Staff working papers
Dynamic Factor Analysis for Measuring MoneyTechnological innovations in the financial industry pose major problems for the measurement of monetary aggregates. The authors describe work on a new measure of money that has a more satisfactory means of identifying and removing the effects of financial innovations.
State Space and ARMA Models: An Overview of the EquivalenceIn this paper known results about the equivalence of state space and autoregressive moving-average models with exogenous inputs (ARMAX) (including vector auto-regressive or VAR models) are reviewed. While most of these results are not new, no single reference appears to bring together several important related points.
Bank of Canada Review articles
September 15, 2008