C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models

• An Eclectic Approach to Estimating U.S. Potential GDP

  Staff Working Paper 2002-36 Marc-André Gosselin, René Lalonde

  The authors describe the principal results obtained from a new method applied to the estimation of potential U.S. GDP.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C32, E, E2, E23, E3, E32

• Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence

  Staff Working Paper 2002-31 Céline Gauthier, David Tessier

  In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): C, C3, C32, F, F3, F31

• Evaluating Factor Models: An Application to Forecasting Inflation in Canada

  Staff Working Paper 2001-18 Marc-André Gosselin, Greg Tkacz

  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.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E37

• GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide

  Staff Working Paper 2000-2 Maral Kichian

  State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89

• Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples

  Staff Working Paper 1997-1 Marie-Josée Godbout, Simon van Norden

  This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, F, F3, F31

• The Bank of Canada's New Quarterly Projection Model, Part 2. A Robust Method for Simulating Forward-Looking Models

  Technical Report No. 73 John Armstrong, Richard Black, Douglas Laxton, David Rose

  In this report, we describe methods for solving economic models when expectations are presumed to have at least some element of consistency with the predictions of the model itself. We present analytical results that establish the convergence properties of alternative solution procedures for linear models with unique solutions. Only one method is guaranteed to converge, […]

  Content Type(s): Staff research, Technical reports Research Topic(s): Economic models JEL Code(s): C, C3, C32, C5, C53