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9252 Results

Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data

Staff Working Paper 2015-24 Pierre Guérin, Danilo Leiva-Leon
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome.

Sheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 2004

Staff Working Paper 2015-22 Geoffrey R. Dunbar, Chunling Fu
We use data from the Survey of Financial Security and the Survey of Household Spending to estimate the incidence and extent of income under-reporting in Canada in 1998 and 2004. We estimate that the proportion of households under-reporting income is roughly 35 to 50 per cent in both years.
Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): H, H2, H26, I, I3, I32, K, K4, K42

Changes in Payment Timing in Canada’s Large Value Transfer System

Staff Working Paper 2015-20 Nellie Zhang
This paper uncovers trends in payment timing in Canada’s Large Value Transfer System (LVTS) from 2003 to 2011. Descriptive analysis shows that LVTS payment activity has not been peaking in the late afternoon since 2008, and the improvement was most significant in 2009.
Content Type(s): Staff working papers Topic(s): Payment clearing and settlement systems JEL Code(s): E, E5, E50, G, G2, G20
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