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- Denis Pelletier, Nour Meddahi, +7 authors Neil Shephard
- 2006

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)

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a rationalexpectations assumption, and a modification to the latter which consists… (More)

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on weakly identified models (or weak instruments). We point out that… (More)

- Jean-Marie Dufour, Lynda Khalaf, +7 authors Michael R. Veall
- 2000

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)

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation… (More)

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies… (More)

- Raymond Kan, Guofu Zhou, +15 authors Jay A. Shanken
- 2003

Many important findings in empirical finance are based on the normality assumption, but this assumption is firmly rejected by the data due to fat tails of asset returns. In this paper, we propose the use of a multivariate t-distribution as a simple and powerful tool to examine the robustness of results that are based on the normality assumption. In… (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.

- Robert Chen, Raymond Kan, +4 authors Kevin Q. Wang
- 2003

We investigate the finite sample properties of the two-pass cross-sectional regression (CSR) methodology, which is popular for estimating risk premia and testing beta pricing models. We find that the finite sample distributions of the estimated risk premia differ significantly from their asymptotic distributions. In particular, the risk premia estimates… (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)