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Monfort, Alain

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Author ID: monfort.alain Recent zbMATH articles by "Monfort, Alain"
Published as: Monfort, A.; Monfort, Alain
Documents Indexed: 48 Publications since 1978, including 2 Books
Biographic References: 1 Publication

Publications by Year

Citations contained in zbMATH Open

41 Publications have been cited 782 times in 669 Documents Cited by Year
Pseudo maximum likelihood methods: Theory. Zbl 0575.62031
Gourieroux, C.; Monfort, A.; Trognon, A.
149
1984
Likelihood ratio test, Wald test, and Kuhn-Tucker test in linear models with inequality constraints on the regression parameters. Zbl 0483.62058
Gourieroux, Christian; Holly, Alberto; Monfort, Alain
79
1982
Econometric specification of stochastic discount factor models. Zbl 1420.91461
Gourieroux, C.; Monfort, A.
75
2007
Encompassing and indirect inference. Zbl 1448.62202
Gouriéroux, Christian; Monfort, Alain
65
1993
Pseudo maximum likelihood methods: Applications to Poisson models. Zbl 0575.62032
Gourieroux, C.; Monfort, A.; Trognon, A.
62
1984
Statistics and econometric models. Vol. 1: General concepts, estimation, prediction, and algorithms. Vol. 2: Testing, confidence regions, model selection, and asymptotic theory. Transl. from the French by Quang Vuong. Zbl 0870.62088
Gourieroux, Christian; Monfort, Alain
50
1995
Sufficient linear structures: econometric applications. Zbl 0436.62096
Gourieroux, Christian; Monfort, Alain
29
1980
Time series and dynamic models. Transl. from the French and ed. by Giampiero Gallo. Zbl 0861.62077
Gourieroux, Christian; Monfort, Alain
26
1997
Qualitative threshold ARCH models. Zbl 0792.62103
Gourieroux, Christian; Monfort, Alain
25
1992
Generalised residuals. Zbl 0619.62058
Gourieroux, Christian; Monfort, Alain; Renault, Eric; Trognon, Alain
25
1987
Simulation-based inference. A survey with special reference to panel data models. Zbl 0778.62104
Gourieroux, Christian; Monfort, Alain
24
1993
Testing nested or non-nested hypotheses. Zbl 0551.62075
Gourieroux, Christian; Monfort, Alain; Trognon, Alain
22
1983
Rational expectations in dynamic linear models: Analysis of the solutions. Zbl 0474.90031
Gourieroux, C.; Laffont, J. J.; Monfort, A.
20
1982
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models. Zbl 0481.62029
Gourieroux, Christian; Monfort, Alain
18
1981
Coherency conditions in simultaneous linear equation models with endogenous switching regimes. Zbl 0435.90039
Gourieroux, C.; Laffont, J. J.; Monfort, A.
12
1980
Identification of a mixed autoregressive-moving average process: The corner method. Zbl 0449.62065
Beguin, Jean-Marc; Gourieroux, Christian; Monfort, Alain
10
1980
Quadratic stochastic intensity and prospective mortality tables. Zbl 1140.91418
Gourieroux, C.; Monfort, A.
9
2008
Bayesian estimation of switching ARMA models. Zbl 1070.62515
Billio, M.; Monfort, A.; Robert, C. P.
9
1999
Simulated residuals. Zbl 0619.62057
Gourieroux, Christian; Monfort, Alain; Renault, Eric; Trognon, Alain
9
1987
Some useful equivalence properties of Hausman’s test. Zbl 1328.62618
Holly, Alberto; Monfort, Alain
9
1986
On the problem of missing data in linear models. Zbl 0476.62089
Gourieroux, Christian; Monfort, Alain
6
1981
Switching state-space models: likelihood function, filtering and smoothing. Zbl 0944.62085
Billio, Monica; Monfort, Alain
5
1998
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form. Zbl 0849.62048
Gouriéroux, Christian; Monfort, Alain; Renault, Eric
5
1996
Estimation and test in probit models with serial correlation. Zbl 0576.62085
Gourieroux, C.; Monfort, A.; Trognon, A.
5
1984
Disequilibrium econometrics in simultaneous equations systems. Zbl 0426.90013
Gourieroux, C.; Laffont, J. J.; Monfort, A.
5
1980
From a VAR model to a structural model, with an application to the wage- price spiral. Zbl 0713.62109
Monfort, A.; Rabemananjara, R.
4
1990
Testing for common roots. Zbl 0669.62099
Gourieroux, C.; Monfort, A.; Renault, E.
4
1989
Decomposing euro-area sovereign spreads: credit and liquidity risks. Zbl 1417.91531
Monfort, Alain; Renne, Jean-Paul
3
2014
Disequilibrium econometrics in dynamic models. Zbl 0421.62085
Laffont, Jean-Jacques; Monfort, Alain
3
1979
Staying at zero with affine processes: an application to term structure modelling. Zbl 1377.62199
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; Roussellet, Guillaume
2
2017
A quadratic Kalman filter. Zbl 1337.91150
Monfort, Alain; Renne, Jean-Paul; Roussellet, Guillaume
2
2015
Pricing default events: surprise, exogeneity and contagion. Zbl 1311.91186
Gouriéroux, C.; Monfort, A.; Renne, J. P.
2
2014
Consistent pseudo-maximum likelihood estimators and groups of transformations. Zbl 1420.62412
Gouriéroux, C.; Monfort, A.; Zakoïan, J.-M.
1
2019
Statistical inference for independent component analysis: application to structural VAR models. Zbl 1443.62262
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul
1
2017
Pricing with finite dimensional dependence. Zbl 1337.91143
Gourieroux, C.; Monfort, A.
1
2015
Allocating systemic risk in a regulatory perspective. Zbl 1287.91091
Gourieroux, C.; Monfort, A.
1
2013
Fourth order pseudo maximum likelihood methods. Zbl 1441.62733
Holly, Alberto; Monfort, Alain; Rockinger, Michael
1
2011
Domain restrictions on interest rates implied by no arbitrage. Zbl 1214.91120
Gourieroux, C.; Monfort, A.
1
2011
Bilinear term structure model. Zbl 1232.91680
Gourieroux, C.; Monfort, A.
1
2011
Econometric specification of the risk neutral valuation model. Zbl 0959.62096
Clement, E.; Gourieroux, C.; Monfort, A.
1
2000
Tests of the equilibrium vs. disequilibrium hypotheses: A comment. Zbl 0461.62088
Gourieroux, Christian; Laffont, Jean-Jacques; Monfort, Alain
1
1980
Consistent pseudo-maximum likelihood estimators and groups of transformations. Zbl 1420.62412
Gouriéroux, C.; Monfort, A.; Zakoïan, J.-M.
1
2019
Staying at zero with affine processes: an application to term structure modelling. Zbl 1377.62199
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; Roussellet, Guillaume
2
2017
Statistical inference for independent component analysis: application to structural VAR models. Zbl 1443.62262
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul
1
2017
A quadratic Kalman filter. Zbl 1337.91150
Monfort, Alain; Renne, Jean-Paul; Roussellet, Guillaume
2
2015
Pricing with finite dimensional dependence. Zbl 1337.91143
Gourieroux, C.; Monfort, A.
1
2015
Decomposing euro-area sovereign spreads: credit and liquidity risks. Zbl 1417.91531
Monfort, Alain; Renne, Jean-Paul
3
2014
Pricing default events: surprise, exogeneity and contagion. Zbl 1311.91186
Gouriéroux, C.; Monfort, A.; Renne, J. P.
2
2014
Allocating systemic risk in a regulatory perspective. Zbl 1287.91091
Gourieroux, C.; Monfort, A.
1
2013
Fourth order pseudo maximum likelihood methods. Zbl 1441.62733
Holly, Alberto; Monfort, Alain; Rockinger, Michael
1
2011
Domain restrictions on interest rates implied by no arbitrage. Zbl 1214.91120
Gourieroux, C.; Monfort, A.
1
2011
Bilinear term structure model. Zbl 1232.91680
Gourieroux, C.; Monfort, A.
1
2011
Quadratic stochastic intensity and prospective mortality tables. Zbl 1140.91418
Gourieroux, C.; Monfort, A.
9
2008
Econometric specification of stochastic discount factor models. Zbl 1420.91461
Gourieroux, C.; Monfort, A.
75
2007
Econometric specification of the risk neutral valuation model. Zbl 0959.62096
Clement, E.; Gourieroux, C.; Monfort, A.
1
2000
Bayesian estimation of switching ARMA models. Zbl 1070.62515
Billio, M.; Monfort, A.; Robert, C. P.
9
1999
Switching state-space models: likelihood function, filtering and smoothing. Zbl 0944.62085
Billio, Monica; Monfort, Alain
5
1998
Time series and dynamic models. Transl. from the French and ed. by Giampiero Gallo. Zbl 0861.62077
Gourieroux, Christian; Monfort, Alain
26
1997
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form. Zbl 0849.62048
Gouriéroux, Christian; Monfort, Alain; Renault, Eric
5
1996
Statistics and econometric models. Vol. 1: General concepts, estimation, prediction, and algorithms. Vol. 2: Testing, confidence regions, model selection, and asymptotic theory. Transl. from the French by Quang Vuong. Zbl 0870.62088
Gourieroux, Christian; Monfort, Alain
50
1995
Encompassing and indirect inference. Zbl 1448.62202
Gouriéroux, Christian; Monfort, Alain
65
1993
Simulation-based inference. A survey with special reference to panel data models. Zbl 0778.62104
Gourieroux, Christian; Monfort, Alain
24
1993
Qualitative threshold ARCH models. Zbl 0792.62103
Gourieroux, Christian; Monfort, Alain
25
1992
From a VAR model to a structural model, with an application to the wage- price spiral. Zbl 0713.62109
Monfort, A.; Rabemananjara, R.
4
1990
Testing for common roots. Zbl 0669.62099
Gourieroux, C.; Monfort, A.; Renault, E.
4
1989
Generalised residuals. Zbl 0619.62058
Gourieroux, Christian; Monfort, Alain; Renault, Eric; Trognon, Alain
25
1987
Simulated residuals. Zbl 0619.62057
Gourieroux, Christian; Monfort, Alain; Renault, Eric; Trognon, Alain
9
1987
Some useful equivalence properties of Hausman’s test. Zbl 1328.62618
Holly, Alberto; Monfort, Alain
9
1986
Pseudo maximum likelihood methods: Theory. Zbl 0575.62031
Gourieroux, C.; Monfort, A.; Trognon, A.
149
1984
Pseudo maximum likelihood methods: Applications to Poisson models. Zbl 0575.62032
Gourieroux, C.; Monfort, A.; Trognon, A.
62
1984
Estimation and test in probit models with serial correlation. Zbl 0576.62085
Gourieroux, C.; Monfort, A.; Trognon, A.
5
1984
Testing nested or non-nested hypotheses. Zbl 0551.62075
Gourieroux, Christian; Monfort, Alain; Trognon, Alain
22
1983
Likelihood ratio test, Wald test, and Kuhn-Tucker test in linear models with inequality constraints on the regression parameters. Zbl 0483.62058
Gourieroux, Christian; Holly, Alberto; Monfort, Alain
79
1982
Rational expectations in dynamic linear models: Analysis of the solutions. Zbl 0474.90031
Gourieroux, C.; Laffont, J. J.; Monfort, A.
20
1982
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models. Zbl 0481.62029
Gourieroux, Christian; Monfort, Alain
18
1981
On the problem of missing data in linear models. Zbl 0476.62089
Gourieroux, Christian; Monfort, Alain
6
1981
Sufficient linear structures: econometric applications. Zbl 0436.62096
Gourieroux, Christian; Monfort, Alain
29
1980
Coherency conditions in simultaneous linear equation models with endogenous switching regimes. Zbl 0435.90039
Gourieroux, C.; Laffont, J. J.; Monfort, A.
12
1980
Identification of a mixed autoregressive-moving average process: The corner method. Zbl 0449.62065
Beguin, Jean-Marc; Gourieroux, Christian; Monfort, Alain
10
1980
Disequilibrium econometrics in simultaneous equations systems. Zbl 0426.90013
Gourieroux, C.; Laffont, J. J.; Monfort, A.
5
1980
Tests of the equilibrium vs. disequilibrium hypotheses: A comment. Zbl 0461.62088
Gourieroux, Christian; Laffont, Jean-Jacques; Monfort, Alain
1
1980
Disequilibrium econometrics in dynamic models. Zbl 0421.62085
Laffont, Jean-Jacques; Monfort, Alain
3
1979
all top 5

Cited by 1,042 Authors

29 Gourieroux, Christian
23 Monfort, Alain
10 Jasiak, Joann
8 Lucas, André
8 Renault, Eric
8 Wooldridge, Jeffrey M.
7 King, Maxwell Leslie
6 Dufour, Jean-Marie
5 Calzolari, Giorgio
5 Ghysels, Eric
5 McAleer, Michael
5 Patton, Andrew J.
5 Sentana, Enrique
5 Zakoïan, Jean-Michel
4 Blake, David
4 Cysneiros, Francisco José A.
4 Dellaportas, Petros
4 Dionne, Georges
4 Diop, Aliou
4 Dupuy, Jean-François
4 Fahrmeir, Ludwig
4 Francq, Christian
4 Gagliardini, Patrick
4 Guillen, Montserrat
4 Lee, Lung-Fei
4 Meenagh, David
4 Minford, Patrick
4 Paula, Gilberto A.
4 Renne, Jean-Paul
4 Robert, Christian P.
4 Tian, Yongge
4 Tremayne, Andrew R.
4 Vuong, Quang H.
4 Windmeijer, Frank A. G.
3 Baltagi, Badi H.
3 Billio, Monica
3 Blundell, Richard W.
3 Bollerslev, Tim
3 Carrasco, Marine
3 Cavicchioli, Maddalena
3 Darolles, Serge
3 Desjardins, Denise
3 Elliott, Robert James
3 Evans, George W. II
3 Fiorentini, Gabriele
3 Frangos, Nikos E.
3 Geweke, John F.
3 Godfrey, Leslie G.
3 Guay, Alain
3 Hong, Han
3 Hwang, Sun Young
3 Jung, Robert C.
3 Kristensen, Dennis
3 La Vecchia, Davide
3 Li, Qi
3 MacMinn, Richard D.
3 Orme, Chris D.
3 Palm, Franz C.
3 Park, Jong An
3 Peracchi, Franco
3 Pesaran, M. Hashem
3 Potscher, Benedikt M.
3 Qian, Hailong
3 Richard, Jean-Francois
3 Roussellet, Guillaume
3 Scaillet, Olivier
3 Schmidt, Peter
3 Silva, J. M. C. Santos
3 Timmermann, Allan G.
3 Trognon, Alain
3 Wickens, Michael R.
3 Winkelmann, Rainer
2 Abadir, Karim M.
2 Andersen, Torben G.
2 Angers, Jean-François
2 Badescu, Alexandru M.
2 Baek, Jee Seon
2 Bartels, Robert
2 Basawa, Ishwar V.
2 Bera, Anil K.
2 Blasques, Francisco
2 Blazsek, Szabolcs
2 Böckenholt, Ulf
2 Boucher, Jean-Philippe
2 Brannas, Kurt
2 Casalini, Riccardo
2 Charlier, Erwin
2 Chen, Qian
2 Chesher, Andrew
2 Choi, Minsu
2 Choirat, Christine
2 Čížek, Pavel
2 Comte, Fabienne
2 Cribari-Neto, Francisco
2 Davis, Karelyn A.
2 de Luna, Xavier
2 Demos, Antonis
2 Diallo, Alpha Oumar
2 Diop, Aba
2 Dörre, Achim
...and 942 more Authors
all top 5

Cited in 108 Serials

199 Journal of Econometrics
39 Economics Letters
30 Journal of Statistical Planning and Inference
28 Communications in Statistics. Theory and Methods
24 Computational Statistics and Data Analysis
20 Journal of Economic Dynamics & Control
19 Statistical Papers
17 Statistics & Probability Letters
16 Journal of Time Series Analysis
16 Journal of Statistical Computation and Simulation
15 Econometric Reviews
14 Econometric Theory
10 Insurance Mathematics & Economics
8 Statistics
8 European Journal of Operational Research
8 ASTIN Bulletin
8 Statistics and Computing
8 Journal of Econometric Methods
6 Journal of Applied Statistics
6 Quantitative Finance
5 Psychometrika
5 Journal of Multivariate Analysis
5 Statistical Science
4 The Canadian Journal of Statistics
4 International Economic Review
4 Computational Statistics
4 Communications in Statistics. Simulation and Computation
4 Open Economies Review
4 The Econometrics Journal
3 Metrika
3 Annals of the Institute of Statistical Mathematics
3 The Annals of Statistics
3 Applied Mathematics and Computation
3 Automatica
3 Fuzzy Sets and Systems
3 Journal of Economic Theory
3 Statistica Neerlandica
3 International Journal of Theoretical and Applied Finance
3 North American Actuarial Journal
3 Electronic Journal of Statistics
2 Computers & Mathematics with Applications
2 Scandinavian Journal of Statistics
2 Biometrics
2 Journal of the American Statistical Association
2 Journal of Mathematical Psychology
2 Mathematics and Computers in Simulation
2 Games and Economic Behavior
2 Statistische Hefte
2 Computational Economics
2 Mathematical Methods of Statistics
2 Mathematical Finance
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Applied Stochastic Models in Business and Industry
2 Scandinavian Actuarial Journal
2 Decisions in Economics and Finance
2 Review of Derivatives Research
2 Journal of the Korean Statistical Society
2 Journal of Statistical Theory and Practice
2 The Annals of Applied Statistics
2 SIAM Journal on Financial Mathematics
2 Quantitative Economics
1 Biological Cybernetics
1 Mathematical Biosciences
1 Econometrica
1 Journal of Applied Probability
1 Journal of Computational and Applied Mathematics
1 Journal of Mathematical Economics
1 The Journal of Mathematical Sociology
1 Journal of Soviet Mathematics
1 Kybernetika
1 Applied Mathematics and Mechanics. (English Edition)
1 Revue de Statistique Appliquée
1 Probability Theory and Related Fields
1 International Journal of Approximate Reasoning
1 Signal Processing
1 The Annals of Applied Probability
1 Numerical Algorithms
1 Stochastic Processes and their Applications
1 Test
1 Journal of Nonparametric Statistics
1 Mathematical Population Studies
1 Studies in Nonlinear Dynamics and Econometrics
1 Journal of the Royal Statistical Society. Series C. Applied Statistics
1 Discrete Dynamics in Nature and Society
1 Statistical Inference for Stochastic Processes
1 Journal of Economic Growth
1 Optimization and Engineering
1 Lobachevskii Journal of Mathematics
1 Biostatistics
1 Journal of Systems Science and Complexity
1 Statistical Modelling
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Multiscale Modeling & Simulation
1 Statistical Applications in Genetics and Molecular Biology
1 Asia-Pacific Financial Markets
1 SORT. Statistics and Operations Research Transactions
1 Statistical Methods and Applications
1 Advances in Data Analysis and Classification. ADAC
1 AStA. Advances in Statistical Analysis
1 Journal of the Italian Statistical Society
...and 8 more Serials

Citations by Year