Faculty profile
Jean-Marie Dufour
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Research
Latest papers
On the Sensitivity of Granger Causality to Errors-In-Variables, Linear Transformations and Subsampling.
Journal of time series analysis · 2019 · senior author
Latest funding
- $114,500
Econometric methods for causal analysis and forecasting in macroeconomics and finance
SSHRC · 2025 · Principal investigator
- $45,394
Isolated at Work: A Comprehensive Examination of Workplace Loneliness
SSHRC · 2024 · Co-investigator
- $42,960
Multidimensional simulation-based inference with applications to asset pricing
SSHRC · 2024 · Co-investigator
1 publications.
On the Sensitivity of Granger Causality to Errors-In-Variables, Linear Transformations and Subsampling.
Anderson BDO, Deistler M, Dufour JM
Econometric methods for causal analysis and forecasting in macroeconomics and finance
Principal investigators: Dufour, Jean-Marie
Isolated at Work: A Comprehensive Examination of Workplace Loneliness
Principal investigators: McCarthy, Julie M.
Keywords: interpersonal relations; loneliness; job stress; job performance; employee well-being; emotions in the workplace; workplace relationships
Multidimensional simulation-based inference with applications to asset pricing
Principal investigators: Khalaf, Lynda
Keywords: multivariate models; simulation-based inference; finite sample inference; regularization; asset pricing
Causality, identification and missing variables in economics
Principal investigators: Dufour, Jean-Marie
Keywords: econometrics; errors in variables; nonlinear model; nonparametric model; multivariate model; time series; mispricing; risk factor; factor zoo
Causality, identification and missing variables in economics
Principal investigators: Dufour, Jean-Marie
Keywords: econometrics; errors in variables; nonlinear model; nonparametric model; multivariate model; time series; mispricing; risk factor; factor zoo
Simulation-based inference on measures of financial risk
Principal investigators: Khalaf, Lynda
Keywords: financial risk; simulation-based inference; value at risk; expected shortfall; asset pricing
Simulation-based inference on measures of financial risk
Principal investigators: Khalaf, Lynda
Keywords: financial risk; simulation-based inference; value at risk; expected shortfall; asset pricing
Statistical methods for causality analysis and non-regular inference problems
Principal investigators: Dufour, Jean-Marie
Analyse factorielle et modèles dynamiques en macroéconomie
Principal investigators: Stevanovic, Dalibor
Keywords: (1) Analyse factorielle; (2) Modèles dynamiques; (3) Processus VARMA; (4) Représentation non fondamentale; (5) Analyse structurelle; (6) Prévision
Errors in variables, time-varying parameters, and simulation-based inference: robust tools for dynamic models and financial analysis
Principal investigators: Dufour, Jean-Marie
Keywords: econometrics; finance; time series; volatility; structural change; measurement errors; Monte Carlo test; bootstrap
From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.
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