 · L Actualité économique · 1 citations
with Malika Neifar
Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
published 2004 · Journal of Econometrics · 86 citations · first circulated 2001
with Lynda Khalaf, Jean-Thomas Bernard, Ian Genest
A simple estimation method and finite-sample inference for a stochastic volatility model
published 2004 · Econometric Society 2004 North American Summer Meetings
with Pascale Valéry
no link
Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models*
published 2003 · Oxford Bulletin of Economics and Statistics · 58 citations
with Lynda Khalaf, Marie-Claude Beaulieu
Identification, weak instruments, and statistical inference in econometrics
published 2003 · Canadian Journal of Economics/Revue canadienne d économique · 16 citations
Simulation based finite and large sample tests in multivariate regressions
published 2002 · Journal of Econometrics · 82 citations · first circulated 2000
with Lynda Khalaf
Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions
published 2002 · Journal of Econometrics · 72 citations · first circulated 2000
with Lynda Khalaf
36th annual meeting of the Canadian economics association
published 2001 · Economics bulletin
no link
Finite Sample Limited Information Inference Methods for Structural Equations and Models With Generated Regressors
published 2001 · International Economic Review · 132 citations
Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
published 2000 · Journal of Econometrics · 3 citations
with Olivier Torrès
Statistical Inference for Computable General Equilibrium Models, with Application to A Model of the Moroccan Economy
published 1998 · The Review of Economics and Statistics · 57 citations · first circulated 1997
with Touhami Abdelkhalek
Short Run and Long Run Causality in Time Series: Theory
published 1998 · Econometrica · 292 citations
with Éric Renault
Simulation‐based finite sample normality tests in linear regressions
published 1998 · Econometrics Journal · 130 citations
with Abdeljelil Farhat, Lucien Gardiol, Lynda Khalaf
Generalized runs tests for heteroscedastic time series
published 1998 · Journal of nonparametric statistics · 33 citations
Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
published 1998 · Econometrica · 95 citations · first circulated 1995
with Jan F. Kiviet
Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
published 1997 · Econometrica · 580 citations
Exact tests in single equation autoregressive distributed lag models
published 1997 · Journal of Econometrics · 59 citations · first circulated 1995
with Jan F. Kiviet
Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
published 1997 · International Economic Review · 63 citations
with Bryan Campbell
Editors' introduction recent developments in the econometrics of structural change
published 1996 · Journal of Econometrics · 20 citations
Exact tests for structural change in first-order dynamic models
published 1996 · Journal of Econometrics · 99 citations · first circulated 1995
with Jan F. Kiviet
Exact Nonparametric Orthogonality and Random Walk Tests
published 1995 · The Review of Economics and Statistics · 72 citations · first circulated 1993
with Bryan Campbell
Pitfalls of Rescaling Regression Models with Box-Cox Transformations
published 1994 · The Review of Economics and Statistics · 13 citations
with M.G. Dagenais
Simplified conditions for noncausality between vectors in multivariate ARMA models
published 1994 · Journal of Econometrics · 37 citations · first circulated 1992
with Hafida Boudjellaba, Roch Roy
Generalized Predictive Tests and Structural Change Analysis in Econometrics
published 1994 · International Economic Review · 8 citations
New developments in time series econometrics: An overview
published 1993 · Empirical Economics · 1 citations
with Baldev Raj
Improved Eaton Bounds for Linear Combinations of Bounded Random Variables, with Statistical Applications
published 1993 · Journal of the American Statistical Association · 23 citations · first circulated 1992
Improved Eaton Bounds for Linear Combinations of Bounded Radom Variables, With Statistical Applications
published 1993 · Journal of the American Statistical Association · 16 citations
Tabulation of Farebrother's Test for Linear Restriction
published 1993 · Econometric Theory · 1 citations
with Sophie Mahseredjian
On the relationship between impulse response analysis, innovation accounting and Granger causality
published 1993 · Economics Letters · 41 citations
with David Tessier
The importance of seasonality in inventory models
published 1993 · Journal of Econometrics · 1 citations
Testing Causality between Two Vectors in Multivariate Autoregressive Moving Average Models
published 1992 · Journal of the American Statistical Association · 83 citations
with Hafida Boudjellaba, Roch Roy
Nonlinear models, rescaling and test invariance
published 1992 · Journal of Statistical Planning and Inference · 14 citations
with M.G. Dagenais
Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications
published 1992 · Econometric Theory · 4 citations · first circulated 1989
Simple exact bounds for distributions of linear signed rank statistics
published 1992 · Journal of Statistical Planning and Inference
On the lack of invariance of some asymptotic tests to rescaling
published 1992 · Economics Letters · 10 citations
with M.G. Dagenais
Invariance, Nonlinear Models, and Asymptotic Tests
published 1991 · Econometrica · 119 citations · first circulated 1987
with M.G. Dagenais
Nonuniform Bounds for Nonparametric t -Tests
published 1991 · Econometric Theory · 13 citations
Over-rejections in rational expectations models
published 1991 · Economics Letters · 34 citations
with Bryan Campbell
Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
published 1991 · Journal of Econometrics · 137 citations · first circulated 1989
with Maxwell L. King
Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
published 1990 · Econometrica · 7 citations
Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
published 1989 · Econometrica · 70 citations · first circulated 1986
Estimators of the disturbance variance in econometric models
published 1988 · Journal of Econometrics · 8 citations · first circulated 1985
Tests non paramétriques optimaux pour le modéle autorégressif d'ordre un
published 1987 · Annals of Economics and Statistics · 4 citations
no link
Une evaluation economique du financement public des exportations
published 1986 · Canadian Public Policy · 1 citations
with Daniel Racette
Bias of S 2 in Linear Regressions with Dependent Errors
published 1986 · The American Statistician · 22 citations
Unbiasedness of Predictions from Etimated Vector Autoregressions
published 1985 · Econometric Theory · 26 citations
Some robust exact results on sample autocorrelations and tests of randomness
published 1985 · Journal of Econometrics · 102 citations · first circulated 1984
with Roch Roy
Durbin-Watson tests for serial correlation in regressions with missing observations
published 1985 · Journal of Econometrics · 53 citations · first circulated 1983
with M.G. Dagenais
Unbiasedness of Predictions from Estimated Autoregressions when the True Order is Unknown
published 1984 · Econometrica · 30 citations
A warning on the use of the Cochrane-Orcutt procedure based on a money demand equation
published 1983 · Empirical Economics · 7 citations · first circulated 1982
with Marc Gaudry, R. W. Hafer, Rick W Hafer
Generalized Chow Tests for Structural Change: A Coordinate-Free Approach
published 1982 · International Economic Review · 96 citations · first circulated 1981
Recursive stability analysis of linear regression relationships
published 1982 · Journal of Econometrics · 132 citations · first circulated 1981
Nonparametric testing for time series: A bibliography
published 1982 · Canadian Journal of Statistics · 21 citations · first circulated 1980
with Yves Lepage, H. Zeidan
RANK TESTS FOR SERIAL DEPENDENCE
published 1981 · Journal of Time Series Analysis
Dummy variables and predictive tests for structural change
published 1980 · Economics Letters · 85 citations
The Cochrane-Orcutt procedure numerical examples of multiple admissible minima
published 1980 · Economics Letters · 22 citations
with Marc Gaudry, Tran Liem
On spectral estimation for a homogeneous random process on the circle
published 1976 · Stochastic Processes and their Applications · 10 citations
with Roch Roy
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