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An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
(Université de Montréal. Département de sciences économiques., 1996)
Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals ...
A Semi-Parametric Factor Model for Interest Rates
(Université de Montréal. Département de sciences économiques., 1996)
Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public ...
A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
(Université de Montréal. Département de sciences économiques., 1996)
This paper proposes a systematic framework for analyzing the dynamic effects of permanent and transitory shocks on a system of n economic variables.
Parametric and Nonparametric Approaches to Price and Tax Reform
(Université de Montréal. Département de sciences économiques., 1996)
In the analysis of tax reform, when equity is traded off against efficiency, the measurement of the latter requires us to know how tax-induced price changes affect quantities supplied and demanded. in this paper, we present ...
A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
(Université de Montréal. Département de sciences économiques., 1996)
This paper proposes a systematic framework for analyzing the dynamic effects of permanent and transitory shocks on a system of \"n\" economic variables.