C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:56:14+00:00GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide
https://www.bankofcanada.ca/2000/01/working-paper-2000-2/
State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]2000-01-07T11:01:48+00:00enGAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide2000-01-07Econometric and statistical methodsWorking Paper 2000-2 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-2.pdfGAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's GuideMaral KichianJanuary 2000CC3C32C8C82C87C89