Lynda A. Khalaf
|Degrees:||B.A., M.B.A. (Beirut), Ph.D. (Montréal)|
|Office:||A-801 Loeb, 613-520-2600 x 8697|
Languages spoken other than English: French, Arabic
Research fields: econometrics, energy econometrics, financial econometrics
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.
- 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) 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.
 According to Google Scholar as of 18 October 2016.
- 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
Econometric Theory and Methods
- Dufour, J.-M. and L. Khalaf (2002). Simulation-Based Finite and Large Sample Tests in Multivariate Regressions, Journal of Econometrics 111, 303-32.
- Dufour. J.-M., L. Khalaf, J.-T. Bernard and I. Genest (2004). Simulation-Based Exact Tests for Heteroskedasticity and ARCH effects, Journal of Econometrics, 122, 317-347.
- Bernard J.-T., Idoudi N., Khalaf L. and C. Yélou (2007). Finite Sample Multivariate Structural Change Tests with Application to Energy Demand Models, Journal of Econometrics 141, 1219-1244.
- Bolduc D., Khalaf L. and C. Yelou (2010). Identification Robust Confidence Sets Methods for Inference on Parameter Ratios with Application to Discrete Choice Models, Journal of Econometrics 157, 317-327.
- Khalaf L. and G. Urga (2014). Identification Robust Inference in Cointegrating Regressions. The Journal of Econometrics 182, 385-396.
- Dufour. J.-M, L. Khalaf and M.-C. Beaulieu (2014). Exact confidence set estimation and goodness-of-fit test methods for asymmetric heavy tailed stable distributions, The Journal of Econometrics 181, 3–14.
- Dufour J.-M, Khalaf L. and M. Kichian (2006). Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis, Journal of Economic Dynamic and Control, 30, 1707-1728. Contribution: one of the first works on identification robust inference on structural inflation models.
- Dufour, J.-M., L. Khalaf and M. Kichian (2010). On the Precision of Calvo Parameter Estimates in Structural NKPC Models, Journal of Economic Dynamic and Control 34, 1582-1595
- Dufour, J.-M., L. Khalaf and M. Kichian (2013). Identification-robust analysis of DSGE and structural macroeconomic models, Journal of Monetary Economics 60, 340-350.
Financial Econometric models
- Beaulieu, M.-C., Dufour. J.-M. and L. Khalaf (2007). Multivariate tests of mean-variance efficiency with possibly non-Gaussian errors: an exact simulation-based approach, Journal of Business and Economic Statistics, 25, 398-41.
- Beaulieu, M.-C., Dufour. J.-M. and L. Khalaf (2010). Asset pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions, Journal of Empirical Finance, 17, 763-782
- Beaulieu, M.-C., Dufour. J.-M. and L. Khalaf (2013). Identification-robust estimation and testing of the zero-beta CAPM, Review of Economic Studies 80, 892-924.
Energy and Resources Economics
- Saphores, J.-D., L. Khalaf and D. Pelletier (2002). On Jumps and ARCH Effects in Natural Resource Prices: An Application to Stumpage Prices from Pacific Northwest National Forests. American Journal of Agriculture Economics, 84(2), 387-400.
- Dufour J.-M, Bernard J.-T., Khalaf L. and M. Kichian (2012). An identification-robust test for time-varying parameters in the dynamics of energy prices, Journal of Applied Econometrics 27, 603-624.
- Bernard J.-T., Khalaf L., Kichian M. and S. McMahon (2015). The Convenience Yield and the Informational Content of the Oil Futures Price. Energy Journal 36, 2015, 29-46.
- Khalaf L., Lin Z. and A. Reza. Identification and Persistence-Robust Exact Inference in DSGE Models.
- Khalaf L. and C. Saunders. Monte Carlo Two-Stage Indirect Inference (2SIF) for Autoregressive Panels.
- Dufour J.-M., Flachaire E. and L. Khalaf. Reliable inference for inequality measures with heavy-tailed distribution.
- Khalaf L. and Peraza López B. Simultaneous Indirect Inference, Impulse Responses and ARMA models.
- Bergamelli M., Bianchi A.-M., Khalaf L. and G. Urga. Combining p-values to Test for Multiple Structural Breaks in Cointegrated Regressions.
- Bergamelli M., Khalaf L. and G. Urga (2016). Weak Exogeneity and Stability Tests of Cointegrated Relations.