In this paper, we discuss some methodologies for estimating potential output and the output
gap that have recently been studied at the Bank of Canada. The assumptions and …

This book contains a up-to-date overview of nonlinear time series models and their
application to modelling economic relationships. It considers nonlinear models in stationary …

Causality in the sense of Granger is typically defined in terms of predictibility of a vector of
variables one period ahead. Recently, Lütkepohl (1993) proposed to define noncausality …

This paper presents a new family of long memory models: the continuous time moving
average fractional process. The continuous time framework allows to reconcile two …

L'analyse des séries temporelles, discipline faisant appel à des mathématiques poussées,
trouve ses applications principales en macroéconomie, en finance, ou en marketing. Cet …

We consider the effect of seasonal adjustment filters in univariate dynamic models. We
concentrate our analysis on the behavior of the least-squares estimator of the sum of the …

In this paper we look for relationships between art and financial markets through
econometric methods. The main results indicate that financial markets influence the art …

lengths, that could not be captured with univariate linear filters. Exam ples of research in
both directions can be found in Sims (1977), Lahiri and Moore (1991), Stock and Watson …

Seasonal adjustment has a long and well-documented tradition; see, for example, Nerlove,
Grether and Carvalho (1979), Zellner (1978), Moore et al (1981), Den Butter and Fase …

The chapter addresses the situation in which an economic variable, for which a time series
of observations is available, can be seen as the combination of several components. Having …