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Teräsvirta and colleagues at the Netherlands Planning Bureau. pxii: The definition of SSD (p. 74) should be added to the list of abbreviations. pxiii: The definition of W (r) is in error: W (r) has variance r, not the variance of increments. p14: Definitions 3 and 5 would be in line if the signs '≤' and '≥' were replaced by '<' and '>', respectively, in the(More)
CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du Ministère du Développement économique et régional et de la Recherche, de même que des(More)
This study analyzes Canadian cigarette consumption and taxation between 1980 and 1994, a period in which there have been large price rises and declines, and a dramatic increase in the consumption of contraband tobacco products. We examine elasticities of legal cigarette sales and total sales (including contraband) with respect to the price of legal(More)
The astonishing increase in computer performance over the past two decades has made it possible for economists to base many statistical inferences on simulated, or bootstrap, distributions rather than on distributions obtained from asymptotic theory. In this paper, I review some of the basic ideas of bootstrap inference. The paper discusses Monte Carlo(More)
In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of possibly nonlinear hypotheses on the coefficients of MLR systems. For the case of uniform linear hypotheses, we(More)
for several useful comments. The second author gratefully acknowledges financial assistance from the Social Sciences and Humanities Research Council of Canada, the Government of Québec (fonds FCAR), the CRDE and CIRANO. Earlier versions of the paper circulated under the title Linear Estimation of Weak VARMA Models With a Macroeconomic Application. Centre(More)
We compare testing strategies for Granger noncausality in vector autoregressions (VARs) that may or may not have unit roots and cointegration. Sequential testing methods are examined; these test for cointegration and use either a differenced VAR or a vector error correction model (VECM), in which to undertake the main noncausality test. Basically, the(More)
Using a Bayesian learning model with heterogeneity across agents, our study aims to identify the relative importance of alternative pathways through which professional forecasters disagree and reach consensus on the term structure of inflation and real GDP forecasts, resulting in different patterns of forecast accuracy. Forecast disagreement arises from two(More)
Ce document est publié dans l'intention de rendre accessibles les résultats préliminaires de la recherche effectuée au CIRANO, afin de susciter des échanges et des suggestions. Les idées et les opinions émises sont sous l'unique responsabilité des auteurs, et ne représentent pas nécessairement les positions du CIRANO ou de ses partenaires. This paper(More)