Publications

Refereed publications

  • Power of Unit Root Tests Against Nonlinear and Noncausal Alternatives with an Application to the Brent Crude Oil Price (with Frédérique Bec, Heino Bohn Nielsen and Sarra Saïdi) Studies in Nonlinear Dynamics & Econometrics, 29 (2025), 1–18 Published version

  • Structural VAR Models in the Frequency Domain (with Florian Pelgrin) Journal of Econometrics, 236 (2023), article 105466 Published versionManuscriptOnline appendixWorking paper

  • Identification of Structural Vector Autoregressions Through Higher Unconditional Moments Journal of Econometrics, 225 (2021), 27–46 ManuscriptSupplement

  • When is Nonfundamentalness in SVARs a Real Problem? (with Paul Beaudry, Patrick Fève and Franck Portier) Review of Economic Dynamics, 30 (2019), 221–243 Manuscript

  • Sentiments in SVARs (with Patrick Fève) The Economic Journal, 129 (2019), 877–896 ManuscriptOnline appendix

  • Structural Change Tests for GEL Criteria (with Jean-François Lamarche) Econometric Reviews, 37 (2018), 1000–1032 ManuscriptSupplement

  • Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions for Weakly Dependent Data (with Florian Pelgrin) Econometric Reviews, 35 (2016), 344–372 Published versionManuscriptOnline appendix

  • Anticipations, bruits et sentiments L’Actualité économique, 92 (2016), 621–648 Published version

  • Disaggregation Methods Based on MIDAS Regression (with Alain Maurin) Economic Modelling, 50 (2015), 123–172 Published versionManuscript

  • Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions (with Jérémy Chaudourne and Patrick Fève) Journal of Economic Dynamics and Control, 41 (2014), 154–172 Published version

  • Robust Adaptive Rate-Optimal Testing for the White Noise Hypothesis (with Emmanuel Guerre and Stepana Lazarova) Journal of Econometrics, 176 (2013), 134–145 Published version

  • Structural Change Tests Based on Implied Probabilities for GEL Criteria (with Jean-François Lamarche) Econometric Theory, 28 (2012), 1186–1228 Published versionManuscript

  • Endogenous Business-Cycle Propagation and the Persistence Problem (with Steve Ambler and Louis Phaneuf) Journal of Economic Dynamics and Control, 36 (2012), 47–62 Published versionManuscript

  • Identification of Technology Shocks in Structural VARs (with Patrick Fève) The Economic Journal, 120 (2010), 1284–1318 Published versionManuscript

  • The Response of Hours to a Technology Shock (with Patrick Fève) Journal of Money, Credit and Banking, 41 (2009), 987–1013 Published versionManuscript

  • Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model (with Frédérique Bec and Emmanuel Guerre) Journal of Econometrics, 142 (2008), 94–133 Published version

  • Indirect Inference and Calibration of Dynamic Stochastic General Equilibrium Models (with Ramdan Dridi and Eric Renault) Journal of Econometrics, 136 (2007), 397–430 Published version

  • A Data-Driven Nonparametric Specification Test for Dynamic Regression Models (with Emmanuel Guerre) Econometric Theory, 22 (2006), 543–586

  • Do Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles? (with Pierre St-Amant) Annales d’Économie et de Statistique, 77 (2005), 133–156

  • Les neuf vies de la courbe de Phillips américaine : réincarnations ou résilience? (with Yvon Fauvel and Alain Paquet) L’Actualité économique, 81 (2005), 665–691 Published version

  • Testing for Structural Change in the Presence of Auxiliary Models (with Eric Ghysels) Econometric Theory, 20 (2004), 1168–1202

  • Optimal Predictive Tests Econometric Reviews, 22 (2003), 379–410

  • Structural Change Tests for Simulated Method of Moments (with Eric Ghysels) Journal of Econometrics, 115 (2003), 91–123

  • Indirect Inference, Nuisance Parameter and Threshold Moving Average Models (with Olivier Scaillet) Journal of Business and Economic Statistics, 21 (2003), 122–132

  • The New Phillips Curve in Canada (with Richard Luger and Zhenhua Zhu) In Price Adjustment and Monetary Policy, proceedings of a conference held by the Bank of Canada (2002) Published version

  • A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap (with Chantal Dupasquier and Pierre St-Amant) Journal of Macroeconomics, 21 (1999), 577–595

  • Predictive Tests for Structural Change with Unknown Breakpoint (with Eric Ghysels and Alastair Hall) Journal of Econometrics, 82 (1998), 209–233

  • What Do Interest Rates Reveal about the Functioning of Real Business Cycle Models? (with Paul Beaudry) Journal of Economic Dynamics and Control, 20 (1996), 1661–1682