Évaluation d'un projet de modernisation; par la méthode des effets et celle des prix de référence.

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Évolution de la pauvreté au Maroc dans les années 1990: Décomposition des effets de croissance et de redistribution.

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Un modèle de gravité pour le commerce Canada-Etats-Unis et les effets frontières: une approche dynamique appliquée sur les données de panel sur la période 1990-1999.

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L'impôt à taux unique: les effets sur l'offre de travail, des ménages canadiens et américains.

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Les effets sur l'emploi manufacturier du Mexique de l'ouverture commerciale de la Chine dans les années 1988-2002.

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Histoire de la la législation romaine depuis son origine jusqu'a lalégislation moderne et généralisation du droit romain

UANL

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Les effets de l'accord du libre-échange nord-américain au niveau de l'emploi manufacturier.

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Effets de la promotion des exportations sur la croissance économique à travers le temps, Cas des pays semi-industrialisés.

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