In this note we subject some Canadian macroeconomic time series to test of seasonal and non-seasonal unit roots. Overall we find evidence that the series are integrated at some of the seasonal frequencies as well as at a zero frequency

This paper investigates whether time-series data from 11 West-German states (Länder) provide evidence in accord with the implication of the permanent-income hypothesis (PIH) for the stochastic relationship between consumption and income innovations. The empirical results do not support this...

This paper examines determinants of the proportion of females in the establishment as this variable can affect the male-female wage gap in an important way. Our search for the determinants is guided by two views of the labour market, namely discrimination and coincidence of needs between firms...

This paper considers a general permanent-income model in which a fraction of consumers in the economy is liquidity constrained. Consumption growth rate for these individuals is related to the growth rate of their income and the level of real interest rates. The interest-rate coefficient is...

This paper investigates whether there are variants of the permanent income model that are consistent with seasonally unadjusted quarterly postwar Canadian data. The analysis is based on a misspecification-test equation which nests the standard permanent income model. The results obtaineda re...

This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable...

Using Canadian data, the consumption-based asset pricing model is studied, defined in terms of nondurable and durable goods consumption. A two-stage estimation procedure is used, which takes account of the presence of common stochastic trends in the forcing processes. This method yields more...

Building on the tools developed for American call options in financial markets and the optimal timing of investment under uncertainty in economics, this paper proposes a stylized equilibrium model to study the optimal time for a risk-averse unemployed individual, who receives an unemployment...

We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals with nonlinear loss function. The method has applications to any situation where marginals are provided, and bounds need to be determined on total portfolio risk....

This paper focuses on simulation-based inference for the time-deformation models directed by a duration process. In order to describe the heavy tail property of the time series of financial asset returns, the innovation of the observation equation is assumed to have a Student-t distribution....