A journey to the world of econometrics and beyond

Assistant professor
Department of economics
University of Waterloo
Web page at the University:
    http://economics.uwaterloo.ca/Fac-Chausse.html
Email:pchausse@uwaterloo.ca

We don't realize how much of our lives are absolutely random.
                            (Robert Shiller)

Research Interest

I am interested in areas of econometrics related to the generalized method of moments (GMM) and the generalized empirical likelihood (GEL). In particular, I focus on cases in which moment conditions are defined on a continuum.

Here are some selected articles related to that subject:

Review of literature (2005) (in french)

GEL for a continuum of moment conditions (2011) (Submitted)

GMM Estimation of a Stochastic Volatility Model with Realized Volatility (2012), with Dinghai Xu. (Submitted)

I also have a special interest in developping packages for R. I made a small contribution to the fGarch package developped by the team of Rmetrics. I am also developping the first GMM package. It can be found using the following links and the guide has been published in the Journal of Statistical Software:

Stable package on CRAN
Most recent version on Rforge
article: GMM and GEL with R (2010)