Alain Guay - Latest

• 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 Topic(s): Econometric and statistical methods

• Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy

  Staff Working Paper 1995-2 Alain DeSerres, Alain Guay, Pierre St-Amant

  In this paper the authors show how potential output can be estimated and projected through an approach derived from the structural vector autoregression methodology. This approach is applied to the Mexican economy. To identify demand, supply and world oil shocks, the authors assume that demand shocks do not have a permanent effect on output and […]

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Potential output