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The information content of Canadian dollar futures options
Levin, Alexander; MacManus, Des; Watt, David G. - In: Information in financial asset prices : proceedings of …, (pp. 229-275). 1999
Persistent link: https://www.econbiz.de/10001516720
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Estimating one-factor models of short-term interest rates
MacManus, Des; Watt, David G. - 1999
Persistent link: https://www.econbiz.de/10001427562
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Testing interest rate parity and rational expectations for Canada and the United States
Gregory, Allan W. - In: The Canadian journal of economics 20 (1987) 2, pp. 289-305
Persistent link: https://www.econbiz.de/10001043681
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A nonparametric test for autoregressive conditional heteroscedasticity : a Markov-chain approach
Gregory, Allan W. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 107-115
Persistent link: https://www.econbiz.de/10001090231
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Testing nested functional forms of money demand for Canada
Gregory, Allan W. - In: Journal of quantitative economics : official journal of … 1 (1985) 2, pp. 211-230
Persistent link: https://www.econbiz.de/10001056919
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Testing interest rate parity and rational expectations for Canada and the United States
Gregory, Allan W. - 1985
Persistent link: https://www.econbiz.de/10002521805
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Endogenous work hours and practice patterns of Canadian physicians
Ferrall, Christopher - In: The Canadian journal of economics 31 (1998) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10001238802
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Information-theoretic estimation of preference parameters : macroeconomic applications and simulation evidence
Gregory, Allan W.; Lamarche, Jean-François; Smith, … - In: Journal of econometrics 107 (2002) 1/2, pp. 213-233
Persistent link: https://www.econbiz.de/10001651284
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Information-theoretic estimation of preference parameters : macroeconomic applications and simulation evidence
Gregory, Allan W.; Lamarche, Jean-Francois; Smith, Gregor W. - 2001 - First draft February 2000
This paper investigates the behaviour of estimators based on the Kullback-Leibler information criterion (KLIC), as an alternative to the generalized method of moments (GMM). We first study the estimators in a Monte Carlo simulation model of consumption growth with power utility. Then we compare...
Persistent link: https://www.econbiz.de/10009676158