Econometric and statistical methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T14:33:10+00:00An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
https://www.bankofcanada.ca/2005/12/working-paper-2005-45/
The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate.2005-12-03T11:37:34+00:00enAn Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate2005-12-03Econometric and statistical methodsInterest ratesWorking Paper 2005-45 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-45.pdfAn Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest RateIngrid LoDecember 2005CC1EE4Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?
https://www.bankofcanada.ca/2005/12/working-paper-2005-44/
The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts.2005-12-03T11:32:19+00:00enForecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?2005-12-03Econometric and statistical methodsInflation and pricesWorking Paper 2005-44 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-44.pdfForecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?Frédérick DemersAnnie De ChamplainDecember 2005CC5EE3E37Modelling and Forecasting Housing Investment: The Case of Canada
https://www.bankofcanada.ca/2005/12/working-paper-2005-41/
The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described.2005-12-01T15:55:15+00:00enModelling and Forecasting Housing Investment: The Case of Canada2005-12-01Econometric and statistical methodsEconomic modelsWorking Paper 2005-41 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-41.pdfModelling and Forecasting Housing Investment: The Case of CanadaFrédérick DemersDecember 2005EE2E27RR2R21An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia
https://www.bankofcanada.ca/2005/12/working-paper-2005-38/
Over the past few years, the ability of the United States to finance its current account deficit has been facilitated by massive purchases of U.S.2005-12-01T10:40:41+00:00enAn Empirical Analysis of Foreign Exchange Reserves in Emerging Asia2005-12-01Econometric and statistical methodsFinancial stabilityInternational topicsWorking Paper 2005-38 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-38.pdfAn Empirical Analysis of Foreign Exchange Reserves in Emerging AsiaMarc-André GosselinNicolas ParentDecember 2005CC2C23FF3F31GG1G15Testing the Parametric Specification of the Diffusion Function in a Diffusion Process
https://www.bankofcanada.ca/2005/11/working-paper-2005-35/
A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function.2005-11-01T13:52:10+00:00enTesting the Parametric Specification of the Diffusion Function in a Diffusion Process2005-11-01Econometric and statistical methodsInterest ratesWorking Paper 2005-35 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-35.pdfTesting the Parametric Specification of the Diffusion Function in a Diffusion ProcessFuchun LiNovember 2005CC1C12C14Forecasting Canadian GDP: Region-Specific versus Countrywide Information
https://www.bankofcanada.ca/2005/11/working-paper-2005-31/
The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth.2005-11-01T12:50:45+00:00enForecasting Canadian GDP: Region-Specific versus Countrywide Information2005-11-01Econometric and statistical methodsWorking Paper 2005-31 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-31.pdfForecasting Canadian GDP: Region-Specific versus Countrywide InformationFrédérick DemersDavid DupuisNovember 2005CC3C32C5C53EE1E17Intertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money
https://www.bankofcanada.ca/2005/10/working-paper-2005-30/
The hypothesis of intertemporal substitution in labour supply has a history of empirical failure when confronted with aggregate time-series data.2005-10-01T12:45:37+00:00enIntertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money2005-10-01Business fluctuations and cyclesEconometric and statistical methodsLabour marketsWorking Paper 2005-30 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-30.pdfIntertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with MoneyAli DibLouis PhaneufOctober 2005CC5C52EE2E24E3E32JJ2J22Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis
https://www.bankofcanada.ca/2005/10/working-paper-2005-27/
The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation.2005-10-01T11:18:22+00:00enInflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis2005-10-01Econometric and statistical methodsInflation and pricesWorking Paper 2005-27 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-27.pdfInflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric AnalysisJean-Marie DufourLynda KhalafMaral KichianOctober 2005CC1C13C5C52EE3E31Endogenous Central Bank Credibility in a Small Forward-Looking Model of the U.S. Economy
https://www.bankofcanada.ca/2005/06/working-paper-2005-16/
The linkages between inflation and the economy's cyclical position are thought to be strongly affected by the credibility of monetary authorities.2005-06-01T13:50:16+00:00enEndogenous Central Bank Credibility in a Small Forward-Looking Model of the U.S. Economy2005-06-01Econometric and statistical methodsInflation and pricesMonetary policy transmissionWorking Paper 2005-16 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-16.pdfEndogenous Central Bank Credibility in a Small Forward-Looking Model of the U.S. EconomyRené LalondeJune 2005CC3C32EE5E52Learning-by-Doing or Habit Formation?
https://www.bankofcanada.ca/2005/05/working-paper-2005-15/
In a recent paper, Chang, Gomes, and Schorfheide (2002) extend the standard real business cycle (RBC) model to allow for a learning-by-doing (LBD) mechanism whereby current labour supply affects future productivity.2005-05-01T13:44:38+00:00enLearning-by-Doing or Habit Formation?2005-05-01Business fluctuations and cyclesEconometric and statistical methodsEconomic modelsLabour marketsWorking Paper 2005-15 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-15.pdfLearning-by-Doing or Habit Formation?Hafedh BouakezTakashi KanoMay 2005CC5C52EE3E32JJ2J22