C3 - Multiple or Simultaneous Equation Models; Multiple Variables

• GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide

  Staff Working Paper 2000-2 Maral Kichian

  State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89

• The Employment Costs of Downward Nominal-Wage Rigidity

  Staff Working Paper 2000-1 Jean Farès, Seamus Hogan

  In this paper, we use firm-level wage and employment data to address whether there is evidence of downward nominal-wage rigidity, and whether that rigidity is associated with a reduction in employment. We describe an estimation bias that can result when estimating reduced-form wage and employment equations and suggest a way of controlling for that bias. […]

  Content Type(s): Staff research, Staff working papers Topic(s): Labour markets JEL Code(s): C, C3, C33, J, J2, J23, J3, J31

• Forecasting Inflation with the M1-VECM: Part Two

  Staff Working Paper 1998-6 Walter Engert, Scott Hendry

  A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […]

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, Monetary aggregates JEL Code(s): C, C3, C5, E, E3, E4, E5

• A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions

  Staff Working Paper 1998-4 Pierre St-Amant, David Tessier

  In a recent article, Faust and Leeper (1997) discuss reasons why inference from structural VARs identified with long-run restrictions may not be reliable. In this paper, the authors argue that there are reasons to believe that Faust and Leeper's arguments are not devastating in practice. First, simulation exercises suggest that this approach does well when […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3

• 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

• The Bank of Canada's New Quarterly Projection Model, Part 2. A Robust Method for Simulating Forward-Looking Models

  Technical Report No. 73 John Armstrong, Richard Black, Douglas Laxton, David Rose

  In this report, we describe methods for solving economic models when expectations are presumed to have at least some element of consistency with the predictions of the model itself. We present analytical results that establish the convergence properties of alternative solution procedures for linear models with unique solutions. Only one method is guaranteed to converge, […]

  Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C3, C32, C5, C53