Econometric and statistical methods - Bank of Canada
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2024-03-28T11:06:13+00:00
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Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
https://www.bankofcanada.ca/1996/08/working-paper-1996-11/
Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles.
1996-08-03T16:35:30+00:00
en
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
1996-08-03
Econometric and statistical methods
Working Paper 1996-11
https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-11.pdf
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
Simon van Norden
Robert Vigfusson
August 1996
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C2
C22
C5
C52
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Unit-Root Tests and Excess Returns
https://www.bankofcanada.ca/1996/08/working-paper-1996-10/
Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zero I(0), and even more sharply with the view that past returns have no ability to predict future returns (weak market efficiency).
1996-08-02T16:16:04+00:00
en
Unit-Root Tests and Excess Returns
1996-08-02
Econometric and statistical methods
Working Paper 1996-10
https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-10.pdf
Unit-Root Tests and Excess Returns
Marie-Josée Godbout
Simon van Norden
August 1996
C
C1
C12
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F3
F31