Greg Tkacz - Latest - Bank of Canada
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2024-03-28T11:50:10+00:00
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A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
https://www.bankofcanada.ca/2001/12/working-paper-2001-21/
This paper describes a new test for evaluating conditional density functions that remains valid when the data are time-dependent and that is therefore applicable to forecasting problems. We show that the test statistic is asymptotically distributed standard normal under the null hypothesis, and diverges to infinity when the null hypothesis is false.
2001-12-01T10:34:02+00:00
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A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
2001-12-01
Econometric and statistical methods
Working Paper 2001-21
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-21.pdf
A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
Fuchun Li
Greg Tkacz
December 2001
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C1
C12
C15
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E3
E37
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Evaluating Factor Models: An Application to Forecasting Inflation in Canada
https://www.bankofcanada.ca/2001/11/working-paper-2001-18/
This paper evaluates the forecasting performance of factor models for Canadian inflation. This type of model was introduced and examined by Stock and Watson (1999a), who have shown that it is quite promising for forecasting U.S. inflation.
2001-11-01T07:41:10+00:00
en
Evaluating Factor Models: An Application to Forecasting Inflation in Canada
2001-11-01
Econometric and statistical methods
Inflation and prices
Working Paper 2001-18
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-18.pdf
Evaluating Factor Models: An Application to Forecasting Inflation in Canada
Marc-André Gosselin
Greg Tkacz
November 2001
C
C3
C32
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E3
E37
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Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
https://www.bankofcanada.ca/2001/07/working-paper-2001-12/
This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters.
2001-07-01T15:10:54+00:00
en
Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
2001-07-01
Econometric and statistical methods
Working Paper 2001-12
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-12.pdf
Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
Fuchun Li
Greg Tkacz
July 2001
C
C1
C14
C5
C53
E
E2
E27