C15 - Statistical Simulation Methods: General

• Common Trends and Common Cycles in Canadian Sectoral Output

  Staff Working Paper 2003-44 Francisco Barillas, Christoph Schleicher

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, E, E3, E32

• A Stochastic Simulation Framework for the Government of Canada's Debt Strategy

  Staff Working Paper 2003-10 David Bolder

  Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63

• Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach

  Staff Working Paper 2003-8 Andrew Rennison

  The author evaluates the ability of a variety of output-gap estimators to accurately measure the output gap in a model economy. A small estimated model of the Canadian economy is used to generate artificial data.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C1, C15, E, E3, E32

• Testing the Stability of the Canadian Phillips Curve Using Exact Methods

  Staff Working Paper 2003-7 Lynda Khalaf, Maral Kichian

  Postulating two different specifications for the Canadian Phillips curve (a purely backwardlooking model, and a partly backward-, partly forward-looking model), the authors test for structural breaks in the parameters of the equation. In each case, they account for the possibilities that: (i) breaks can be discrete, or continuous, and (ii) available data samples may be too small to justify using asymptotically valid structural-change tests.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C5, C52, E, E3, E31, E37