Bio

Gabriel Rodriguez Rondon is a Senior Economist in the Canadian Economic Analysis Department. His research focuses on time series econometrics and machine learning, with applications in macroeconomics and finance. He received his Ph.D. in Economics from McGill University.

Research Field(s): Applied Econometrics Econometric Theory Financial Economics Forecasting Monetary Economics Time Series

Staff research

Monte Carlo Likelihood-Ratio Tests for Markov Switching Models

Staff working paper 2026-23 Gabriel Rodriguez Rondon, Jean-Marie Dufour
This paper develops Monte Carlo likelihood-ratio tests for determining the number of regimes in Markov switching models. Unlike most existing procedures, which focus on testing one versus two regimes, the proposed methods allow testing an arbitrary number of regimes. They are valid in finite samples, robust to identification problems, and applicable to nonstationary, multivariate, and Markov switching GARCH models.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, C15, C2, C22, C3, C32, C4, C46, C5, C52, E, E3, E32 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting

Estimation and Inference for Stochastic Volatility Models with Heavy-Tailed Distributions

Staff working paper 2026-8 Gabriel Rodriguez Rondon, Jean-Marie Dufour, Md. Nazmul Ahsan
Statistical inference--both estimation and testing--for stochastic volatility (SV) models is known to be challenging and computationally demanding. We propose simple and efficient estimators for SV models with conditionally heavy-tailed error distributions, particularly the Student’s t and Generalized Exponential Distributions (GED). The estimators rely on a small set of moment conditions derived from ARMA-type representations of SV models, with an option to apply “winsorization” to improve stability and finite-sample performance. Except for the degrees of-freedom parameter, closed-form expressions are available for all other parameters, extending Ahsan and Dufour (2019, 2021), thus eliminating the need for numerical optimization or initial values. We derive the estimators’ asymptotic distribution and show that, due to their analytical tractability, they support reliable, and even exact, simulation-based inference via Monte Carlo or bootstrap methods. We assess their performance through extensive simulations and demonstrate their practical relevance in financial return data, which strongly reject the normality assumption in favor of heavy-tailed models.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, C13, C15, C2, C22, C5, C51, C53, C58 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Econometric, statistical and computational methods, Economic models

MSTest: An R-Package for Testing Markov Switching Models

Staff working paper 2026-7 Gabriel Rodriguez Rondon, Jean-Marie Dufour
We present the R package MSTest, which implements hypothesis testing procedures to determine the number of regimes in Markov switching models. The package provides several testing frameworks, including Monte Carlo likelihood ratio tests, moment-based tests, parameter stability tests, and classical likelihood ratio procedures.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, C15, C18, C6, C63, C8, C87 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting

The Government of Canada Debt Securities Data Set

Technical report No. 112 Jeffrey Gao, Francisco Rivadeneyra, Gabriel Rodriguez Rondon
We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.
Content Type(s): Staff research, Technical reports JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63 Research Theme(s): Financial markets and funds management, Funds management, Models and tools, Econometric, statistical and computational methods

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Journal publications

  • “Estimation and Inference for Higher-Order Stochastic Volatility Models With Leverage,” (with M. N. Ahsan and J.-M. Dufour), Journal of Time Series Analysis 46(6): p. 1064-1084, 2025.