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We propose a new model for the variance between multiple time series, the Regime Switching Dynamic Correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follows a regime switching model; it is constant within a regime but different across regimes. The transitions between the regimes are governed by a… (More)
Reproduction partielle permise avec citation du document source, incluant la notice ©. Short sections may be quoted without explicit permission, provided that full credit, including © notice, is given to the source. Ce document est publié dans l'intention de rendre accessibles les résultats préliminaires de la recherche effectuée au CIRANO, afin de susciter… (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)
provided some of the stumpage price time series. Jean-Thomas Bernard is gratefully acknowledged for helpful comments on various versions of this paper. All remaining errors are, of course, our responsibility.
The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada.
This paper makes a new attack on the old problem of measuring horizontal inequity (HI) in an income tax system. A local measure of HI is proposed, and aggregated into a global index. Whilst other approaches have captured the welfare gain which would come from eliminating HI revenue-neutrally, our global index provides a measure of the revenue gain which… (More)
Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. Association meetings, as well as participants at the Bank of Canada seminar series and the 2007 Carleton… (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)
comments and suggestions. We are greatly indebted to Soren Johansen, who read previous versions of this paper and provided very insightful comments. We are grateful to Michele Bergamelli for excellent research assistance. The usual disclaimer applied. Abstract In cointegrating regressions, available estimators and test statistics are nuisance parameter… (More)