Business surveys aim at getting, as quickly and as simply as possible, the recent and probable changes in economic activity. Answers to most of the questions are qualitative with three modalities (qualification of an evolution: up / stable / down). The qualitative indicators provided by these...

The author describes results obtained by using a new methodology to estimate potential output for the United Kingdom. The estimation method, which follows Rennison (2003) and Gosselin and Lalonde (2002), shows that combining the use of a Hodrick-Prescott filter and a structural vector...

In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

In this paper, we estimate and analyse a set of equations of French inflation for forecasting purpose at the horizon of three months, six months and one year. A different equation is associated to each horizon. This approach has the advantage of modeling directly the variable of interest at the...