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Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates
Luger, Richard - Bank of Canada - 2004
The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts. The class includes analogues of the well-known Diebold and Mariano (1995) parametric and...
Persistent link: https://www.econbiz.de/10005162457
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Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Gungor, Sermin; Luger, Richard - Bank of Canada - 2013
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10010667177
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A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
Li, Fuchun; Tkacz, Greg - Bank of Canada - 2001
converges to the asymptotic distribution in probability. A Monte Carlo simulation study reveals that the bootstrap test works …
Persistent link: https://www.econbiz.de/10005162485
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Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
Dufour, Jean-Marie; Tessier, David - Bank of Canada - 2006
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynamics of asset prices can provide key insights--in terms of information--for the conduct of monetary policy, since asset prices...
Persistent link: https://www.econbiz.de/10005162529
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Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry
Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2000
Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports. Thus, important movements in the bilateral nominal exchange rate between two...
Persistent link: https://www.econbiz.de/10005536876
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Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Gungor, Sermin; Luger, Richard - Bank of Canada - 2014
. Simulation and empirical results illustrate the usefulness of the joint mean-variance efficiency tests. …
Persistent link: https://www.econbiz.de/10011071652
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Testing the Stability of the Canadian Phillips Curve Using Exact Methods
Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2003
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)...
Persistent link: https://www.econbiz.de/10005162498
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Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
Bolder, David Jamieson; Rubin, Tiago - Bank of Canada - 2007
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt … nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is … address a number of policy questions that could not be fully addressed with the current stochastic simulation engine. …
Persistent link: https://www.econbiz.de/10005673352
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A Stochastic Simulation Framework for the Government of Canada's Debt Strategy
Bolder, David Jamieson - Bank of Canada - 2003
this formal definition is conceptually useful, the author recommends the use of simulation to help characterize the set of … strategies that a government can use to fund its borrowing requirements. He then describes in detail a stochastic simulation … decision-making process employed by the Government of Canada. The primary objective in constructing this stochastic simulation …
Persistent link: https://www.econbiz.de/10005673355
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Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
Luger, Richard - Bank of Canada - 2001
This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasticity. The class considered includes analogues of the well-known sign and Wilcoxon test statistics. The exactness of the...
Persistent link: https://www.econbiz.de/10005162521