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

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).

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.

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

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.

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.

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

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...

This report provides a detailed technical description of an updated version of the Terms-of-Trade Economic Model (ToTEM II), which replaced ToTEM (Murchison and Rennison 2006) in June 2011 as the Bank of Canada’s quarterly projection model for Canada. ToTEM has been improved along a number of...