Abstract This paper pursues two objectives. First, we determine the sufficient condition for loca... more Abstract This paper pursues two objectives. First, we determine the sufficient condition for local, statistical identification of SVAR processes through the third and fourth unconditional moments of the reduced-form innovations. Our findings provide novel insights when the entire system is not identified, as they highlight which subset of structural parameters is identified and which is not. Second, we elaborate a tractable testing procedure to verify whether the identification condition holds, prior to the estimation of the structural parameters of the SVAR process. To do so, we design a new bootstrap procedure that improves the small-sample properties of rank tests for the symmetry and kurtosis of the structural shocks.
A new test is proposed for the null of absence of serial correlation. The test uses a data-driven... more A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of alternatives. The test can detect alternatives with many small correlation coefficients that can go to zero with an optimal adaptive rate which is faster than the parametric rate. The adaptive rate-optimality against smooth alternatives of the new test is established as well. The test can also detect ARMA and local Pitman alternatives converging to the null with a rate close or equal to the parametric one. A simulation experiment and an application to monthly financial square returns illustrate the usefulness of the proposed approach
This paper proposes t-like unit root tests which are consistent against any stationary alternativ... more This paper proposes t-like unit root tests which are consistent against any stationary alternatives, nonlinear or noncausal ones included. It departs from existing tests in that it uses an unbounded grid set including all possible values taken by the series. In our setup, thanks to the very simple nonlinear stationary alternative specification and the particular choice of the thresholds set, the proposed unit root test contains the standard ADF test as a special case. This, in turn, yields a sufficient condition for consistency against any ergodic stationary alternative. From a Monte-Carlo study, it turns out that the power of our unbounded non adaptive tests, in their average and exponential versions, outperforms existing bounded tests, either adaptive or not. This is illustrated by an application to interest rate spread data.
A recent class of dynamic stochastic general-equilibrium model integr Keynesian features, such as... more A recent class of dynamic stochastic general-equilibrium model integr Keynesian features, such as imperfect competition and nominal rigidi resulting in a new view of the nature of inflation dynamics. These mod are grounded in an optimizing framework where imperfectly competit firms are constrained by costly price adjustments. Within this framewo the process of inflation is described by the so-called New Keynesian Phi curve (NKPC), which has two distinguishing features. First, the inflat process has a forward-looking component and second, it is related to marginal costs. These features are a consequence of the fact that in framework firms set prices in anticipation of future demand and factor co Compared with traditional reduced-form Phillips curves, which are sub to the Lucas critique, the NKPC is a structural model with parameters are unlikely to vary as the policy regime changes. This aspect is importa a country such as Canada, because parameter instability in reduced models is a likely possibility since the adoption of an explicit inflatio targeting regime. Furthermore, the NKPC specification has dramatic im cations for the conduct of monetary policy in that a fully credible cent bank can bring about disinflation at no recessionary cost if inflation i purely forward-looking phenomenon. A crucial issue is therefore whet the NKPC is empirically relevant. The New Phillips Curve in Canada
Cahiers De Recherche Crefe Crefe Working Papers, 2001
This paper shows that predictive tests for structural change with unknown breakpoint are optimal ... more This paper shows that predictive tests for structural change with unknown breakpoint are optimal tests such as defined by Sowell (1996a, 1996b). Optimal predictive tests for parameter instability and overidentifying restrictions stability are proposed. An optimal predictive test for parameter instability of a subset of moment conditions with unknown breakpoint is also introduced. The finite sample properties of LM, Wald, LR-type and predictive tests for parameters instability are studied via a simulation study. Dans cet article, nous montrons que les tests de type predictif pour detecter des changements structurels sont des tests optimaux selon la definition de Sowell (1996a, 1996b). Des tests predictifs optimaux sont proposes pour detecter l'instabilite des parametres et des conditions de suridentification. Un test optimal de stabilite d'un sous-emsemble des conditions de moments est egalement introduit. Une etude de Monte-Carlo compare le comportement en petit echantillon des tests Wald LR, LM et predictif.
... Centre-ville, Montr eal, Qc, H3C 3P8, t el ephone 514 987-3000 poste 8364, courrier electroni... more ... Centre-ville, Montr eal, Qc, H3C 3P8, t el ephone 514 987-3000 poste 8364, courrier electronique phaneuf.louis@uqam.ca ... 1993; Cho and Cooley, 1995; B enassy, 1995; Cho, Cooley and Phaneuf, 1997; Bils and Chang, 1998 . ...
In this paper, we survey some techniques proposed in the literature to measure potential output. ... more In this paper, we survey some techniques proposed in the literature to measure potential output. Given the reported shortcomings of univariate approaches and mechanical filters, we focus on three simple multivariate methodologies: the multivariate Beveridge-Nelson ...
Abstract This paper pursues two objectives. First, we determine the sufficient condition for loca... more Abstract This paper pursues two objectives. First, we determine the sufficient condition for local, statistical identification of SVAR processes through the third and fourth unconditional moments of the reduced-form innovations. Our findings provide novel insights when the entire system is not identified, as they highlight which subset of structural parameters is identified and which is not. Second, we elaborate a tractable testing procedure to verify whether the identification condition holds, prior to the estimation of the structural parameters of the SVAR process. To do so, we design a new bootstrap procedure that improves the small-sample properties of rank tests for the symmetry and kurtosis of the structural shocks.
A new test is proposed for the null of absence of serial correlation. The test uses a data-driven... more A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of alternatives. The test can detect alternatives with many small correlation coefficients that can go to zero with an optimal adaptive rate which is faster than the parametric rate. The adaptive rate-optimality against smooth alternatives of the new test is established as well. The test can also detect ARMA and local Pitman alternatives converging to the null with a rate close or equal to the parametric one. A simulation experiment and an application to monthly financial square returns illustrate the usefulness of the proposed approach
This paper proposes t-like unit root tests which are consistent against any stationary alternativ... more This paper proposes t-like unit root tests which are consistent against any stationary alternatives, nonlinear or noncausal ones included. It departs from existing tests in that it uses an unbounded grid set including all possible values taken by the series. In our setup, thanks to the very simple nonlinear stationary alternative specification and the particular choice of the thresholds set, the proposed unit root test contains the standard ADF test as a special case. This, in turn, yields a sufficient condition for consistency against any ergodic stationary alternative. From a Monte-Carlo study, it turns out that the power of our unbounded non adaptive tests, in their average and exponential versions, outperforms existing bounded tests, either adaptive or not. This is illustrated by an application to interest rate spread data.
A recent class of dynamic stochastic general-equilibrium model integr Keynesian features, such as... more A recent class of dynamic stochastic general-equilibrium model integr Keynesian features, such as imperfect competition and nominal rigidi resulting in a new view of the nature of inflation dynamics. These mod are grounded in an optimizing framework where imperfectly competit firms are constrained by costly price adjustments. Within this framewo the process of inflation is described by the so-called New Keynesian Phi curve (NKPC), which has two distinguishing features. First, the inflat process has a forward-looking component and second, it is related to marginal costs. These features are a consequence of the fact that in framework firms set prices in anticipation of future demand and factor co Compared with traditional reduced-form Phillips curves, which are sub to the Lucas critique, the NKPC is a structural model with parameters are unlikely to vary as the policy regime changes. This aspect is importa a country such as Canada, because parameter instability in reduced models is a likely possibility since the adoption of an explicit inflatio targeting regime. Furthermore, the NKPC specification has dramatic im cations for the conduct of monetary policy in that a fully credible cent bank can bring about disinflation at no recessionary cost if inflation i purely forward-looking phenomenon. A crucial issue is therefore whet the NKPC is empirically relevant. The New Phillips Curve in Canada
Cahiers De Recherche Crefe Crefe Working Papers, 2001
This paper shows that predictive tests for structural change with unknown breakpoint are optimal ... more This paper shows that predictive tests for structural change with unknown breakpoint are optimal tests such as defined by Sowell (1996a, 1996b). Optimal predictive tests for parameter instability and overidentifying restrictions stability are proposed. An optimal predictive test for parameter instability of a subset of moment conditions with unknown breakpoint is also introduced. The finite sample properties of LM, Wald, LR-type and predictive tests for parameters instability are studied via a simulation study. Dans cet article, nous montrons que les tests de type predictif pour detecter des changements structurels sont des tests optimaux selon la definition de Sowell (1996a, 1996b). Des tests predictifs optimaux sont proposes pour detecter l'instabilite des parametres et des conditions de suridentification. Un test optimal de stabilite d'un sous-emsemble des conditions de moments est egalement introduit. Une etude de Monte-Carlo compare le comportement en petit echantillon des tests Wald LR, LM et predictif.
... Centre-ville, Montr eal, Qc, H3C 3P8, t el ephone 514 987-3000 poste 8364, courrier electroni... more ... Centre-ville, Montr eal, Qc, H3C 3P8, t el ephone 514 987-3000 poste 8364, courrier electronique phaneuf.louis@uqam.ca ... 1993; Cho and Cooley, 1995; B enassy, 1995; Cho, Cooley and Phaneuf, 1997; Bils and Chang, 1998 . ...
In this paper, we survey some techniques proposed in the literature to measure potential output. ... more In this paper, we survey some techniques proposed in the literature to measure potential output. Given the reported shortcomings of univariate approaches and mechanical filters, we focus on three simple multivariate methodologies: the multivariate Beveridge-Nelson ...
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