Search Results - subject:"statistical methods"

Bachem, Milian; Ergun, Lerby M.; Vries, Casper G. de - 2021 - Last updated: September 29, 2021

Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and...

Persistent link: https://www.econbiz.de/10012627934

An econometric analysis of the impact of structural changes on the aggregate output of the United States

Van, Germinal G. - 2021

Structural changes play an essential role in the economic development of a country. They represent the evolution of economic dynamics within the macroeconomy. As we know, the economic sectors of a country do not affect the whole economy equally and their level of output generates economic...

Persistent link: https://www.econbiz.de/10012661216

Evolving temperature dynamics in Canada : preliminary evidence based on 60 years of data

Amano, Robert A.; Gosselin, Marc-André; Mc … - 2021 - Last updated: May 17, 2021

Recent discussions on climate change have led to an interest in its potential impact on economic phenomena and public policy. In this paper, we focus on one aspect of the climate change question by documenting the time-series properties of temperatures across Canada. In particular, we examine...

Persistent link: https://www.econbiz.de/10012522851

A new measure of monetary policy shocks

Zhang, Xu - 2021 - Last updated: June 21, 2021

Combining the high-frequency multidimensional approach of Gürkaynak et al. (2005) with Greenbook measures of the Federal Reserve's information set as in Romer and Romer (2004), I propose a new method of constructing a monetary policy shock that occurs on Federal Reserve announcement days. I...

Persistent link: https://www.econbiz.de/10012546138

Estimating large-dimensional connectedness tables : the great moderation through the lens of sectoral spillovers

Brunner, Felix; Hipp, Ruben - 2021 - Last updated: August 5, 2021

We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is challenging since they are functions of the estimated vector autoregressive coefficients and the residual covariance matrix. In a...

Persistent link: https://www.econbiz.de/10012603217

Forecasting customer churn : comparing the performance of statistical methods on more than just accuracy

Duchemin, Ronan; Matheus, Ricardo - In: Journal of supply chain management science : JSCMS 2 (2021) 3/4, pp. 115-137

There is a consensus that the best way to forecast customer churn is by statistical methods. It is, however, unclear … researchers who are interested in optimizing statistical methods. A systematic literature review revealed six most promising … statistical methods are evaluated on five metrics of performance. The best-worst method (BWM), a multi-criteria decision …

Persistent link: https://www.econbiz.de/10013447660

Cryptoasset ownership and use in Canada: An update for 2022

Balutel, Daniela; Henry, Christopher S.; Rusu, Doina - 2023

This paper provides an update on cryptoasset ownership in Canada using data from two Bank of Canada surveys conducted in 2022. We find that Bitcoin ownership declined from 13% in 2021 to 10% in 2022, and ownership of other cryptoassets also fell. These drops occurred against a background of...

Persistent link: https://www.econbiz.de/10014541720

Johnston, Craig; Vallée, Geneviève; Hosseini, Hossein; … - 2023

We assess the potential financial risks of current and projected flooding caused by extreme weather events in Canada. We focus on the residential real estate secured lending (RESL) portfolios of Canadian financial institutions (FIs) because RESL portfolios are an important component of FIs'...

Persistent link: https://www.econbiz.de/10014541735

The 2021-22 Merchant Acceptance Survey pilot study

Welte, Angelika; Wu, Joy - 2023

In recent years, the rise in digital payment innovations such as contactless cards and Interac e-Transfer has spurred a discussion about the future of cash at the point of sale. The COVID19 pandemic has also contributed to this discussion: While consumers reported that some merchants started to...

Persistent link: https://www.econbiz.de/10014541763

Predicting changes in Canadian housing markets with machine learning

Brannlund, Johan; Lao, Helen; MacIsaac, Maureen; Yang, Jing - 2023

This paper examines whether machine learning (ML) algorithms can outperform a linear model in predicting monthly growth in Canada of both house prices and existing home sales. The aim is to apply two widely used ML techniques (support vector regression and multilayer perceptron) in economic...

Persistent link: https://www.econbiz.de/10014541768