C - Mathematical and Quantitative Methods

• The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Estimation of the Total Private Cost for Large Businesses

  Technical Report No. 110 Valéry Dongmo Jiongo

  The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods faced low response rates and outliers in sample data for two of its retailer strata: chains and large independent businesses. This technical report investigates whether it is appropriate to combine these two strata to produce more accurate estimates of the total private cost to large businesses of the main payment methods.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C8, C83

• The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Calibration for Single-Location Retailers

  Technical Report No. 109 Heng Chen, Rallye Shen

  Calibrated weights are created to (a) reduce the nonresponse bias; (b) reduce the coverage error; and (c) make the weighted estimates from the sample consistent with the target population in terms of certain key variables.

  Content Type(s): Staff research, Technical reports Topic(s): Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C8, C81, C83

• The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Sampling

  Technical Report No. 108 Angelika Welte

  In 2015, the Bank of Canada undertook the large-scale Retailer Survey on the Cost of Payment Methods.

  Content Type(s): Staff research, Technical reports Topic(s): Central bank research, Econometric and statistical methods JEL Code(s): C, C8, C81, C83

• The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Nonresponse

  Technical Report No. 107 Stan Hatko

  Nonresponse is a considerable challenge in the Retailer Survey on the Cost of Payment Methods conducted by the Bank of Canada in 2015. There are two types of nonresponse in this survey: unit nonresponse, in which a business does not reply to the entire survey, and item nonresponse, in which a business does not respond to particular questions within the survey.

  Content Type(s): Staff research, Technical reports Topic(s): Central bank research JEL Code(s): C, C8, C81, C83

• Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects

  Staff Working Paper 2017-10 Sermin Gungor, Richard Luger

  We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C3, C32, G, G1, G14