This paper is concerned with model selection based on penalized maximized log likelihood function. Its main emphasis is on how these penalities might be chosen in small samples to give good statistical properties.

In this paper we assess, via Monte Carlo Simulations, the effects of some seasonal adjustment linear filters on cointegrating regressions. We find that the use of filters has adverse consequences in terms of the power of the Augmented Dickey and Fuller and Phillips and Perron tests of cointegration.

This paper compares quasi Monte Carlo methods, in particular so-called (t,m,s)-Nets, with classical Monte Carlo approaches for simulating econometric time-series.

A number of variations of seven causality tests of the absence of causal ordering are examined. The various of the tests considered account not only for stationarity, but also for integratedness and/or contegratedness among the variables in the model.

In the current paper, a one-sided version of a small sample correction to AIC is derived. This criterion will be based upon a two-sided model selection cretirion called AICs developed by Sugiura (1978) and studied in detail by Hurvich and Tsai (1989, 1991).

A Bayesian approach is presented for nonparametric estimation of an additive regression model with autocorrelated errors.

The paper takes up Basesian inference in linear models with disturbances from a non-central Student-t distribution.

The paper takes up Basesian inference in linear models with disturbances from a non-central Student-t distribution.

The authors describe the key features of a new large-scale Canadian macroeconomic forecasting model developed over the past two years at the Bank of Canada. The new model, called LENS for Large Empirical and Semi-structural model, uses a methodology similar to the Federal Reserve Board’s...

We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features. First, it allows for non-trivial...