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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 forec[...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. The proposed test is shown to have[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of c[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical a[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of [...]
2000 | Text | Staff Working Paper - Document de travail du personnel |
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In an era when the primary policy instrument is the level of the short-term interest rate, a comparison of that rate with some equilibrium rate can be a useful guide for [...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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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 [...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach tha[...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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Financial and monetary variables have long been known to contain useful leading information regarding economic activity. In this paper, the authors wish to determine whet[...]
1999 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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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-informat[...]
2000 | Text | Staff Working Paper - Document de travail du personnel |
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