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Alain Guay

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Frédéric BEC & Alain GUAY, 2020. "A simple unit root test consistent against any stationary alternative," Working Papers 2020-28, Center for Research in Economics and Statistics.

    Cited by:

    1. Badri Narayan Rath & Vaseem Akram, 2021. "Popularity of Unit Root Tests - A Review," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-5.

  2. Beaudry, Paul & Fève, Patrick & Guay, Alain & Portier, Franck, 2016. "When is Nonfundamentalness in SVARs A Real Problem?," TSE Working Papers 16-738, Toulouse School of Economics (TSE).

    Cited by:

    1. Di Casola, Paola & Sichlimiris, Spyridon, 2018. "Towards Technology-News-Driven Business Cycles," Working Paper Series 360, Sveriges Riksbank (Central Bank of Sweden).
    2. Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
    3. Fève, Patrick & Beaudry, Paul & Collard, Fabrice & Guay, Alain & Portier, Franck, 2022. "Dynamic Identification in VARs," TSE Working Papers 22-1384, Toulouse School of Economics (TSE).
    4. Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," Cahiers de Recherches Economiques du Département d'économie 17.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    5. Canova, Fabio & Ferroni, Filippo, 2019. "Mind the gap! Stylized dynamic facts and structural models," CEPR Discussion Papers 13948, C.E.P.R. Discussion Papers.
    6. Ascari, Guido & Beck-Friis, Peder & Florio, Anna & Gobbi, Alessandro, 2023. "Fiscal foresight and the effects of government spending: It’s all in the monetary-fiscal mix," Journal of Monetary Economics, Elsevier, vol. 134(C), pages 1-15.
    7. Andrea Gazzani, 2020. "News and noise bubbles in the housing market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 36, pages 46-72, April.
    8. Maria Bolboaca & Sarah Fischer, 2019. "Unraveling News: Reconciling Conflicting Evidence," Working Papers 19.02, Swiss National Bank, Study Center Gerzensee.
    9. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020. "Common Component Structural VARs," CEPR Discussion Papers 15529, C.E.P.R. Discussion Papers.
    10. Tiziana Assenza & Fabrice Collard & Patrick Fève & Stefanie Huber, 2024. "From Buzz to Bust: How Fake News Shapes the Business Cycle," ECONtribute Discussion Papers Series 287, University of Bonn and University of Cologne, Germany.
    11. Kang, Jihye & Kim, Soyoung, 2022. "Government spending news and surprise shocks: It’s the timing and persistence," Journal of Macroeconomics, Elsevier, vol. 73(C).
    12. Alessandri, Piergiorgio & Gazzani, Andrea & Vicondoa, Alejandro, 2023. "Are the effects of uncertainty shocks big or small?," European Economic Review, Elsevier, vol. 158(C).
    13. Bhattarai, Keshab & Mallick, Sushanta K. & Yang, Bo, 2021. "Are global spillovers complementary or competitive? Need for international policy coordination," Journal of International Money and Finance, Elsevier, vol. 110(C).
    14. Sugaipov, Deni, 2022. "Estimating the impact of terms of trade news shocks on the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 39-67.

  3. Fève, Patrick & Guay, Alain, 2016. "Sentiments in SVARs," TSE Working Papers 16-656, Toulouse School of Economics (TSE).

    Cited by:

    1. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    2. Clements, Michael P. & Galvão, Ana Beatriz, 2021. "Measuring the effects of expectations shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
    3. Christopher Biolsi & Alex Lebedinsky, 2021. "Can changes in sentiments influence consumer behavior? Evidence from the Trump‐Russia investigation," Economic Inquiry, Western Economic Association International, vol. 59(4), pages 1569-1592, October.
    4. de Medeiros, Rennan Kertlly & da Silva Bejarano Aragón, Edilean Kleber & Besarria, Cássio da Nóbrega, 2023. "Effects of oil market sentiment on macroeconomic variables," Resources Policy, Elsevier, vol. 83(C).
    5. Brianti, Marco & Cormun, Vito, 2023. "Expectation-Driven Boom-Bust Cycles," Working Papers 2023-4, University of Alberta, Department of Economics.

  4. Portier, Franck & Beaudry, Paul & Feve, Patrick & Guay, Alain, 2015. "When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks," CEPR Discussion Papers 10763, C.E.P.R. Discussion Papers.

    Cited by:

    1. Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015. "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum 035, Maastricht University, Graduate School of Business and Economics (GSBE).
    2. Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
    3. Christoph Görtz & John D. Tsoukalas & Francesco Zanetti, 2020. "News shocks under financial frictions," CAMA Working Papers 2020-94, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    5. Patrick Fève & Alain Guay, 2019. "Sentiments in SVARs," The Economic Journal, Royal Economic Society, vol. 129(618), pages 877-896.
    6. Deokwoo Nam & Jian Wang, 2019. "Mood Swings and Business Cycles: Evidence from Sign Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1623-1649, September.
    7. Miranda-Agrippino, Silvia & Hacıoğlu Hoke, Sinem & Bluwstein, Kristina, 2020. "Patents, News, and Business Cycles," CEPR Discussion Papers 15062, C.E.P.R. Discussion Papers.
    8. Nadav Ben Zeev, 2019. "Is There A Single Shock That Drives The Majority Of Business Cycle Fluctuations?," Working Papers 1906, Ben-Gurion University of the Negev, Department of Economics.
    9. Fabio Canova & Mehdi Hamidi Sahneh, 2018. "Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Nonfundamentalness," Journal of the European Economic Association, European Economic Association, vol. 16(4), pages 1069-1093.
    10. Miranda-Agrippino, Silvia & Hacioglu Hoke, Sinem & Bluwstein, Kristina, 2019. "When creativity strikes: news shocks and business cycle fluctuations," Bank of England working papers 788, Bank of England.
    11. Ma, Xiaohan, 2018. "Investment specific technology, news, sentiment, and fluctuations: Evidence from nowcast data," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 55-70.
    12. Paul Beaudry & Patrick Feve & Alain Guay & Franck Portier, 2019. "When is Nonfundamentalness in SVARs a Real Problem?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 221-243, October.
    13. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
    14. Daniele Siena, 2017. "What's News in International Business Cycles," 2017 Meeting Papers 1206, Society for Economic Dynamics.
    15. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    16. Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers REM 2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    17. Luca Sala & Luca Gambetti & Mario Forni, 2016. "VAR Information and the Empirical Validation of DSGE Models," 2016 Meeting Papers 260, Society for Economic Dynamics.
    18. Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Business School.
    19. Claudio, João C. & von Schweinitz, Gregor, 2020. "On the international dissemination of technology news shocks," IWH Discussion Papers 25/2020, Halle Institute for Economic Research (IWH).
    20. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    21. Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
    22. Nadav Ben Zeev, 2018. "The Tfp Channel Of Credit Supply Shocks," Working Papers 1802, Ben-Gurion University of the Negev, Department of Economics.
    23. Nikolay Iskrev, 2021. "Spectral decomposition of the information about latent variables in dynamic macroeconomic models," Working Papers w202105, Banco de Portugal, Economics and Research Department.

  5. Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2012. "Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions," IDEI Working Papers 738, Institut d'Économie Industrielle (IDEI), Toulouse.

    Cited by:

    1. Ivashchenko, S., 2020. "Long-term growth sources for sectors of Russian economy," Journal of the New Economic Association, New Economic Association, vol. 48(4), pages 86-112.
    2. Jonathan Benchimol & Sergey Ivashchenko, 2020. "Switching Volatility in a Nonlinear Open Economy," Bank of Israel Working Papers 2020.04, Bank of Israel.
    3. Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
    4. Luisito BERTINELLI & Olivier CARDI & Romain RESTOUT, 2021. "Labor Market Effects Of Technology Shocks Biased Toward The Traded Sector," Working Papers of BETA 2021-09, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    5. Sevgi Coskun, 2020. "Technology Shocks and Non-stationary Hours in Emerging Countries and DSVAR," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(2), pages 129-163, May.
    6. Rujin, Svetlana, 2019. "What are the effects of technology shocks on international labor markets?," Ruhr Economic Papers 806, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    7. Sergey Ivashchenko, 2022. "Dynamic Stochastic General Equilibrium Model with Multiple Trends and Structural Breaks," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 46-72, March.
    8. Thomet, Jacqueline & Wegmueller, Philipp, 2021. "Technology Shocks And Hours Worked: A Cross-Country Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 25(4), pages 1020-1052, June.
    9. Mathew Ekundayo Rotimi & Harold Ngalawa, 2017. "Oil Price Shocks and Economic Performance in Africa’s Oil Exporting Countries," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(5), pages 169-188, OCTOBER.
    10. Sergey M. Ivashchenko, 2019. "DSGE Models: Problem of Trends," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 81-95, April.

  6. Alain Guay & Jean-Francois Lamarche, 2010. "Structural change tests for GEL criteria," Working Papers 1002, Brock University, Department of Economics.

    Cited by:

    1. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," Economics Discussion Paper Series 1326, Economics, The University of Manchester.
    2. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.

  7. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.

    Cited by:

    1. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
    2. Martins, Luis F. & Gabriel, Vasco J., 2009. "New Keynesian Phillips Curves and potential identification failures: A Generalized Empirical Likelihood analysis," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 561-571, December.
    3. Mohamed Boutahar & David Gbaguidi, 2009. "Which Econometric Specification to Characterize the U.S. Inflation Rate Process?," Computational Economics, Springer;Society for Computational Economics, vol. 34(2), pages 145-172, September.

  8. Patrick Fève & Alain Guay, 2007. "The Response of Hours to a Technology Shock: a Two-Step Structural VAR Approach," Cahiers de recherche 0737, CIRPEE.

    Cited by:

    1. Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
    2. Fabrice Collard & Patrick Fève, 2012. "Sur les causes et les effets en macro économie : les Contributions de Sargent et Sims, Prix Nobel d'Economie 2011," Revue d'économie politique, Dalloz, vol. 122(3), pages 335-364.
    3. Andrei Polbin & Sergey Drobyshevsky, 2014. "Developing a Dynamic Stochastic Model of General Equilibrium for the Russian Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 166P, pages 156-156.
    4. Rujin, Svetlana, 2019. "What are the effects of technology shocks on international labor markets?," Ruhr Economic Papers 806, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    5. Marcos Sanso-Navarro, 2011. "Broken trend stationarity of hours worked," Post-Print hal-00712742, HAL.
    6. Maria Bolboaca & Sarah Fischer, 2019. "Unraveling News: Reconciling Conflicting Evidence," Working Papers 19.02, Swiss National Bank, Study Center Gerzensee.
    7. Amélie Charles & Olivier Darné & Fabien Tripier, 2011. "Are Unit Root Tests Useful in the Debate over the (Non) Stationarity of Hours Worked?," Post-Print hal-00797521, HAL.
    8. Christoph Gortz & Christopher Gunn & Thomas Lubik, 2022. "Split Personalities: The Changing Nature of Technology Shocks," Carleton Economic Papers 22-06, Carleton University, Department of Economics.
    9. Shiu‐Sheng Chen & Tzu‐Yu Lin, 2019. "Do Exchange Rate Shocks Have Asymmetric Effects on Reserve Accumulation? Evidence from Emerging Markets," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1561-1586, October.
    10. Francesco Furlanetto & Martin Seneca, 2012. "Rule‐of‐Thumb Consumers, Productivity, and Hours," Scandinavian Journal of Economics, Wiley Blackwell, vol. 114(2), pages 658-679, June.

  9. Alain Guay & Florian Pelgrin, 2004. "The U.S. New Keynesian Phillips Curve: An Empirical Assessment," Staff Working Papers 04-35, Bank of Canada.

    Cited by:

    1. Imbs, Jean & Jondeau, Eric & Pelgrin, Florian, 2007. "Aggregating Phillips curves," Working Paper Series 785, European Central Bank.
    2. Agénor, Pierre-Richard & Bayraktar, Nihal, 2010. "Contracting models of the Phillips curve empirical estimates for middle-income countries," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 555-570, June.
    3. Mohamed Boutahar & David Gbaguidi, 2009. "Which Econometric Specification to Characterize the U.S. Inflation Rate Process?," Computational Economics, Springer;Society for Computational Economics, vol. 34(2), pages 145-172, September.
    4. Fructuoso Borrallo Egea & Pedro del Río López, 2021. "Monetary policy strategy and inflation in Japan," Occasional Papers 2116, Banco de España.
    5. Fabio Rumler, 2005. "Estimates of the Open Economy New Keynesian Phillips Curve for Euro Area Countries," Working Papers 102, Oesterreichische Nationalbank (Austrian Central Bank).
    6. Choi, Yoonseok, 2021. "Inflation dynamics, the role of inflation at different horizons and inflation uncertainty," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 649-662.
    7. Thorvardur Tjörvi Ólafsson, 2006. "The New Keynesian Phillips Curve: In Search of Improvements and Adaptation to the Open Economy," Economics wp31_tjorvi, Department of Economics, Central bank of Iceland.
    8. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
    9. Frode Brevik & Manfred Gärtner, 2005. "Partisan Theory and the New Keynesian and Sticky-Information Phillips Curves," University of St. Gallen Department of Economics working paper series 2005 2005-25, Department of Economics, University of St. Gallen.
    10. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    11. Faith Christian Cacnio, 2013. "Analysing inflation dynamics in the Philippines using the new Keynesian Phililips curve," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 50(2), pages 53-82, December.
    12. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Papers 2202.04146, arXiv.org.

  10. Steve Ambler & Alain Guay & Louis Phaneuf, 2003. "Labor Market Imperfections and the Dynamics of Postwar Business Cycles," Cahiers de recherche 0319, CIRPEE.

    Cited by:

    1. Chahnez Boudaya, 2006. "Stage-specific technology shocks and employment: Could we reconcile with the RBC models?," Post-Print halshs-00115791, HAL.
    2. Steve Ambler & Ali Dib & Nooman Rebei, 2003. "Nominal Rigidities and Exchange Rate Pass-Through in a Structural Model of a Small Open Economy," Staff Working Papers 03-29, Bank of Canada.
    3. Louis Phaneuf & Nooman Rebei, 2008. "Production Stages and the Transmission of Technological Progress," Cahiers de recherche 0802, CIRPEE.
    4. Fève, P. & Matheron, J., 2005. "Can the Kydland--Prescott Model Pass the Cogley--Nason Test?," Working papers 125, Banque de France.
    5. Steve Ambler & Ali Dib & Nooman Rebei, 2004. "Optimal Taylor Rules in an Estimated Model of a Small Open Economy," Staff Working Papers 04-36, Bank of Canada.
    6. Nooman Rebei, 2004. "Characterization of the Dynamic Effects of Fiscal Shocks in a Small Open Economy," Staff Working Papers 04-41, Bank of Canada.
    7. M. Alper Çenesiz & Christian Pierdzioch, 2010. "Financial Market Integration, Costs of Adjusting Hours Worked and Monetary Policy," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 1-25, February.
    8. Alexopoulos, Michelle, 2007. "A monetary business cycle model with unemployment," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3904-3940, December.
    9. Louis Phaneuf & Nooman Rebei, 2007. "Technology Shocks and Business Cycles: The Role of Processing Stages and Nominal Rigidities," Staff Working Papers 07-7, Bank of Canada.
    10. Kevin Moran, 2005. "Learning and the Welfare Implications of Changing Inflation Targets," Cahiers de recherche 0511, CIRPEE.

  11. Frédérique Bec & Alain Guay & Emmanuel Guerre, 2002. "Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model," Working Papers 2002-46, Center for Research in Economics and Statistics.

    Cited by:

    1. George Kapetanios & Yongcheol Shin, 2003. "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series 104, Edinburgh School of Economics, University of Edinburgh.
    2. Frédérique Bec & Songlin Zeng, 2012. "Are Southeast Asian Real Exchange Rates Mean Reverting?," Working Papers hal-00685812, HAL.
    3. Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers 2009s-18, CIRANO.
    4. Seo, Myung Hwan, 2005. "Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap," LSE Research Online Documents on Economics 6836, London School of Economics and Political Science, LSE Library.
    5. Francesco Giordano & Marcella Niglio & Cosimo Damiano Vitale, 2017. "Unit Root Testing in Presence of a Double Threshold Process," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 539-556, June.
    6. Yang, Yang & Zhao, Zhao, 2020. "Quantile nonlinear unit root test with covariates and an application to the PPP hypothesis," Economic Modelling, Elsevier, vol. 93(C), pages 728-736.
    7. Rodolphe Blavy & Luciana Juvenal, 2008. "Mexico's integration into NAFTA markets: a view from sectoral real exchange rates," Working Papers 2008-046, Federal Reserve Bank of St. Louis.
    8. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
    9. Frédéric Bec & Mélika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Post-Print hal-04176298, HAL.
    10. Frédérique Bec & Alain Guay & Heino Bohn Nielsen & Sarra Saïdi, 2022. "Power of unit root tests against nonlinear and noncausal alternatives," THEMA Working Papers 2022-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    11. Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
    12. Zisimos Koustas & Jean-Francois Lamarche, 2006. "Policy-Induced Mean Reversion in the Real Interest Rate?," Working Papers 0601, Brock University, Department of Economics.
    13. Frédérique Bec & Alain Guay, 2020. "A simple unit root test consistent against any stationary alternative," THEMA Working Papers 2020-10, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    14. Zisimos Koustas & Jean-Francois Lamarche & Apostolos Serletis, 2006. "Threshold Random Walks in the U.S. Stock Market," Working Papers 0602, Brock University, Department of Economics, revised May 2006.
    15. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    16. Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," Economics Discussion Paper Series 0915, Economics, The University of Manchester.
    17. Mohsen Fardmanesh & Seymour Douglas, 2008. "Foreign Exchange Controls and the Parallel Market Premium," Review of Development Economics, Wiley Blackwell, vol. 12(1), pages 72-89, February.
    18. Dong-Yop Oh & Hyejin Lee & Ming Meng, 2018. "More powerful threshold cointegration tests," Empirical Economics, Springer, vol. 54(3), pages 887-911, May.
    19. Daiki Maki & Shin-ichi Kitasaka, 2015. "Residual-based tests for cointegration with three-regime TAR adjustment," Empirical Economics, Springer, vol. 48(3), pages 1013-1054, May.
    20. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
    21. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    22. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2017. "Are linear models really unuseful to describe business cycle data?," MPRA Paper 79413, University Library of Munich, Germany.
    23. Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).
    24. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
    25. Zhang, Lingxiang, 2013. "Modeling China's inflation dynamics: An MRSTAR approach," Economic Modelling, Elsevier, vol. 31(C), pages 440-446.
    26. Joon Y. Park & Mototsugu Shintani, 2016. "Testing For A Unit Root Against Transitional Autoregressive Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 635-664, May.
    27. Kanjilal, Kakali & Ghosh, Sajal, 2017. "Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model," Resources Policy, Elsevier, vol. 52(C), pages 358-365.
    28. Cathy Chen & Shu-Yu Chen & Sangyeol Lee, 2013. "Bayesian Unit Root Test in Double Threshold Heteroskedastic Models," Computational Economics, Springer;Society for Computational Economics, vol. 42(4), pages 471-490, December.
    29. Joon Y. Park & Mototsugu Shintani, 2005. "Testing for a Unit Root against Transitional Autoregressive Models," Vanderbilt University Department of Economics Working Papers 05010, Vanderbilt University Department of Economics.
    30. Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
    31. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    32. Evgenidis, Anastasios & Tsagkanos, Athanasios & Siriopoulos, Costas, 2017. "Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 267-279.
    33. Frédérique Bec & Anders Rahbek & Mélika Ben Salem, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Economics Bulletin, AccessEcon, vol. 6(39), pages 1-6.
    34. Frederique Bec & Alain Guay, 2020. "A Simple Unit Root Test Consistent Against Any Stationary Alternative," Working Papers 20-20, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.

  12. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO.

    Cited by:

    1. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    2. Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.

  13. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.

    Cited by:

    1. Taştan, Hüseyin, 2011. "Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry," MPRA Paper 34302, University Library of Munich, Germany.
    2. Lahiani, A. & Scaillet, O., 2009. "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," International Journal of Forecasting, Elsevier, vol. 25(2), pages 418-428.
    3. Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
    4. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers 2006-17, University of Paris Nanterre, EconomiX.
    5. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.

  14. Steve Ambler & Alain Guay & Louis Phaneuf, 1999. "Wage Contracts and Labor Adjustment Costs as Endogenous Propagation Mechanisms," Cahiers de recherche CREFE / CREFE Working Papers 69, CREFE, Université du Québec à Montréal.

    Cited by:

    1. Khazri, Afifa, 1999. "Contrats salariaux, rétention de main-d’œuvre et cycle économique [Wage Contracts, Labor Retention and Economic Cycle]," MPRA Paper 86755, University Library of Munich, Germany.
    2. Christian Calmès, 2005. "Self-Enforcing Labour Contracts and the Dynamics Puzzle," Staff Working Papers 05-1, Bank of Canada.
    3. Frederic Dufourt, 2000. "Dynamic Properties of the New Neoclassical Synthesis Model of Business Cycle," Econometric Society World Congress 2000 Contributed Papers 0389, Econometric Society.
    4. Alain Guay & Florian Pelgrin, 2004. "The U.S. New Keynesian Phillips Curve: An Empirical Assessment," Staff Working Papers 04-35, Bank of Canada.
    5. Ruge-Murcia, Francisco J., 2002. "Methods to Estimate Dynamic Stochastic General Equilibrium Models," University of California at San Diego, Economics Working Paper Series qt4fc8x822, Department of Economics, UC San Diego.
    6. Calmès, Christian, 2003. "La poignée de main invisible et la persistance des cycles d’affaires : un survol," L'Actualité Economique, Société Canadienne de Science Economique, vol. 79(4), pages 563-581, Décembre.
    7. Michelle Alexopoulos, 2006. "Shirking in a monetary business cycle model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(3), pages 689-718, August.
    8. Christian Calmes & Frederic Dufourt, 2000. "Nominal Dynamics in Expected Market-Clearing Models," Cahiers de recherche CREFE / CREFE Working Papers 126, CREFE, Université du Québec à Montréal.
    9. Fougère, Denis & Avouyi-Dovi, Sanvi & Gautier, Erwan, 2010. "Wage Rigidity, Collective Bargaining and the Minimum Wage: Evidence from French Agreement Data," CEPR Discussion Papers 7932, C.E.P.R. Discussion Papers.
    10. Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 2001. "Nominal rigidities and the dynamic effects of a shock to monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
    11. Bénassy, Jean-Pascal, 2002. "Conférence François-Albert Angers (2002)," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(4), pages 423-457, Décembre.
    12. Christian Calmès, 2003. "Poignée de main invisible et persistance des cycles économiques : une revue de la littérature," Staff Working Papers 03-40, Bank of Canada.
    13. Jean-Pascal BENASSY, 2003. "Staggered contracts and persistence : microeconomic foundations and macroeconomic dynamics," Discussion Papers (REL - Recherches Economiques de Louvain) 2003021, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    14. Zuzana Janko, 2008. "Nominal Wage Contracts, Labor Adjustment Costs and the Business Cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(2), pages 434-448, April.
    15. Kevin X.D. Huang & Zheng Liu & Louis Phaneuf, 2004. "Why Does the Cyclical Behavior of Real Wages Change Over Time?," American Economic Review, American Economic Association, vol. 94(4), pages 836-856, September.
    16. khazri, Afifa, 2000. "Rigidités salariales, effort de travail variable et Fluctuations [Salary Rigidity, Variable Work Effort and Fluctuations]," MPRA Paper 86758, University Library of Munich, Germany.
    17. Khazri, Afifa, 1999. "Contrats salariaux, rétention de main-d’œuvre et cycle économique [Wage Contracts, Labor Retention and Economic Cycle]," MPRA Paper 86947, University Library of Munich, Germany.
    18. K. Huang & Z. Liu & L. Phaneuf, "undated". "Staggered contracts, intermediate goods and the dynamic effects of monetary shocks on output, inflation and real wages," Working Papers 2000-20, Utah State University, Department of Economics.
    19. Fabrice COLLARD & Guy ERTZ, 2000. "Stochastic Nominal Wage Contracts in a Cash-in-Advance model," Discussion Papers (REL - Recherches Economiques de Louvain) 2000032, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    20. Avouyi-Dovi, S. & Matheron, J., 2005. "Technology Shocks and Monetary Policy in an Estimated Sticky Price Model of the Euro Area," Working papers 126, Banque de France.
    21. Amato, Jeffery D. & Laubach, Thomas, 2003. "Estimation and control of an optimization-based model with sticky prices and wages," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1181-1215, May.

  15. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.

    Cited by:

    1. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
    2. Anindya Biswas & Biswajit Mandal, 2016. "Estimating Preference Parameters From Stock Returns Using Simulated Method Of Moments," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-13, March.
    3. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.
    4. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    5. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
    6. Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
    7. Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.
    8. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.

  16. Chantal Dupasquier & Alain Guay & Pierre St-Amant, 1997. "A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap," Staff Working Papers 97-5, Bank of Canada.

    Cited by:

    1. Martha Misas & Enrique López, 2000. "La Utilización de la Capacidad Instalada de la Industria en Colombia: Un Nuevo Enfoque," Borradores de Economia 153, Banco de la Republica de Colombia.
    2. Paul Conway & David Frame, 2000. "A spectral analysis of New Zealand output gaps using Fourier and wavelet techniques," Reserve Bank of New Zealand Discussion Paper Series DP2000/06, Reserve Bank of New Zealand.
    3. Yap, Josef T., 2003. "The Output Gap and Its Role in Inflation-Targeting in the Philippines," Discussion Papers DP 2003-10, Philippine Institute for Development Studies.
    4. Murray, John & Schembri, Lawrence & St-Amant, Pierre, 2003. "Revisiting the case for flexible exchange rates in North America," The North American Journal of Economics and Finance, Elsevier, vol. 14(2), pages 207-240, August.
    5. Kappler, Marcus, 2007. "Projecting the Medium-Term: Outcomes and Errors for GDP Growth," ZEW Discussion Papers 07-068, ZEW - Leibniz Centre for European Economic Research.
    6. João Sousa Andrade & António Portugal Duarte, 2012. "The Importance of a Good Indicator for Global Excess Demand," GEMF Working Papers 2012-15, GEMF, Faculty of Economics, University of Coimbra.
    7. René Lalonde, 2000. "Le modèle USM d'analyse et de projection de l'économie américaine," Staff Working Papers 00-19, Bank of Canada.
    8. Schumacher, Christian, 2000. "Forecasting trend output in the Euro area," HWWA Discussion Papers 109, Hamburg Institute of International Economics (HWWA).
    9. Lars Osberg & Zhengxi Lin, 2000. "How Much of Canada's Unemployment is Structural?," Canadian Public Policy, University of Toronto Press, vol. 26(s1), pages 141-157, July.
    10. Martha Misas & Enrique López, 1999. "El producto potencial en Colombia: una estimación bajo var estructural," Coyuntura Económica, Fedesarrollo, September.
    11. Alessandro Cianci, 2016. "Disoccupazione strutturale in Italia e regole europee di bilancio," a/ Working Papers Series 1601, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
    12. Joseph Atta-Mensah & Sawuya Nakijoba, 2019. "Estimating the Potential Output and Output Gap of Ghana," Applied Economics and Finance, Redfame publishing, vol. 6(3), pages 58-70, May.
    13. Cayen, Jean-Philippe & van Norden, Simon, 2004. "The reliability of Canadian output gap estimates," Discussion Paper Series 1: Economic Studies 2004,29, Deutsche Bundesbank.
    14. Hyeon-seung Huh & David Kim, 2013. "Do SVAR Models Justify Discarding the Technology Shock-Driven Real Business Cycle Hypothesis?," Working papers 2013rwp-59, Yonsei University, Yonsei Economics Research Institute.
    15. Mohr, Matthias, 2005. "A trend-cycle(-season) filter," Working Paper Series 499, European Central Bank.
    16. Angelica E. Njuguna & Stephen N. Karingi & Mwangi S. Kimenyi, 2005. "Measuring Potential Output and Output Gap and Macroeconomic Policy: The Case of Kenya," Working papers 2005-45, University of Connecticut, Department of Economics.
    17. Zsolt Darvas & Gábor Vadas, 2003. "Univariate Potential Output Estimations for Hungary," MNB Working Papers 2003/8, Magyar Nemzeti Bank (Central Bank of Hungary).
    18. Maral Kichian, 1999. "Measuring Potential Output within a State-Space Framework," Staff Working Papers 99-9, Bank of Canada.
    19. Iris Claus, 1999. "Estimating potential output for New Zealand: a structural VAR approach," Reserve Bank of New Zealand Discussion Paper Series DP2000/03, Reserve Bank of New Zealand.
    20. Sergey Sinelnikov-Murylev & Sergey Drobyshevsky & Maria Kazakova & Michael Alexeev, 2016. "Decomposition of Russia's GDP Growth Rates," Research Paper Series, Gaidar Institute for Economic Policy, issue 167P, pages 123-123.
    21. René Lalonde & Jennifer Page & Pierre St-Amant, 1998. "Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne," Staff Working Papers 98-21, Bank of Canada.
    22. Melina Dritsaki & Chaido Dritsaki, 2022. "Comparison of HP Filter and the Hamilton’s Regression," Mathematics, MDPI, vol. 10(8), pages 1-18, April.
    23. S. Adnan H. A. S. Bukhari & Safdar Ullah Khan, 2008. "Estimating Output Gap for Pakistan Economy: Structural and Statistical Approaches," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 4, pages 31-60.
    24. Martha Misas A. & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el siglo XX: El Aporte de un VAR Estructural," Borradores de Economia 2229, Banco de la Republica.
    25. Ben Smit & Le Roux Burrows, 2002. "Estimating potential output and output gaps for the South African economy," Working Papers 05/2002, Stellenbosch University, Department of Economics.
    26. Michael D. Bordo & Pierre L. Siklos, 2015. "Central Bank Credibility: An Historical and Quantitative Exploration," NBER Working Papers 20824, National Bureau of Economic Research, Inc.
    27. Isabell Koske & Nigel Pain, 2008. "The Usefulness of Output Gaps for Policy Analysis," OECD Economics Department Working Papers 621, OECD Publishing.
    28. Ryo Kato & Hironori Ishizaki, 2003. "Measuring Productivity Growth over the 90s: Is the New Economy Still Alive?," Bank of Japan Working Paper Series International Department,, Bank of Japan.
    29. Pierre St-Amant & Simon van Norden, 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
    30. Martha Misas & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el Siglo XX: El aporte de un VAR Estructural," Borradores de Economia 155, Banco de la Republica de Colombia.
    31. Ahsan ul Haq Satti & Wasim Shahid Malik, 2017. "The Unreliability of Output-Gap Estimates in Real Time," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 56(3), pages 193-219.
    32. René Lalonde, 1998. "Le PIB potentiel des États-Unis et ses déterminants : la productivité de la main-d'oeuvre et le taux d'activité," Staff Working Papers 98-13, Bank of Canada.
    33. Ding Ding & John Nelmes & Roshan Perera & Mr. Volodymyr Tulin, 2014. "Estimating Sri Lanka’s Potential Output," IMF Working Papers 2014/040, International Monetary Fund.
    34. Stan du Plessis & Ben Smit & Federico Sturzenegger, 2008. "Identifying Aggregate Supply and Demand Shocks in South Africa †," Journal of African Economies, Centre for the Study of African Economies, vol. 17(5), pages 765-793, November.
    35. Simon, András & Darvas, Zsolt, 2002. "A financiálisan fenntartható kibocsátás becslése a gazdaság nyitottságának felhasználásával [Estimating sustainable output from the openness of the economy]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 361-376.
    36. Alexandros Polycarpou, 2016. "The Output Gap in Cyprus and EU-28," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 10(1), pages 87-104, June.
    37. Steven Morling, 2002. "Output Adjustment in Developing Countries: a Structural Var Approach," Discussion Papers Series 307, School of Economics, University of Queensland, Australia.
    38. Hjelm, Göran & Jönsson, Kristian, 2010. "In Search of a Method for Measuring the Output Gap of the Swedish Economy," Working Papers 115, National Institute of Economic Research.
    39. Pierre St-Amant & David Tessier, 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Staff Working Papers 98-4, Bank of Canada.
    40. Jean-Philippe Cayen & Simon van Norden, 2002. "La fiabilité des estimations de l'écart de production au Canada," Staff Working Papers 02-10, Bank of Canada.
    41. Mr. Vivek B. Arora & Mr. Ashok Bhundia, 2003. "Potential Output and total Factor Productivity Growth in Post-Apartheid South Africa," IMF Working Papers 2003/178, International Monetary Fund.

  17. Alain Guay & Pierre St-Amant, 1997. "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Cahiers de recherche CREFE / CREFE Working Papers 53, CREFE, Université du Québec à Montréal.

    Cited by:

    1. Dany Brouillette & Marie-Noëlle Robitaille & Laurence Savoie-Chabot & Pierre St-Amant & Bassirou Gueye & Elise Martin, 2019. "The Trend Unemployment Rate in Canada: Searching for the Unobservable," Staff Working Papers 19-13, Bank of Canada.
    2. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
    3. Marco Gallegati & Mauro Gallegati, 2005. "Wavelet variance and correlation analyses of output in G7 countries," Macroeconomics 0512017, University Library of Munich, Germany.
    4. Buss, Ginters, 2011. "Asymmetric Baxter-King filter," MPRA Paper 28176, University Library of Munich, Germany.
    5. Andrew Hughes Hallett & Rasmus Kattai & John Lewis, 2009. "Can we rely on real time figures for cyclically adjusted budget balances?," Bank of Estonia Working Papers 2009-2, Bank of Estonia, revised 20 Oct 2009.
    6. Frederic Dufourt, 2000. "Dynamic Properties of the New Neoclassical Synthesis Model of Business Cycle," Econometric Society World Congress 2000 Contributed Papers 0389, Econometric Society.
    7. Chee-Heong Quah, 2016. "A Diagnostic on the West African Monetary Union," South African Journal of Economics, Economic Society of South Africa, vol. 84(1), pages 129-148, March.
    8. Grech, Aaron George, 2013. "Adapting the Hodrick-Prescott Filter for Very Small Open Economies," MPRA Paper 48803, University Library of Munich, Germany.
    9. Badarau-Semenescu, Cristina & Ndiaye, Cheikh Tidiane, 2010. "Politique économique et transmission des chocs dans la zone euro," L'Actualité Economique, Société Canadienne de Science Economique, vol. 86(1), pages 35-77, mars.
    10. Velimir Šonje & Igeta Vrbanc, 2000. "Measuring the Similarities of Economic Developments in Central Europe: A Correlation between the Business Cycles of Germany, Hungary, the Czech Republic and Croatia," Working Papers 3, The Croatian National Bank, Croatia.
    11. Pedersen, Torben Mark, 2001. "The Hodrick-Prescott filter, the Slutzky effect, and the distortionary effect of filters," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1081-1101, August.
    12. Aaron G. Grech, "undated". "Investigating potential output using the Hodrick-Prescott filter: an application for Malta," CBM Working Papers WP/02/2014, Central Bank of Malta.
    13. Jitka Poměnková & Roman Maršálek, 2015. "Empirical Evidence of Ideal Filter Approximation: Peripheral and Selected EU Countries Application," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(5), pages 485-502.
    14. Dilip Nachane & Aditi Chaubal, 2022. "A Comparative Evaluation of Some DSP Filters vis-à-vis Commonly Used Economic Filters," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 161-190, September.
    15. Ibrahim Ahamada & Philippe Jolivaldt, 2010. "Classical vs wavelet-based filters Comparative study and application to business cycle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00476022, HAL.
    16. Arranz, Miguel A. & Escribano, Álvaro, 1998. "Detrending procedures and cointegration testing: ECM tests under structural breaks," DES - Working Papers. Statistics and Econometrics. WS 4551, Universidad Carlos III de Madrid. Departamento de Estadística.
    17. Hughes Hallett, Andrew & Lewis, John & Kattai, Rasmus, 2007. "Early Warning or Just Wise After the Event? The Problem of Using Cyclically Adjusted Budget Deficits for Fiscal Surveillance," CEPR Discussion Papers 6213, C.E.P.R. Discussion Papers.
    18. Freitas, Paulo S.A. & Rodrigues, Antonio J.L., 2006. "Model combination in neural-based forecasting," European Journal of Operational Research, Elsevier, vol. 173(3), pages 801-814, September.
    19. Roberto Astolfi & Dominique Ladiray & Gian Luigi Mazzi, 2001. "Business Cycle Extraction of Euro-Zone GDP: Direct versus Indirect Approach," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 377-398.
    20. Kaloyan Ganev, 2004. "Statistical estimates of the deviations from the macroeconomic potential. An application to the economy of Bulgaria," Working paper series 12004en, Agency for Economic Analysis and Forecasting.
    21. David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria.
    22. Arranz, Miguel A. & Escribano, Álvaro & Mármol, Francesc, 2002. "Effects of Applying Linear and Nonlinear Filters on Tests for Unit Roots with Additive Outliers," UC3M Working papers. Economics we20091101, Universidad Carlos III de Madrid. Departamento de Economía.
    23. Valle e Azevedo, João, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," MPRA Paper 6574, University Library of Munich, Germany.
    24. Winker, Peter & Meyer, Mark, 2004. "Using HP Filtered Data for Econometric Analysis : Some Evidence from Monte Carlo Simulations," Discussion Papers 2004,001E, University of Erfurt, Faculty of Economics, Law and Social Sciences.
    25. Gerba, Eddie, 2015. "Have the US macro-financial linkages changed? The balance sheet dimension," LSE Research Online Documents on Economics 59886, London School of Economics and Political Science, LSE Library.
    26. Miguel Arranz & Alvaro Escribano, 2004. "Outliers - robust ECM cointegration tests based on the trend components," Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(4), pages 243-266, December.
    27. Styliani Christodoulopoulou, 2014. "The effect of currency unions on business cycle correlations: the EMU case," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(2), pages 177-222, May.
    28. Witold Witkiewicz, 2002. "The Use of the HP-filter in Constructing Real Estate Cycle Indicators," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 65-88.
    29. Clegg, Matthew & Krauss, Christopher & Rende, Jonas, 2017. "partialCI: An R package for the analysis of partially cointegrated time series," FAU Discussion Papers in Economics 05/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    30. Aaron Drew & Ben Hunt, 1998. "The Forecasting and Policy System: preparing economic projections," Reserve Bank of New Zealand Discussion Paper Series G98/7, Reserve Bank of New Zealand.
    31. Polbin, Andrey & Skrobotov, Anton, 2017. "Спектральная Оценка Компоненты Бизнес Цикла Ввп России С Учетом Высокой Зависимости От Условий Торговли [Spectral estimation of the business cycle component of the Russian GDP under high dependence," MPRA Paper 78667, University Library of Munich, Germany.
    32. Michele Piffer & Maximilian Podstawski, 2016. "Identifying Uncertainty Shocks Using the Price of Gold," Discussion Papers of DIW Berlin 1549, DIW Berlin, German Institute for Economic Research.
    33. Audrey Allegret, 2010. "Real exchange rate misalignments and economic performance for the G20 countries," Working Papers hal-04140932, HAL.
    34. Jitka Poměnková & Svatopluk Kapounek & Roman Maršálek, 2011. "Comparison of methodological approaches to identify economic activity regularities in transition economy," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 59(7), pages 283-292.
    35. Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.
    36. Lise Pichette & Pierre St-Amant & Ben Tomlin & Karine Anoma, 2015. "Measuring Potential Output at the Bank of Canada: The Extended Multivariate Filter and the Integrated Framework," Discussion Papers 15-1, Bank of Canada.
    37. Chentong Sun & Naiqian Li, 2023. "Extracting business cycles with three filters: A comparative study and application in the case of China," Bulletin of Economic Research, Wiley Blackwell, vol. 75(2), pages 254-269, April.
    38. Audrey Sallenave, 2010. "Real exchange rate misalignments and economic performance for the G20 countries," EconomiX Working Papers 2010-1, University of Paris Nanterre, EconomiX.
    39. José Francisco Bellod Redondo, 2011. "La función de producción de Cobb-Douglas y la economía española," Revista de Economía Crítica, Asociación de Economía Crítica, vol. 12, pages 9-38.
    40. Bernd Süssmuth, 2002. "National and Supranational Business Cycles (1960-2000): A multivariate description of central G7 and EURO15 NIPA aggregates," CESifo Working Paper Series 658, CESifo.
    41. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    42. Caraiani, Petre, 2015. "Estimating DSGE models across time and frequency," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 33-49.
    43. Joël CARIOLLE, 2012. "Measuring macroeconomic volatility - Applications to export revenue data, 1970-2005," Working Papers I14, FERDI.
    44. Antonis Michis, 2015. "Multiscale Analysis of the Liquidity Effect in the UK Economy," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 615-633, April.
    45. Philippe Jolivaldt & Ibrahim Ahamada, 2010. "Filtres usuels et filtre fondé sur les ondelettes : étude comparative et application au cycle économique," Économie et Prévision, Programme National Persée, vol. 195(4), pages 149-161.
    46. Dufourt, 2005. "Dynamic General Equilibrium Models and the Beveridge-Nelson Facts," Macroeconomics 0501003, University Library of Munich, Germany.
    47. Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2009. "Inflation Volatility: An Asian Perspective," MPRA Paper 19489, University Library of Munich, Germany.
    48. Ulrich Woitek, 1998. "A Note on the Baxter-King Filter," Working Papers 9813, Business School - Economics, University of Glasgow.
    49. Choudhary, Ali & Hanif, Nadim & Iqbal, Javed, 2013. "On smoothing macroeconomic time series using HP and modified HP filter," MPRA Paper 45630, University Library of Munich, Germany.
    50. Lise Pichette & Maria Bernier & Marie-Noëlle Robitaille, 2018. "An Alternative Estimate of Canadian Potential Output: The Multivariate State-Space Framework," Discussion Papers 18-14, Bank of Canada.
    51. Antonio Carneiro de Almeida Júnior, 2023. "Currency Crisis or Overproduction? A Marxian Analysis of the Exchange Rate Peg Collapse in Brazil," Review of Radical Political Economics, Union for Radical Political Economics, vol. 55(3), pages 466-489, September.
    52. Tsasa Vangu, Jean-Paul Kimbambu, 2014. "Diagnostic de la politique monétaire en Rép. Dém. Congo – Approche par l’Equilibre Général Dynamique Stochastique," Dynare Working Papers 38, CEPREMAP.
    53. Carnazza, Giovanni & Liberati, Paolo & Sacchi, Agnese, 2020. "The cyclically-adjusted primary balance: A novel approach for the euro area," Journal of Policy Modeling, Elsevier, vol. 42(5), pages 1123-1145.
    54. Rasmus Kattai, 2010. "Estonia's potential growth revisited," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 10(2), pages 63-78, December.
    55. Ibrahim Ahamada & Philippe Jolivaldt, 2010. "Classical vs wavelet-based filters Comparative study and application to business cycle," Post-Print halshs-00476022, HAL.
    56. Orrego, Fabrizio, 2009. "Una nota sobre el crecimiento del crédito al sector privado en el Perú," Working Papers 2009-002, Banco Central de Reserva del Perú.
    57. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Papers 2202.04146, arXiv.org.
    58. Luca Bindelli, 2005. "Testing the New Keynesian Phillips curve: a frequency domain approach," Money Macro and Finance (MMF) Research Group Conference 2005 69, Money Macro and Finance Research Group.
    59. Joël CARIOLLE, 2012. "Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005," Working Papers I14, FERDI.

  18. Alain Guay & Pierre St-Amant, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Technical Reports 78, Bank of Canada.

    Cited by:

    1. Martha Misas & Enrique López, 2000. "La Utilización de la Capacidad Instalada de la Industria en Colombia: Un Nuevo Enfoque," Borradores de Economia 153, Banco de la Republica de Colombia.
    2. Dupasquier, Chantal & Guay, Alain & St-Amant, Pierre, 1999. "A Survey of Alternative Methodologies for Estimating Potential Output and the Output Gap," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 577-595, July.
    3. Aaron Drew & Benjamin Hunt, 1999. "Efficient simple policy rules and the implications of potential output uncertainty," Reserve Bank of New Zealand Discussion Paper Series G99/5, Reserve Bank of New Zealand.
    4. Andrew Rennison, 2003. "Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach," Staff Working Papers 03-8, Bank of Canada.
    5. Russell Barnett & Sharon Kozicki & Christopher Petrinec, 2009. "Parsing shocks: real-time revisions to gap and growth projections for Canada," Review, Federal Reserve Bank of St. Louis, vol. 91(Jul), pages 247-266.
    6. René Lalonde, 2000. "Le modèle USM d'analyse et de projection de l'économie américaine," Staff Working Papers 00-19, Bank of Canada.
    7. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace-état et au filtre de Kalman," Revue de l'OFCE, Presses de Sciences-Po, vol. 86(3), pages 203-229.
    8. Greg Tkacz, 2000. "Fractional Cointegration and the Demand for M1," Staff Working Papers 00-12, Bank of Canada.
    9. Martha Misas & Enrique López, 1999. "El producto potencial en Colombia: una estimación bajo var estructural," Coyuntura Económica, Fedesarrollo, September.
    10. Athanasios Orphanides & Simon van Norden, 1999. "The reliability of output gap estimates in real time," Finance and Economics Discussion Series 1999-38, Board of Governors of the Federal Reserve System (U.S.).
    11. Joseph Atta-Mensah & Sawuya Nakijoba, 2019. "Estimating the Potential Output and Output Gap of Ghana," Applied Economics and Finance, Redfame publishing, vol. 6(3), pages 58-70, May.
    12. Samuel Bates & Cheikh Tidiane Ndiaye, 2014. "Economic Growth from a Structural Unobserved Component Modeling: The Case of Senegal," Post-Print hal-01291329, HAL.
    13. Alexander Moradi & Mustafa Y. Çakir, 2013. "Business cycle co-movements between South Africa and the BRIC countries," Working Papers 324, Economic Research Southern Africa.
    14. Maral Kichian, 1999. "Measuring Potential Output within a State-Space Framework," Staff Working Papers 99-9, Bank of Canada.
    15. Gutierrez, Carlos Enrique Carrasco & Gomes, Fábio Augusto Reis, 2009. "Evidence on Common Features and Business Cycle Synchronization in Mercosur," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
    16. Iris Claus, 1999. "Estimating potential output for New Zealand: a structural VAR approach," Reserve Bank of New Zealand Discussion Paper Series DP2000/03, Reserve Bank of New Zealand.
    17. Raphael Bergoeing & Raimundo Soto, 2002. "Testing Real Business Cycles Models in an Emerging Economy," Working Papers Central Bank of Chile 159, Central Bank of Chile.
    18. René Lalonde & Jennifer Page & Pierre St-Amant, 1998. "Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne," Staff Working Papers 98-21, Bank of Canada.
    19. Paul Fenton & Alain Paquet, 1997. "International Interest Rate Differentials: The Interaction with Fiscal and Monetary Variables, and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 56, CREFE, Université du Québec à Montréal, revised Jan 1998.
    20. Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    21. Aaron Drew & Ben Hunt, 1998. "The Forecasting and Policy System: preparing economic projections," Reserve Bank of New Zealand Discussion Paper Series G98/7, Reserve Bank of New Zealand.
    22. Paul Conway & Ben Hunt, 1997. "Estimating potential output: a semi-structural approach," Reserve Bank of New Zealand Discussion Paper Series G97/9, Reserve Bank of New Zealand.
    23. Ben Smit & Le Roux Burrows, 2002. "Estimating potential output and output gaps for the South African economy," Working Papers 05/2002, Stellenbosch University, Department of Economics.
    24. Devasmita Jena & Ishika Kataruka, 2022. "Monetary Response to Oil Price Shock in Asian Oil Importing Countries: Evaluation of Inflation Targeting Framework," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(4), pages 809-825, December.
    25. Pierre St-Amant & Simon van Norden, 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
    26. Banik, Nilanjan & Biswas, Basudeb, 2012. "The curious case of Indian agriculture," MPRA Paper 38634, University Library of Munich, Germany.
    27. Odia Ndongo, Yves Francis, 2006. "Datation du Cycle du PIB Camerounais entre 1960 et 2003," MPRA Paper 552, University Library of Munich, Germany.
    28. Jimborean, Ramona, 2013. "The exchange rate pass-through in the new EU member states," Economic Systems, Elsevier, vol. 37(2), pages 302-329.
    29. René Lalonde, 1998. "Le PIB potentiel des États-Unis et ses déterminants : la productivité de la main-d'oeuvre et le taux d'activité," Staff Working Papers 98-13, Bank of Canada.
    30. Julie Tam & Heather Kirkham, 2000. "Automatic Fiscal Stabilisers: Implications for New Zealand," Treasury Working Paper Series 01/10, New Zealand Treasury, revised 2001.
    31. Simon van Norden, 2002. "Filtering for Current Analysis," Staff Working Papers 02-28, Bank of Canada.
    32. Iris Claus, 2003. "Estimating potential output for New Zealand," Applied Economics, Taylor & Francis Journals, vol. 35(7), pages 751-760.
    33. Paolo Guarda, 2002. "Potential output and the output gap in Luxembourg: some alternative methods," BCL working papers 4, Central Bank of Luxembourg.
    34. Franziska Bignasca & Dr. Enzo Rossi, 2007. "Applying the Hirose-Kamada filter to Swiss data: Output gap and exchange rate pass-through estimates," Working Papers 2007-10, Swiss National Bank.
    35. Steven Morling, 2002. "Output Adjustment in Developing Countries: a Structural Var Approach," Discussion Papers Series 307, School of Economics, University of Queensland, Australia.
    36. Kapounek, Svatopluk, 2009. "Estimation of the Business Cycles - Selected Methodological Problems of the Hodrick-Prescott Filter Application," MPRA Paper 27567, University Library of Munich, Germany.
    37. Paul Conway & Ben Hunt, 1998. "Estimating the potential output of the New Zealand economy," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 61, September.
    38. Eduardo Loría & Emmanuel Salas, 2014. "Ciclos, crecimiento económico y crisis en México, 1980.1-2013.4," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 29(2), pages 131-161.

  19. Eric Ghysels & Alain Guay & Alastair Hall, 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," CIRANO Working Papers 95s-20, CIRANO.

    Cited by:

    1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
    2. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," Economics Discussion Paper Series 1326, Economics, The University of Manchester.
    3. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
    4. Luis F. Céspedes & Claudio Soto, 2007. "Credibility and Inflation Targeting in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 14, pages 547-578, Central Bank of Chile.
    5. Robert W. Rich & Charles Steindel, 2007. "A comparison of measures of core inflation," Economic Policy Review, Federal Reserve Bank of New York, vol. 13(Dec), pages 19-38.
    6. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    7. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics.
    8. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
    9. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute.
    10. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO.
    11. Luis F. Céspedes C. & Claudio Soto G., 2006. "Inflation Targeting And Monetary Policy Credibility In Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 53-70, December.
    12. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003. "How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 629-644, August.
    13. Joseph G. Haubrich, 2020. "Does the Yield Curve Predict Output?," Working Papers 20-34, Federal Reserve Bank of Cleveland.
    14. Delgado, Miguel A. & Fiteni, Inmaculada, 2002. "External bootstrap tests for parameter stability," Journal of Econometrics, Elsevier, vol. 109(2), pages 275-303, August.
    15. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.
    16. Masafumi Kozuka, 2014. "Policy Duration Effects, Quantitative Monetary Easing Policy and Economic Growth: Evidence from Japanese Time Series Data," Discussion Papers 1410, Graduate School of Economics, Kobe University.
    17. Cunado, Juncal & Gomez Biscarri, Javier & Perez de Gracia, Fernando, 2006. "Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization," Emerging Markets Review, Elsevier, vol. 7(3), pages 261-278, September.
    18. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    19. Ghysels, Eric & Cherkaoui, Mouna, 2003. "Emerging markets and trading costs: lessons from Casablanca," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 169-198, February.
    20. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
    21. Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004. "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
    22. Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006. "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers 01/06, School of Economics and Business Administration, University of Navarra.
    23. Aue, Alexander & Horváth, Lajos & Hušková, Marie, 2012. "Segmenting mean-nonstationary time series via trending regressions," Journal of Econometrics, Elsevier, vol. 168(2), pages 367-381.
    24. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
    25. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    26. Anatolyev Stanislav & Kosenok Grigory, 2018. "Sequential Testing with Uniformly Distributed Size," Journal of Time Series Econometrics, De Gruyter, vol. 10(2), pages 1-22, July.
    27. Robert W. Rich & Charles Steindel, 2005. "A review of core inflation and an evaluation of its measures," Staff Reports 236, Federal Reserve Bank of New York.
    28. D.M. Nachane & Nishita Raje, 2007. "Financial Liberalisation and Monetary Policy," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 1(1), pages 47-83, March.
    29. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
    30. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
    31. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    32. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers 134, Banque de France.
    33. Arturo Estrella & Anthony P. Rodrigues, 2005. "One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory," Staff Reports 232, Federal Reserve Bank of New York.
    34. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
    35. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    36. Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are \"deep\" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston.
    37. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
    38. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
    39. Neely, Christopher J. & Weller, Paul A. & Ulrich, Joshua M., 2009. "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(2), pages 467-488, April.
    40. Albert N. Link & David Paton & Donald S. Siegel, 2005. "An econometric analysis of trends in research joint venture activity," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 149-158.
    41. Sen, Amit, 1999. "Approximate p-values of predictive tests for structural stability," Economics Letters, Elsevier, vol. 63(3), pages 245-253, June.
    42. Steland, Ansgar, 2004. "Random walks with drift : a sequential approach," Technical Reports 2004,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    43. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  20. Alain DeSerres & Alain Guay, 1995. "Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions," Econometrics 9510001, University Library of Munich, Germany.

    Cited by:

    1. Martha Misas & Enrique López, 2000. "La Utilización de la Capacidad Instalada de la Industria en Colombia: Un Nuevo Enfoque," Borradores de Economia 153, Banco de la Republica de Colombia.
    2. Dupasquier, Chantal & Guay, Alain & St-Amant, Pierre, 1999. "A Survey of Alternative Methodologies for Estimating Potential Output and the Output Gap," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 577-595, July.
    3. Ashima Goyal & Arjun Singh, 2007. "Through a Glass Darkly," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 1(2), pages 139-166, April.
    4. Lemoine, Matthieu & Mazzi, Gian Luigi & Monperrus-Veroni, Paola & Reynes, Frédéric, 2008. "Real time estimation of potential output and output gap for theeuro-area: comparing production function with unobserved componentsand SVAR approaches," MPRA Paper 13128, University Library of Munich, Germany, revised Nov 2008.
    5. Alain DeSerres & Alain Guay & Pierre St-Amant, 1995. "Estimating and Projecting Potential Output Using Structural VAR Methodology," Macroeconomics 9504003, University Library of Munich, Germany.
    6. Murray, John & Schembri, Lawrence & St-Amant, Pierre, 2003. "Revisiting the case for flexible exchange rates in North America," The North American Journal of Economics and Finance, Elsevier, vol. 14(2), pages 207-240, August.
    7. Alain DeSerres & Alain Guay & Pierre St-Amant, "undated". "Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy," Staff Working Papers 95-2, Bank of Canada.
    8. Martha Misas & Enrique López Enciso, 2001. "Desequilibrios Reales en Colombia," Borradores de Economia 181, Banco de la Republica de Colombia.
    9. René Lalonde, 2000. "Le modèle USM d'analyse et de projection de l'économie américaine," Staff Working Papers 00-19, Bank of Canada.
    10. Badarau-Semenescu, Cristina & Ndiaye, Cheikh Tidiane, 2010. "Politique économique et transmission des chocs dans la zone euro," L'Actualité Economique, Société Canadienne de Science Economique, vol. 86(1), pages 35-77, mars.
    11. Pierre St-Amant, 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology," Macroeconomics 9602004, University Library of Munich, Germany.
    12. Iris Claus, 1997. "A Measure of Underlying Inflation in the United States," Staff Working Papers 97-20, Bank of Canada.
    13. Z. Yejim Giirbiiz & Thomas Jobert & Ruhi Tuncer, 2008. "The Turkish Experience in Inflation Targeting: Uncertainties and the Efficiency of Monetary Policy," Economie Internationale, CEPII research center, issue 116, pages 127-146.
    14. Mark S Astley & Anthony Garratt, 1998. "Exchange rates and prices: sources of sterling real exchange rate fluctuations 1973-94," Bank of England working papers 85, Bank of England.
    15. Iris Claus, 1999. "Estimating potential output for New Zealand: a structural VAR approach," Reserve Bank of New Zealand Discussion Paper Series DP2000/03, Reserve Bank of New Zealand.
    16. Kreiter, Zebulun & Paul, Tapas Kumar, 2010. "Deficit Financing and Inflation in Bangladesh: A Vector Autoregressive Analysis," MPRA Paper 45981, University Library of Munich, Germany.
    17. Marcel Kasumovich, 1996. "Interpreting Money-Spply and Interest-Rate Sgocks as Monetary-Policy Shocks," Staff Working Papers 96-8, Bank of Canada.
    18. Chantal Dupasquier & Alain Guay & Pierre St-Amant, 1997. "A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap," Staff Working Papers 97-5, Bank of Canada.
    19. Pierre St-Amant & Simon van Norden, 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
    20. René Lalonde, 1998. "Le PIB potentiel des États-Unis et ses déterminants : la productivité de la main-d'oeuvre et le taux d'activité," Staff Working Papers 98-13, Bank of Canada.
    21. Pierre St-Amant & David Tessier, 1998. "Tendance des dépenses publiques et de l'inflation et évolution comparative du taux de chômage au Canada et aux États-Unis," Staff Working Papers 98-3, Bank of Canada.
    22. Steven Morling, 2002. "Output Adjustment in Developing Countries: a Structural Var Approach," Discussion Papers Series 307, School of Economics, University of Queensland, Australia.
    23. Pierre St-Amant & David Tessier, 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Staff Working Papers 98-4, Bank of Canada.

  21. Alain DeSerres & Alain Guay & Pierre St-Amant, 1995. "Estimating and Projecting Potential Output Using Structural VAR Methodology," Macroeconomics 9504003, University Library of Munich, Germany.

    Cited by:

    1. Vigfusson, Robert, 1997. "Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 291-305, October.
    2. Leo Butler, 1996. "The Bank of Canada's New Quarterly Porjection Model Part 4 : A Semi- Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter," Technical Reports 77, Bank of Canada.
    3. Murray, John & Schembri, Lawrence & St-Amant, Pierre, 2003. "Revisiting the case for flexible exchange rates in North America," The North American Journal of Economics and Finance, Elsevier, vol. 14(2), pages 207-240, August.
    4. José Ignacio Castillo Manzano & Fernando González Laxe & Lourdes López Valpuesta, 2006. "Una Introducción al Análisis del Tráfico de Contenedores mediante los Vectores Autoregresivos," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 5, pages 1-23, January.
    5. Martha Misas & Enrique López, 1999. "El producto potencial en Colombia: una estimación bajo var estructural," Coyuntura Económica, Fedesarrollo, September.
    6. Nicholas Ricketts & David Rose, 1995. "Inflation, Learning and Monetary Policy Regimes in the G-7 Economies," Macroeconomics 9506004, University Library of Munich, Germany, revised 15 Feb 1996.
    7. Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, University Library of Munich, Germany.
    8. Nicholas Ricketts & David Rose, "undated". "Inflation, Learning And Monetary Policy Regimes In The G-7 Economies," Staff Working Papers 95-6, Bank of Canada.
    9. Pierre St-Amant, 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology," Macroeconomics 9602004, University Library of Munich, Germany.
    10. José Ronaldo de Castro Souza Júnior, 2005. "Produto Potencial: Conceitos, Métodos de Estimação e Aplicação à Economia Brasileira," Discussion Papers 1130, Instituto de Pesquisa Econômica Aplicada - IPEA.
    11. Houda Ben Hadj Boubaker, 2011. "Inflation Forecast-Based Rule for Inflation Targeting: Case of Some Selected MENA Countries," Working Papers 628, Economic Research Forum, revised 09 Jan 2011.
    12. Simon van Norden & Robert Vigfusson, 1996. "Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures," Econometrics 9603004, University Library of Munich, Germany.
    13. Martha Misas A. & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el siglo XX: El Aporte de un VAR Estructural," Borradores de Economia 2229, Banco de la Republica.
    14. Pierre St-Amant & Simon van Norden, 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
    15. Martha Misas & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el Siglo XX: El aporte de un VAR Estructural," Borradores de Economia 155, Banco de la Republica de Colombia.
    16. Steven Morling, 2002. "Output Adjustment in Developing Countries: a Structural Var Approach," Discussion Papers Series 307, School of Economics, University of Queensland, Australia.
    17. Hassan, Syeda Anam & Zaman, Khalid, 2012. "Effect of oil prices on trade balance: New insights into the cointegration relationship from Pakistan," Economic Modelling, Elsevier, vol. 29(6), pages 2125-2143.

  22. Alain DeSerres & Alain Guay & Pierre St-Amant, "undated". "Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy," Staff Working Papers 95-2, Bank of Canada.

    Cited by:

    1. Leo Butler, 1996. "The Bank of Canada's New Quarterly Porjection Model Part 4 : A Semi- Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter," Technical Reports 77, Bank of Canada.
    2. Murray, John & Schembri, Lawrence & St-Amant, Pierre, 2003. "Revisiting the case for flexible exchange rates in North America," The North American Journal of Economics and Finance, Elsevier, vol. 14(2), pages 207-240, August.
    3. José Ignacio Castillo Manzano & Fernando González Laxe & Lourdes López Valpuesta, 2006. "Una Introducción al Análisis del Tráfico de Contenedores mediante los Vectores Autoregresivos," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 5, pages 1-23, January.
    4. Pierre St-Amant, 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology," Macroeconomics 9602004, University Library of Munich, Germany.
    5. José Ronaldo de Castro Souza Júnior, 2005. "Produto Potencial: Conceitos, Métodos de Estimação e Aplicação à Economia Brasileira," Discussion Papers 1130, Instituto de Pesquisa Econômica Aplicada - IPEA.
    6. Proietti, Tommaso, 1999. "Structural Time Series Modelling of Capacity Utilisation," MPRA Paper 62621, University Library of Munich, Germany.
    7. Houda Ben Hadj Boubaker, 2011. "Inflation Forecast-Based Rule for Inflation Targeting: Case of Some Selected MENA Countries," Working Papers 628, Economic Research Forum, revised 09 Jan 2011.
    8. Martha Misas A. & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el siglo XX: El Aporte de un VAR Estructural," Borradores de Economia 2229, Banco de la Republica.
    9. Ben Smit & Le Roux Burrows, 2002. "Estimating potential output and output gaps for the South African economy," Working Papers 05/2002, Stellenbosch University, Department of Economics.
    10. Simon van Norden, 1995. "Why Is It So Hard to Measure the Current Output Gap?," Macroeconomics 9506001, University Library of Munich, Germany.
    11. Ashwin Madhou, 2015. "Demystifying output gap pressure through surveys in a monetary analysis setting: an experimental perspective," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    12. Pierre St-Amant & Simon van Norden, 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
    13. Martha Misas & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el Siglo XX: El aporte de un VAR Estructural," Borradores de Economia 155, Banco de la Republica de Colombia.
    14. Mark S Astley & Tony Yates, 1999. "Inflation and real disequilibria," Bank of England working papers 103, Bank of England.
    15. Steven Morling, 2002. "Output Adjustment in Developing Countries: a Structural Var Approach," Discussion Papers Series 307, School of Economics, University of Queensland, Australia.
    16. Jeannine Bailliu & Daniel Garcés & Mark Kruger & Miguel Messmacher, 2003. "Explaining and Forecasting Inflation in Emerging Markets: The Case of Mexico," Staff Working Papers 03-17, Bank of Canada.
    17. Hassan, Syeda Anam & Zaman, Khalid, 2012. "Effect of oil prices on trade balance: New insights into the cointegration relationship from Pakistan," Economic Modelling, Elsevier, vol. 29(6), pages 2125-2143.

Articles

  1. Guay, Alain, 2021. "Identification of structural vector autoregressions through higher unconditional moments," Journal of Econometrics, Elsevier, vol. 225(1), pages 27-46.

    Cited by:

    1. Moneta, Alessio & Pallante, Gianluca, 2022. "Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    2. Jordi Brandts & Sabrine El Baroudi & Stefanie Huber & Christina Rott, 2022. "Gender Differences in Private and Public Goal Setting," Tinbergen Institute Discussion Papers 22-008/II, Tinbergen Institute.
    3. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
    4. Geert Mesters & Piotr Zwiernik, 2022. "Non-Independent Components Analysis," Working Papers 1358, Barcelona School of Economics.
    5. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    6. Drautzburg, Thorsten & Wright, Jonathan H, 2021. "Refining Set-Identification in VARs through Independence," Economics Working Paper Archive 64575, The Johns Hopkins University,Department of Economics.
    7. Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Robust inference for non-Gaussian SVAR models," Economics Working Papers 1847, Department of Economics and Business, Universitat Pompeu Fabra.
    8. Sascha A. Keweloh, 2023. "Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions," Papers 2303.13281, arXiv.org, revised Apr 2024.
    9. Sascha A. Keweloh, 2023. "Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples," Papers 2310.08173, arXiv.org.
    10. Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Locally Robust Inference for Non-Gaussian SVAR Models," Working Papers 1367, Barcelona School of Economics.
    11. Miguel Cabello, 2022. "Robust Estimation of the non-Gaussian Dimension in Structural Linear Models," Papers 2212.07263, arXiv.org, revised Sep 2023.
    12. Francesco Cordoni & Nicolas Doremus & Alessio Moneta, 2023. "Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure," LEM Papers Series 2023/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

  2. Patrick Fève & Alain Guay, 2019. "Sentiments in SVARs," The Economic Journal, Royal Economic Society, vol. 129(618), pages 877-896.
    See citations under working paper version above.
  3. Paul Beaudry & Patrick Feve & Alain Guay & Franck Portier, 2019. "When is Nonfundamentalness in SVARs a Real Problem?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 221-243, October.
    See citations under working paper version above.
  4. Alain Guay & Jean-François Lamarche, 2018. "Structural change tests for GEL criteria," Econometric Reviews, Taylor & Francis Journals, vol. 37(9), pages 1000-1032, October.
    See citations under working paper version above.
  5. Guay, Alain & Maurin, Alain, 2015. "Disaggregation methods based on MIDAS regression," Economic Modelling, Elsevier, vol. 50(C), pages 123-129.

    Cited by:

    1. Christian Caamaño-Carrillo & Sergio Contreras-Espinoza & Orietta Nicolis, 2023. "Reconstructing the Quarterly Series of the Chilean Gross Domestic Product Using a State Space Approach," Mathematics, MDPI, vol. 11(8), pages 1-14, April.
    2. Qiu, Yue, 2020. "Forecasting the Consumer Confidence Index with tree-based MIDAS regressions," Economic Modelling, Elsevier, vol. 91(C), pages 247-256.
    3. Enrique M. Quilis, 2018. "Temporal disaggregation of economic time series: The view from the trenches," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 447-470, November.
    4. Khoo, Joye & Cheung, Adrian (Wai Kong), 2021. "Does geopolitical uncertainty affect corporate financing? Evidence from MIDAS regression," Global Finance Journal, Elsevier, vol. 47(C).
    5. Xu, Qifa & Zhuo, Xingxuan & Jiang, Cuixia & Liu, Xi & Liu, Yezheng, 2018. "Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth," Economic Modelling, Elsevier, vol. 75(C), pages 221-236.

  6. Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2014. "Understanding the effect of technology shocks in SVARs with long-run restrictions," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 154-172.
    See citations under working paper version above.
  7. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.

    Cited by:

    1. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2022. "Data-driven portmanteau tests for time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 675-698, September.
    2. Hill, Jonathan B. & Motegi, Kaiji, 2019. "Testing the white noise hypothesis of stock returns," Economic Modelling, Elsevier, vol. 76(C), pages 231-242.

  8. Ambler, Steve & Guay, Alain & Phaneuf, Louis, 2012. "Endogenous business cycle propagation and the persistence problem: The role of labor-market frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 47-62.

    Cited by:

    1. Rhee, Hyuk-jae & Turdaliev, Nurlan, 2013. "Optimal monetary policy in a small open economy with staggered wage and price contracts," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 306-323.
    2. Andreyev, M. & Polbin, A., 2019. "Studying the financial accelerator effect in a two-sector DSGE model for an exportoriented economy," Journal of the New Economic Association, New Economic Association, vol. 44(4), pages 12-49.
    3. Minford, Lucy & Meenagh, David, 2018. "Supply-side policy and economic growth: A case study of the UK," Cardiff Economics Working Papers E2018/10, Cardiff University, Cardiff Business School, Economics Section.
    4. Rebei, Nooman, 2014. "What (really) accounts for the fall in hours after a technology shock?," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 330-352.
    5. Malikane, Christopher, 2012. "The microfoundations of the Keynesian wage-price spiral," MPRA Paper 42921, University Library of Munich, Germany, revised 29 Nov 2012.
    6. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    7. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011. "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers 2011-10, Christian-Albrechts-University of Kiel, Department of Economics.

  9. Patrick Fève & Alain Guay, 2010. "Identification of Technology Shocks in Structural Vars," Economic Journal, Royal Economic Society, vol. 120(549), pages 1284-1318, December.

    Cited by:

    1. Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
    2. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
    3. Fabrice Collard & Patrick Fève, 2012. "Sur les causes et les effets en macro économie : les Contributions de Sargent et Sims, Prix Nobel d'Economie 2011," Revue d'économie politique, Dalloz, vol. 122(3), pages 335-364.
    4. Sirine Mnif & Chiraz Feki & Ines Abdelkafi, 2018. "Effects of Technological Shock on Employment: Application of Structural Approach VECM," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 9(4), pages 1138-1153, December.
    5. Rujin, Svetlana, 2019. "What are the effects of technology shocks on international labor markets?," Ruhr Economic Papers 806, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    6. Cristiano Cantore & Filippo Ferroni & Miguel A. León-Ledesma, 2012. "The dynamics of hours worked and technology," Working Papers 1238, Banco de España.
    7. Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2014. "Understanding the effect of technology shocks in SVARs with long-run restrictions," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 154-172.
    8. Adebayo Augustine Kutu & Harold Ngalawa, 2016. "Monetary Policy Shocks And Industrial Output In Brics Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 66(3), pages 3-24, July-Sept.
    9. Feng Wang & Ruiqi Wang, 2021. "The Mechanism of Driving Green Growth and Decreasing Energy Security Risks by Innovation in China," Sustainability, MDPI, vol. 13(9), pages 1-34, April.

  10. Patrick Fève & Alain Guay, 2009. "The Response of Hours to a Technology Shock: A Two-Step Structural VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 987-1013, August.
    See citations under working paper version above.
  11. Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008. "Adaptive consistent unit-root tests based on autoregressive threshold model," Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
    See citations under working paper version above.
  12. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 397-430, February.

    Cited by:

    1. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.
    2. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    3. Meenagh, David & Minford, Patrick & Xu, Yongdeng, 2022. "Targeting moments for calibration compared with indirect inference," Cardiff Economics Working Papers E2022/12, Cardiff University, Cardiff Business School, Economics Section.
    4. Eric J. Bartelsman & Zoltan Wolf, 2017. "Measuring Productivity Dispersion," Tinbergen Institute Discussion Papers 17-033/VI, Tinbergen Institute.
    5. Karamé, Frédéric & Patureau, Lise & Sopraseuth, Thepthida, 2008. "Limited participation and exchange rate dynamics: Does theory meet the data?," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1041-1087, April.
    6. Patrick Fève & Julien Matheron & Jean‐Guillaume Sahuc, 2010. "Disinflation Shocks in the Eurozone: A DSGE Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2‐3), pages 289-323, March.
    7. Kilian, Lutz & Inoue, Atsushi & Guerron-Quintana, Pablo A., 2014. "Impulse Response Matching Estimators for DSGE Models," CEPR Discussion Papers 10298, C.E.P.R. Discussion Papers.
    8. David T. Frazier & Bonsoo Koo, 2020. "Indirect Inference for Locally Stationary Models," Monash Econometrics and Business Statistics Working Papers 30/20, Monash University, Department of Econometrics and Business Statistics.
    9. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2018. "On the Informativeness of Descriptive Statistics for Structural Estimates," NBER Working Papers 25217, National Bureau of Economic Research, Inc.
    11. Minford, Patrick & Wickens, Michael R. & Meenagh, David, 2012. "Testing macroeconomic models by indirect inference on unfiltered data," CEPR Discussion Papers 9058, C.E.P.R. Discussion Papers.
    12. Stéphane Adjemian & Florian Pelgrin, 2008. "Un regard bayésien sur les modèles dynamiques de la macroéconomie," Economie & Prévision, La Documentation Française, vol. 0(2), pages 127-152.
    13. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    14. Antoine, Bertille & Renault, Eric, 2020. "Testing identification strength," Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
    15. Denis Beninger & François Laisney, 2006. "On the performance of unitary models of household labor supply estimated on “collective” data with taxation," Post-Print hal-01201136, HAL.
    16. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    17. Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
    18. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "The small sample properties of Indirect Inference in testing and estimating DSGE models," Cardiff Economics Working Papers E2018/7, Cardiff University, Cardiff Business School, Economics Section.
    19. Davidson, James & Meenagh, David & Minford, Patrick & Wickens, Michael, 2010. "Why crises happen - nonstationary macroeconomics," Cardiff Economics Working Papers E2010/13, Cardiff University, Cardiff Business School, Economics Section.
    20. Xue-Zhong He & Youwei Li, 2015. "Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30," Research Paper Series 354, Quantitative Finance Research Centre, University of Technology, Sydney.
    21. Nwaobi, Godwin, 2012. "Monetary Policies and Nigerian Economy:Simulations from Dynamic Stochastic General Equilibrium(DSGE)Model," MPRA Paper 38167, University Library of Munich, Germany.
    22. Nikolay Gospodinov & Serena Ng, 2013. "Minimum distance estimation of possibly non-invertible moving average models," FRB Atlanta Working Paper 2013-11, Federal Reserve Bank of Atlanta.
    23. Russell Davidson & Victoria Zinde-Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics, Canadian Economics Association, vol. 50(5), pages 1595-1631, December.
    24. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2011. "How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2078-2104.
    25. Isaiah Andrews & Jesse M. Shapiro, 2021. "A Model of Scientific Communication," Econometrica, Econometric Society, vol. 89(5), pages 2117-2142, September.
    26. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, Department of Economics and Business Economics, Aarhus University.
    27. Ruge-Murcia, Francisco, 2020. "Estimating nonlinear dynamic equilibrium models by matching impulse responses," Economics Letters, Elsevier, vol. 197(C).
    28. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    29. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
    30. Valentina Corradi & Norman R. Swanson, 2009. "Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models," Working Papers 09-29, Federal Reserve Bank of Philadelphia.
    31. Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012. "Information criteria for impulse response function matching estimation of DSGE models," Journal of Econometrics, Elsevier, vol. 170(2), pages 499-518.
    32. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2008. "Comparison of Misspecified Calibrated Models: The Minimum Distance Approach," Microeconomics.ca working papers vadim_marmer-2008-14, Vancouver School of Economics, revised 28 Sep 2011.
    33. Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2020. "Transparency in Structural Research," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(4), pages 711-722, October.
    34. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
    35. Martin M. Andreasen & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," CREATES Research Papers 2013-12, Department of Economics and Business Economics, Aarhus University.
    36. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
    37. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
    38. Minford, Lucy & Meenagh, David, 2018. "Supply-side policy and economic growth: A case study of the UK," Cardiff Economics Working Papers E2018/10, Cardiff University, Cardiff Business School, Economics Section.
    39. Chaudhuri, Saraswata & Frazier, David T. & Renault, Eric, 2018. "Indirect Inference with endogenously missing exogenous variables," Journal of Econometrics, Elsevier, vol. 205(1), pages 55-75.
    40. Nicolas Moreau & Olivier Bargain, 2013. "The Impact of Tax-Benefit Reforms on Labor Supply in a Simulated Nash bargaining Framework," Post-Print hal-01691912, HAL.
    41. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
    42. Sönksen, Jantje & Grammig, Joachim, 2020. "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR), revised 2020.
    43. Atsushi Inoue & Mototsugu Shintani, 2018. "Quasi‐Bayesian model selection," Quantitative Economics, Econometric Society, vol. 9(3), pages 1265-1297, November.
    44. Xue-Zhong He & Youwei Li, 2017. "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
    45. Mario Martinoli & Alessio Moneta & Gianluca Pallante, 2022. "Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search," LEM Papers Series 2022/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    46. Frazier, David T. & Koo, Bonsoo, 2021. "Indirect inference for locally stationary models," Journal of Econometrics, Elsevier, vol. 223(1), pages 1-27.
    47. Laurent-Emmanuel Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Working Papers hal-00625500, HAL.
    48. Poghosyan, Karen & Boldea, Otilia, 2013. "Structural versus matching estimation: Transmission mechanisms in Armenia," Economic Modelling, Elsevier, vol. 30(C), pages 136-148.
    49. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
    50. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    51. Nikolai Roussanov & Michael Michaux & Hui Chen, 2011. "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty," 2011 Meeting Papers 1369, Society for Economic Dynamics.
    52. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Other publications TiSEM ad1a24c3-15e6-4f04-b338-3, Tilburg University, School of Economics and Management.
    53. Arel-Bundock, Vincent, 2013. "A solution to the weak instrument bias in 2SLS estimation: Indirect inference with stochastic approximation," Economics Letters, Elsevier, vol. 120(3), pages 495-498.
    54. Meenagh, David & Minford, Patrick & Xu, Yongdeng, 2023. "Indirect Inference and Small Sample Bias - Some Recent Results," Cardiff Economics Working Papers E2023/15, Cardiff University, Cardiff Business School, Economics Section.
    55. Shuowen Chen, 2022. "Indirect Inference for Nonlinear Panel Models with Fixed Effects," Papers 2203.10683, arXiv.org, revised Apr 2022.
    56. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "Testing DSGE Models by indirect inference: a survey of recent findings," Cardiff Economics Working Papers E2018/14, Cardiff University, Cardiff Business School, Economics Section.
    57. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2022. "Approximate maximum likelihood for complex structural models," Journal of Econometrics, Elsevier, vol. 231(2), pages 432-456.
    58. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2007. "Optimal Monetary Policy and Technological Shocks in the Post-War US Business Cycle," IDEI Working Papers 484, Institut d'Économie Industrielle (IDEI), Toulouse.
    59. Blasques, Francisco & Duplinskiy, Artem, 2018. "Penalized indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 34-54.
    60. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
    61. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
    62. Ambler, Steve & Guay, Alain & Phaneuf, Louis, 2012. "Endogenous business cycle propagation and the persistence problem: The role of labor-market frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 47-62.
    63. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
    64. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers 21/13, Institute for Fiscal Studies.
    65. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

  13. Guay, Alain & Guerre, Emmanuel, 2006. "A Data-Driven Nonparametric Specification Test For Dynamic Regression Models," Econometric Theory, Cambridge University Press, vol. 22(4), pages 543-586, August.

    Cited by:

    1. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
    2. Gourieroux, Christian & Jasiak, Joann, 2019. "Robust analysis of the martingale hypothesis," Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
    3. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.
    4. Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.
    5. Ivan Korolev, 2019. "A Consistent LM Type Specification Test for Semiparametric Panel Data Models," Papers 1909.05649, arXiv.org.
    6. George Kapetanios & Andrew P. Blake, 2007. "Boosting Estimation of RBF Neural Networks for Dependent Data," Working Papers 588, Queen Mary University of London, School of Economics and Finance.
    7. Juan Carlos Escanciano & Silvia Mayoral, 2007. "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers 01/07, School of Economics and Business Administration, University of Navarra.
    8. George Kapetanios & Andrew P. Blake, 2007. "Testing the Martingale Difference Hypothesis Using Neural Network Approximations," Working Papers 601, Queen Mary University of London, School of Economics and Finance.
    9. Lee Jinu, 2019. "A Neural Network Method for Nonlinear Time Series Analysis," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-18, January.

  14. Alain Guay & Pierre Saint-Amant, 2005. "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Annals of Economics and Statistics, GENES, issue 77, pages 133-155.
    See citations under working paper version above.
  15. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    See citations under working paper version above.
  16. Guay, Alain & Scaillet, Olivier, 2003. "Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 122-132, January.

    Cited by:

    1. Gonzalo, Jesus & Martinez, Oscar, 2006. "Large shocks vs. small shocks. (Or does size matter? May be so.)," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 311-347.
    2. Lahiani, A. & Scaillet, O., 2009. "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," International Journal of Forecasting, Elsevier, vol. 25(2), pages 418-428.
    3. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    4. Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
    5. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers 2006-17, University of Paris Nanterre, EconomiX.
    6. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Working Papers hal-04138874, HAL.
    7. Jan G. Gooijer, 2021. "Asymmetric vector moving average models: estimation and testing," Computational Statistics, Springer, vol. 36(2), pages 1437-1460, June.

  17. Alain Guay, 2003. "Optimal Predictive Tests," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 379-410.

    Cited by:

    1. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
    2. Luis F. Céspedes C. & Claudio Soto G., 2006. "Inflation Targeting And Monetary Policy Credibility In Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 53-70, December.

  18. Ghysels, Eric & Guay, Alain, 2003. "Structural change tests for simulated method of moments," Journal of Econometrics, Elsevier, vol. 115(1), pages 91-123, July.
    See citations under working paper version above.
  19. Dupasquier, Chantal & Guay, Alain & St-Amant, Pierre, 1999. "A Survey of Alternative Methodologies for Estimating Potential Output and the Output Gap," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 577-595, July.

    Cited by:

    1. Stan du Plessis & Ben Smit & Federico Sturzenegger, 2008. "Identifying Aggregate Supply and Demand Shocks in South Africa," CID Working Papers 164, Center for International Development at Harvard University.
    2. Murray, John & Schembri, Lawrence & St-Amant, Pierre, 2003. "Revisiting the case for flexible exchange rates in North America," The North American Journal of Economics and Finance, Elsevier, vol. 14(2), pages 207-240, August.
    3. João Sousa Andrade & António Portugal Duarte, 2012. "The Importance of a Good Indicator for Global Excess Demand," GEMF Working Papers 2012-15, GEMF, Faculty of Economics, University of Coimbra.
    4. Schumacher, Christian, 2000. "Forecasting trend output in the Euro area," HWWA Discussion Papers 109, Hamburg Institute of International Economics (HWWA).
    5. Yetman, James, 2003. "Probing potential output: Monetary policy, credibility, and optimal learning under uncertainty," Journal of Macroeconomics, Elsevier, vol. 25(3), pages 311-330, September.
    6. Charles Harvie & Hyeon‐Seung Huh, 2009. "A New Measure Of Us Potential Output, Inflation Forecasts, And Monetary Policy Rules," Manchester School, University of Manchester, vol. 77(5), pages 611-631, September.
    7. Pierre L. Siklos & Yang Zhang, 2010. "Identifying The Shocks Driving Inflation In China," Pacific Economic Review, Wiley Blackwell, vol. 15(2), pages 204-223, May.
    8. Alessandro Cianci, 2016. "Disoccupazione strutturale in Italia e regole europee di bilancio," a/ Working Papers Series 1601, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
    9. Cayen, Jean-Philippe & van Norden, Simon, 2004. "The reliability of Canadian output gap estimates," Discussion Paper Series 1: Economic Studies 2004,29, Deutsche Bundesbank.
    10. Döpke, Jörg & Chagny, Odile, 2001. "Measures of the Output Gap in the Euro-Zone: An Empirical Assessment of Selected Methods," Kiel Working Papers 1053, Kiel Institute for the World Economy (IfW Kiel).
    11. Ryadh M. Alkhareif & William A. Barnett & Nayef A. Alsadoun, 2017. "Estimating the Output Gap for Saudi Arabia," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 81-90, March.
    12. Hyeon-seung Huh & David Kim, 2013. "Do SVAR Models Justify Discarding the Technology Shock-Driven Real Business Cycle Hypothesis?," Working papers 2013rwp-59, Yonsei University, Yonsei Economics Research Institute.
    13. Angelica E. Njuguna & Stephen N. Karingi & Mwangi S. Kimenyi, 2005. "Measuring Potential Output and Output Gap and Macroeconomic Policy: The Case of Kenya," Working papers 2005-45, University of Connecticut, Department of Economics.
    14. Maral Kichian, 1999. "Measuring Potential Output within a State-Space Framework," Staff Working Papers 99-9, Bank of Canada.
    15. Gradzewicz, Michal & Kolasa, Marcin, 2004. "Estimating the output gap in the Polish economy: the VECM approach," MPRA Paper 28227, University Library of Munich, Germany.
    16. Vincze, János, 2017. "Információ és tudás. A big data egyes hatásai a közgazdaságtanra [Information and knowledge: some effects of big data on economics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1148-1159.
    17. S. Adnan H. A. S. Bukhari & Safdar Ullah Khan, 2008. "Estimating Output Gap for Pakistan Economy: Structural and Statistical Approaches," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 4, pages 31-60.
    18. Martha Misas A. & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el siglo XX: El Aporte de un VAR Estructural," Borradores de Economia 2229, Banco de la Republica.
    19. Michael D. Bordo & Pierre L. Siklos, 2015. "Central Bank Credibility: An Historical and Quantitative Exploration," NBER Working Papers 20824, National Bureau of Economic Research, Inc.
    20. Isabell Koske & Nigel Pain, 2008. "The Usefulness of Output Gaps for Policy Analysis," OECD Economics Department Working Papers 621, OECD Publishing.
    21. Samad Sarferaz & Florian Eckert, 2019. "Agnostische Schätzung und Zerlegung von Produktionslücken," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 13(4), pages 27-36, December.
    22. Martha Misas & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el Siglo XX: El aporte de un VAR Estructural," Borradores de Economia 155, Banco de la Republica de Colombia.
    23. Florian Eckert & Samad Sarferaz, 2019. "Agnostic Output Gap Estimation and Decomposition in Large Cross-Sections," KOF Working papers 19-467, KOF Swiss Economic Institute, ETH Zurich.
    24. Dana Kloudová, 2013. "Produkční mezera jako indikátor inflace - případ pro českou ekonomiku [Output Gap as Indicator of Inflation - Case for Czech Economy]," Politická ekonomie, Prague University of Economics and Business, vol. 2013(5), pages 639-652.
    25. Stan du Plessis & Ben Smit & Federico Sturzenegger, 2008. "Identifying Aggregate Supply and Demand Shocks in South Africa †," Journal of African Economies, Centre for the Study of African Economies, vol. 17(5), pages 765-793, November.
    26. Paolo Guarda, 2002. "Potential output and the output gap in Luxembourg: some alternative methods," BCL working papers 4, Central Bank of Luxembourg.
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    28. Christian Schumacher, 2001. "Trend and Cycle in the Euro-Area: A Permanent-Transitory Decomposition Using a Cointegrated VAR Model," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 352-363.
    29. João Sousa Andrade & António Portugal Duarte, 2014. "Output-gaps in the PIIGS Economies: An Ingredient of a Greek Tragedy," GEMF Working Papers 2014-06, GEMF, Faculty of Economics, University of Coimbra.
    30. Hjelm, Göran & Jönsson, Kristian, 2010. "In Search of a Method for Measuring the Output Gap of the Swedish Economy," Working Papers 115, National Institute of Economic Research.
    31. José Francisco Bellod Redondo, 2016. "La Ley de Thirlwall y el Output Gap en España," Contribuciones a la Economía, Servicios Académicos Intercontinentales SL, issue 2016-04, october-d.

  20. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February.
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  21. Beaudry, Paul & Guay, Alain, 1996. "What do interest rates reveal about the functioning of real business cycle models?," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1661-1682.

    Cited by:

    1. Leibovici, Fernando & Waugh, Michael E., 2019. "International trade and intertemporal substitution," Journal of International Economics, Elsevier, vol. 117(C), pages 158-174.
    2. Michael Waugh & Fernando Leibovici, 2010. "Cyclical Fluctuations in International Trade Volumes," 2010 Meeting Papers 1095, Society for Economic Dynamics.
    3. Dino Palazzo & Gian Luca Clementi, 2010. "Entry, Exit, Firm Dynamics, and Aggregate Fluctuations," 2010 Meeting Papers 1188, Society for Economic Dynamics.
    4. Neiss, Katharine & Nelson, Edward, 2001. "The Real Interest rate Gap as an Inflation Indicator," CEPR Discussion Papers 2848, C.E.P.R. Discussion Papers.
    5. Jungherr, Joachim & Schott, Immo, 2022. "Slow Debt, Deep Recessions," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 14(1), pages 224-259.
    6. Dupaigne, Martial & Fève, Patrick & Matheron, Julien, 2005. "Technology Shocks and Employment: Do We Really Need DSGE Models with a Fall in Hours?," IDEI Working Papers 349, Institut d'Économie Industrielle (IDEI), Toulouse.
    7. Satyajit Chatterjee & Russell Cooper, 1993. "Entry and Exit, Product Variety and the Business Cycle," NBER Working Papers 4562, National Bureau of Economic Research, Inc.
    8. Francis, Neville & Ramey, Valerie A., 2005. "Is the technology-driven real business cycle hypothesis dead? Shocks and aggregate fluctuations revisited," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1379-1399, November.
    9. Ghent, Andra C., 2009. "Comparing DSGE-VAR forecasting models: How big are the differences?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 864-882, April.
    10. Russell Cooper & Joao Ejarque, 1994. "Financial Intermediation and Aggregate Fluctuations: A Quantative Analysis," NBER Working Papers 4819, National Bureau of Economic Research, Inc.
    11. Christian Calmes & Frederic Dufourt, 2000. "Nominal Dynamics in Expected Market-Clearing Models," Cahiers de recherche CREFE / CREFE Working Papers 126, CREFE, Université du Québec à Montréal.
    12. Miquel Faig, 1999. "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers faig-98-02, University of Toronto, Department of Economics.
    13. Marcelo Bianconi, 1998. "Intertemporal Budget Policies in an Endogenous Growth Model with Nominal Assets," Discussion Papers Series, Department of Economics, Tufts University 9802, Department of Economics, Tufts University.
    14. Collard , F. & Fève, P. & Matheron, J., 2007. "The Dynamic Effects of Disinflation Policies," Working papers 190, Banque de France.
    15. Patrick Fève & Alain Guay, 2009. "The Response of Hours to a Technology Shock: A Two-Step Structural VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 987-1013, August.
    16. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
    17. Lilia Karnizova, 2008. "The Spirit of Capitalism and Expectation Driven Business Cycles," Working Papers 0804E, University of Ottawa, Department of Economics.
    18. Jean‐François Rouillard, 2018. "Financial frictions, interest rate dynamics, and international business cycle synchronization," Review of International Economics, Wiley Blackwell, vol. 26(2), pages 279-301, May.
    19. H. Youn Kim & Junsoo Lee, 2017. "Intertemporal production and intertemporal substitution in output supply and input demand," Applied Economics, Taylor & Francis Journals, vol. 49(38), pages 3797-3814, August.
    20. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
    21. William Blankenau & M. Ayhan Kose & Kei-Mu Yi, 1999. "Can world real interest rates explain business cycles in a small open economy?," Staff Reports 94, Federal Reserve Bank of New York.
    22. Miquel Faig, 1997. "INVESTMENT IRREVERSIBILITY IN GENERAL EQUILIBRIUM: Capital Accumulation, Interest Rates, and the Risk Premium," Working Papers faig-97-01, University of Toronto, Department of Economics.
    23. Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2014. "Understanding the effect of technology shocks in SVARs with long-run restrictions," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 154-172.
    24. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 397-430, February.
    25. Stephane Auray & Fabrice Collard & Patrick Feve, 2005. "Habit Persistence, Money Growth Rule and Real Indeterminacy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(1), pages 48-67, January.
    26. den Haan, Wouter J., 1995. "The term structure of interest rates in real and monetary economies," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 909-940.
    27. Joshua Brault & Hashmat Khan, 2018. "The Shifts in Lead-Lag Properties of the US Business Cycle," Carleton Economic Papers 18-03, Carleton University, Department of Economics, revised 01 Mar 2019.
    28. S. Tolga Tiryaki, 2010. "Interest Rates and Real Business Cycles in Emerging Markets (Yukselen Piyasalarda Faiz Oranlari ve Reel Is Cevrimleri)," Working Papers 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    29. Gian Luca Clementi & Berardino Palazzo, 2019. "Investment and the Cross‐Section of Equity Returns," Journal of Finance, American Finance Association, vol. 74(1), pages 281-321, February.
    30. Russell Cooper & Andrew John, 2000. "Imperfect competition and macroeconomics : Theory and quantitative implications," Cahiers d'Économie Politique, Programme National Persée, vol. 37(1), pages 289-328.
    31. Elmar Mertens, 2005. "Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer," Working Papers 05.05, Swiss National Bank, Study Center Gerzensee.
    32. M. Ayhan Kose & Bill Blankenau & Kei-Mu Yi, 1999. "World Real Interest Rates and Business Cycles in Open Economies: a Multiple Shock Approach," Computing in Economics and Finance 1999 1232, Society for Computational Economics.
    33. Elmar Mertens, 2010. "Structural shocks and the comovements between output and interest rates," Finance and Economics Discussion Series 2010-21, Board of Governors of the Federal Reserve System (U.S.).
    34. Avouyi-Dovi, S. & Matheron, J., 2005. "Technology Shocks and Monetary Policy in an Estimated Sticky Price Model of the Euro Area," Working papers 126, Banque de France.
    35. Giorgio PIZZUTTO, 2008. "Tassi di interesse reali, rischio di lungo periodo e cicli economici," Departmental Working Papers 2008-05, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    36. Kim, Jinill, 2003. "Functional equivalence between intertemporal and multisectoral investment adjustment costs," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 533-549, February.
    37. Jonathan Willis & Russell Cooper, 2015. "Discounting: Investment Sensitivity and Aggregate Implications," 2015 Meeting Papers 607, Society for Economic Dynamics.

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