Lynda A. Khalaf

Languages spoken other than English: French, Arabic

Research fields: econometrics, energy econometrics, financial econometrics

Expertise:
• simulation-based inference
• identification-robust inference
• multivariate models
• asset pricing models
• inflation modelling

Selected publications:

“An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices” (with Jean-Thomas Bernard, Jean-Marie Dufour, and Maral Kichian), Journal of Applied Econometrics, forthcoming.

“Identification Robust Confidence Sets Methods for Inference on Parameter Ratios with Application to Discrete Choice Models” (with Denis Bolduc and Clément Yélou), Journal of Econometrics, Vol. 157, No. 2 (August 2010), pp. 317–327.

“Multivariate Residual-Based Finite-Sample Tests for Serial Dependence and ARCH Effects with Applications to Asset Pricing Models” (with Jean-Marie Dufour and Marie-Claude Beaulieu), Journal of Applied Econometrics, Vol. 25, No. 2 (March 2010), pp. 263–285.

“On the Precision of Calvo Parameter Estimates in Structural NKPC Models” (with Jean-Marie Dufour and Maral Kichian), Journal of Economic Dynamics and Control, Vol 34, No. 9 (September 2010), pp. 1582–1595.

“Asset-Pricing Anomalies and Spanning: Multivariate and Multifactor Tests with Heavy-Tailed Distributions” (with Marie-Claude Beaulieu and Jean-Marie Dufour), Journal of Empirical Finance, Vol. 17, No. 4 (September 2010), pp. 763–782.

“Finite Sample Multivariate Structural Change Tests with Application to Energy Demand Models” (with Jean-Thomas Bernard, Nadhem Idoudi, and Clément Yélou), Journal of Econometrics, Vol. 141, No. 2 (December 2007), pp. 1219–1244.

“Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects” (with Jean-Marie Dufour, Jean-Thomas Bernard, and Ian Genest), Journal of Econometrics, Vol. 122, No. 2 (October 2004), pp. 317–347.