Following the approach suggested by Favero and Rovelli (2002), I estimate a three-equations system for different sub-samples for Canada. The results indicate that the preferences of the monetary authority have changed between the different regimes. In particular, the parameter associated to the...

The Taylor rule is estimated under the period 1963Q2 to 1999Q4 using Canadian data and the methodology proposed by Bai and Perron (1998) to estimate regression models with multiple endogenous breaks. Although monetary rules are notorious for suffering from structural instability, recent attempts...

This paper examines, for the first time, the trade and FDI impacts of a North American Security Perimeter that would liberalize the post 9/11 security measures at the Canada-US border. First, the study estimates econometrically the impact of post 9/11 security measures on bilateral (US-Canada)...

The paper introduces the concept of social divergence defined as the social barriers to communication and exchange between individuals and groups of individuals within a society. Social divergence is determined by the characteristics of a society including the distribution of income,...

Using three different econometric methodologies, this paper identifies business cycles fluctuations in Canadian regions using quarterly real GDP for the period 1961:1 - 2000:1. With the estimates of the transitory and permanent components, as well as filtered and smoothed probabilities of being...

The paper examines the relationship between economic growth and environmental degradation in Canada. Reduced form models are estimated to measure the relationship between GDP and 10 measures of environmental degradation. The reduced form results provide little support for the existence of an...

The behaviour of the long-run real exchange rate for four Latin-American countries is investigated for the period 1957-2002. The long-run real exchange rate is derived from an unobserved component model which divides the real exchange rate into a permanent and a transitory component. The...

When using quasi-differenced data in a model where a break in the intercept is allowed, asymptotic distributions of the M, ADF, and PT statistics are the same as those in the model where only an intercept and a time trend are included. However, the finite sample behaviour for common sample sizes...

Following Elliott (1999) and Perron and Rodríguez (2003), we develop unit root tests in the context of structural change models using GLS detrended data (Elliott, Rothenberg and Stock, 1996) when the initial observation is drawn from its unconditional distribution. We derive the limiting...

This paper uses six time series models to forecast seasonally unadjusted monthly data of Canadian enplaned/deplaned air passengers, for the domestic, transborder and international sectors. We find that forecasting performance of the models varies widely across series and forecast horizons. Our...