Unit-Root Tests and Excess Returns Staff Working Paper 1996-10 Marie-Josée Godbout, Simon van Norden Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zero I(0), and even more sharply with the view that past returns have no ability to predict future returns (weak market efficiency). Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, 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 Research Topic(s): Potential output JEL Code(s): C, C1, C15, E, E2