C1 - Econometric and Statistical Methods and Methodology: General
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Filtering for Current Analysis
This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles. -
Risk, Entropy, and the Transformation of Distributions
The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion. -
An Introduction to Wavelets for Economists
Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales. -
A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
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. -
Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
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. -
Testing for a Structural Break in the Volatility of Real GDP Growth in Canada
This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991. -
Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasticity. -
Fractional Cointegration and the Demand for M1
Using wavelets, the author estimates the fractional order of integration of a common long-run money-demand relationship whose parameters are obtained from a full-information maximum-likelihood procedure. -
Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry
Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports.