Econometric and statistical methods

• Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

  Staff Working Paper 1996-3 Simon van Norden, Robert Vigfusson

  This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C6, C63

• Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions

  Staff Working Paper 1995-9 Alain DeSerres, Alain Guay

  authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long-run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory […]

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods

• Analytical Derivatives for Markov Switching Models

  Staff Working Paper 1995-7 Jeff Gable, Simon van Norden, Robert Vigfusson

  This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients […]

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods