C15 - Statistical Simulation Methods: General

• Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach

  Staff Working Paper 2003-8 Andrew Rennison

  The author evaluates the ability of a variety of output-gap estimators to accurately measure the output gap in a model economy. A small estimated model of the Canadian economy is used to generate artificial data.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C1, C15, E, E3, E32

• Testing the Stability of the Canadian Phillips Curve Using Exact Methods

  Staff Working Paper 2003-7 Lynda Khalaf, Maral Kichian

  Postulating two different specifications for the Canadian Phillips curve (a purely backwardlooking model, and a partly backward-, partly forward-looking model), the authors test for structural breaks in the parameters of the equation. In each case, they account for the possibilities that: (i) breaks can be discrete, or continuous, and (ii) available data samples may be too small to justify using asymptotically valid structural-change tests.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C5, C52, E, E3, E31, E37

• A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data

  Staff Working Paper 2001-21 Fuchun Li, Greg Tkacz

  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 forecasting problems. We show that the test statistic is asymptotically distributed standard normal under the null hypothesis, and diverges to infinity when the null hypothesis is false.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C15, E, E3, E37

• Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry

  Staff Working Paper 2000-8 Lynda Khalaf, Maral Kichian

  Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C12, C15, L, L1, L11, L16

• Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples

  Staff Working Paper 1997-1 Marie-Josée Godbout, Simon van Norden

  This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, F, F3, F31

• A Simple Multivariate Filter for the Measurement of Potential Output

  Technical Report No. 59 Douglas Laxton, Robert Tetlow

  This paper examines techniques that have been used to estimate potential output and finds them wanting. We suggest a simple multivariate-filtering technique that is a generalization of the Hodrick-Prescott univariate filter. In univariate filters, only information about a variable itself is used in eliminating noise in order to obtain an estimate of the underlying trend. […]

  Content Type(s): Staff research, Technical reports Topic(s): Potential output JEL Code(s): C, C1, C15, E, E2