Lynda A. Khalaf
Full Professor and Co-Director of the CMFE
| Degrees: | B.A., M.B.A. (Beirut), Ph.D. (Montréal) |
| Phone: | 613-520-2600 x 8697 |
| Email: | lynda.khalaf@carleton.ca |
| Office: | A-801 Loeb |
| CV: | View |
Languages spoken other than English: French, Arabic
Research fields: econometrics, energy econometrics, financial econometrics
Biography:
Lynda Khalaf has generated methodological innovations in econometrics and contributed significantly to theoretical and empirical advances in economics more broadly. Her theoretical contributions are internationally recognized, especially regarding simulation-based and irregular inference methods. Her own empirical work challenges conventional wisdom on financial, macro-economic and environmental models.
CAREER HIGHLIGHTS
- Specialist in econometrics, 1997 PhD, Canada Research Chair holder 2004-2008, with more than 47 refereed publications in leading research outlets in Economics (with more than 1,300 citations[1]) and various and ongoing research funds from major Canadian foundations.
- Ranked in the top 5% of economists in the world according to RePEc.
- Directed and published with a number of graduate MA and PhD students, now mostly at the Canadian federal government and in academia. Four PhD students under supervision won medals or awards/distinctions for their thesis work.
- Served as associate and guest editor for Computational Statistics and Data Analysis, and for Actualité économique.
- Co-organized and served on the scientific and organizing committee of a number of major international conferences, and keynote speaker at five international events.
- Chaired the Social Sciences and Humanities Research Council of Canada Adjudication Committee 7 for Economics in 2009-2010.
- Presided the Société Canadienne de Science Économique: Président Désigné, 2011-2012; Président 2012-2013; Président sortant 2012-2013.
Through a 2002 study and in a number of subsequent papers with other co-authors, her work addressed the so-called curse of dimensionality and non-normal disturbances in multi-equation models. This work, which was among the first to introduce the Monte Carlo test method, was the seed for a now substantial literature on exact simulation-based inference. Khalaf has also employed the method to solve problems that were considered practically infeasible, on: distributional lack-of-fit test; simulation-based break-in-parameter tests in multivariate regressions; testing slowly evolving changes via time-varying parameters or random discontinuities; and forecast ability tests.
Her work since 2005 provided the first contributions with exact inference on portfolio efficiency and fundamental asset pricing models, relaxing the Gaussian assumption. Another strand of Khalaf’s research relates to identification-robust inference. Khalaf’s contributions in this area are among the very first that raised and addressed this problem for inference on asset pricing models and on popular inflation models.
Overall, Khalaf has published over 40 articles in leading field journals, including the Journal of Econometrics, Review of Economic Studies, Journal of Monetary Economics, Journal of Business and Economic Statistics, American Journal of Agricultural Economics, and Energy Journal. According to Google Scholar, Khalaf’s work received 1310 citations over her 20 years or so career, including 551 citations since 2011, with 126 citations in 2009 and 128 in 2015. In 2004, she was awarded a Tier II Canada Research Chair. Khalaf has served on the executive counsels of the national economic and econometric associations, presided the Quebec based SCSE and has actively participated in organizing and on the scientific committee of leading national and international conferences.
[1] According to Google Scholar as of 18 October 2016.
Expertise:
- simulation-based inference
- identification-robust inference
- multivariate models
- asset pricing models
- inflation modelling
Areas of Interest:
- Simulation-Based inference
- Identification-Robust Inference
- Multivariate Models
- Inflation Modeling
- Asset Pricing : estimation and inference
- Energy prices
Refereed Publications in the Last 6 Years:
Khalaf L (2023). Comment on: Identification robust testing of risk premia in finite samples [Halbert White Jr. Memorial JFEC invited Lecture, by Kleibergen, Kong and Zhan (2023)], Journal of Financial Econometrics 21, 298–302.
Antoine B., Khalaf L., Kichian M. and Z. Lin (2023). Simulation-based matching inference with applications to DSGE models. The Journal of Business and Economic Statistics 41, 321-338.
Khalaf L., Leccaditto A. and G. Urga (2022). Multilevel and Tail Risk Management. Journal of Financial Econometrics 20, Pages 839-874.
Beaulieu M.-C., Khalaf L., Kichian M. and O. Melin (2022). Endogeneity in Empirical Risk Analysis: Multivariate Finite Sample Inference on Catastrophe Bond Mutual Funds. Econometric Reviews 41, 1205-1242.
“Dynamic Panels with MIDAS Covariates: Nonlinearity, Estimation and Fit.” Khalaf L., Kichian M., Saunders C. and M. Voia (2021). The Journal of Econometrics 220, 589-605.
“Monte Carlo Two-Stage Indirect Inference (2SIF) for Autoregressive Panels.” Khalaf L. and C. Saunders (2020). The Journal of Econometrics 218, 419-434.
“Simultaneous Indirect Inference, Impulse Responses and ARMA models.” Khalaf L. and B. Peraza Lopez (2020). Econometrics 8(2).
“Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data.” Bernard J.-T., Chu B, Khalaf L. and M. Voia (2019). Annals of Economics and Statistics 134, 79-108.
“Combining p-values to Test for Multiple Structural Breaks in Cointegrated Regressions.” Bergamelli M., Bianchi A.-M., Khalaf L. and G. Urga (2019). The Journal of Econometrics 211, 461-482.
“Reliable inference for inequality measures with heavy-tailed distribution.” Dufour J.-M., Flachaire E. and L. Khalaf (2019). The Journal of Business and Economic Statistics 37, 457- 470.
“Oil Price Forecasts for Macroeconomic Projections: Experts Outlooks, Models, or Both?” Bernard J.-T., Khalaf L., Kichian M. and C. Yelou (2018). Macroeconomic Dynamics 22, 581-599.
“Confidence sets for inequality measures: Fieller-type methods.” In Productivity and Inequality, Springer Proceedings in Business and Economics, Green W., Khalaf L, Makdissi P., Sickles R.,Veall M. and M. Voia, eds. 143-156. Dufour J.-M., Flachaire E., Khalaf L. and A. Zalghout (2018).
Most Significant Career Research Contributions:
“Simulation-Based Finite and Large Sample Tests in Multivariate Regressions” (with Dufour, J.-M.), Journal of Econometrics, Volume 111, Issue 2, 2002, Pages 303-32.
“Simulation-Based Exact Tests for Heteroskedasticity and ARCH effects” (with Dufour. J.-M., J.-T. Bernard and I. Genest), Journal of Econometrics, Volume 122, 2004, Pages 317-347.
“Finite Sample Multivariate Structural Change Tests with Application to Energy Demand Models” (with Bernard J.-T., Idoudi N., and C. Yélou), Journal of Econometrics, Volume 141, 2007, Pages 1219-1244.
“Identification Robust Confidence Sets Methods for Inference on Parameter Ratios with Application to Discrete Choice Models” (with Bolduc D. and C. Yelou), Journal of Econometrics, Volume 157, 2010, Pages 317-327
“Identification-robust estimation and testing of the zero-beta CAPM” (with Beaulieu, M.-C. and Dufour. J.-M.), Review of Economic Studies, Volume 80, 2013, Pages 892-924.
“Identification-robust analysis of DSGE and structural macroeconomic models” (with Dufour, J.-M. and M. Kichian), Journal of Monetary Economics, Volume 60, 2013, Pages 340-350.