Econometric and statistical methods
-
-
A Forecasting Model for Inventory Investments in Canada
The authors present an empirical model to forecast short-run inventory investment behaviour for Canada. -
The U.S. New Keynesian Phillips Curve: An Empirical Assessment
The authors examine the evidence presented by Galí and Gertler (1999) and Galí, Gertler, and Lopez-Salido (2001, 2003) that the inflation dynamics in the United States can be well-described by the New Keynesian Phillips curve (NKPC). -
Estimating New Keynesian Phillips Curves Using Exact Methods
The authors use simple new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. -
Structural Change and Forecasting Long-Run Energy Prices
The authors test the statistical significance of Pindyck's (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. -
Modélisation « PAC » du secteur extérieur de l'économie américaine
In this paper, the authors use polynomial adjustment cost (PAC) models to analyze and forecast the main components of the U.S. trade sector. -
Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates
The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts. -
Common Trends and Common Cycles in Canadian Sectoral Output
The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle restrictions. -
The Canadian Phillips Curve and Regime Shifting
Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance. -
Forecasting and Analyzing World Commodity Prices
The authors develop simple econometric models to analyze and forecast two components of the Bank of Canada commodity price index: the Bank of Canada non-energy (BCNE) commodity prices and the West Texas Intermediate crude oil price. They present different methodologies to identify transitory and permanent components of movements in these prices.