Econometric and statistical methods
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Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?
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. -
Modelling and Forecasting Housing Investment: The Case of Canada
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. -
An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia
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. -
Testing the Parametric Specification of the Diffusion Function in a Diffusion Process
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. -
Forecasting Canadian GDP: Region-Specific versus Countrywide Information
The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth. -
Intertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money
The hypothesis of intertemporal substitution in labour supply has a history of empirical failure when confronted with aggregate time-series data. -
Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis
The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation. -
Endogenous Central Bank Credibility in a Small Forward-Looking Model of the U.S. Economy
The linkages between inflation and the economy's cyclical position are thought to be strongly affected by the credibility of monetary authorities. -
Learning-by-Doing or Habit Formation?
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.