Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized struct[...]

Statistical inference—estimation and testing—for stochastic volatility models is challenging and computationally expensive. This problem is compounded when leverage effec[...]

Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two re[...]

Full- and limited-information identification-robust methods are proposed for structural systems, notably DSGE models, which are valid whether identification is weak or st[...]

This paper proposes inference strategies for conditional and unconditional asset pricing models, which cover beta pricing, the zero-beta rate, risk prices, Jensen's alpha[...]

We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverti[...]

We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverti[...]

We use identification-robust methods to assess a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali - Gertler [1999. Inflation dynamics: a structural econ[...]

The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation. They focus on Galí and Gertler's (1999) [...]

We study the extent of empirical information that can be obtained from alternative structural New Keynesian inflation equations concerning the average duration of prices [...]