In business-cycle research, smoothing data is an essential first step to evaluate the extent to which model-generated moments stand up to their empirical counterparts. We put to test McDermott's (1997) modified version of Hodrick and Prescott's (1997) smoothing filter. On the one hand, our...

This paper implements a cointegrated structural VAR model of the Canadian economy using quarterly data over the period 1964-1994. The dynamic properties of the estimated model are compared to the predictions of a simple textbook macro model. Four long-run equilibrium relationships are tested:...

We extend previous research examining the relation between interest rates and equity returns using a multivariate analysis of covariance model with a dynamic yield curve and conditioned term spread. We find yield pattern changes predict economic equity returns; that the long end-of-yield curve...

This article investigates the impact of petroleum product prices on recent United States' presidential elections by modelling the probability of the incumbent presidential party losing a state (under the United States' electoral college system) it had carried the previous presidential election....

This article examines various state-space and VAR model specifications to investigate the contributions of expected returns and expected dividend growth to movements in the price-dividend ratio. We show that both models involve serious inference problems that need to be dealt with carefully. We...

The debate regarding rising temperatures and CO₂ emissions has attracted the attention of economists employing recent econometric techniques. This article extends the previous literature using a dataset that covers 800 000 years, as well as a shorter dataset, and examines the interaction...

Over the last twenty years the statistical properties of inflation persistence has been the subject of intense investigation and debate without reaching a unanimous conclusion yet. In this article we attempt to shed further light to this debate using a battery of econometric techniques in order...

Annual estimates of productivity are reported for periods over 500 years for eight countries and for five other countries over shorter periods. One- and two-break time series models are used to investigate discontinuities in productivity growth. The results support two-break models of long-run...