Details about Alain Guay

Access statistics for papers by Alain Guay.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pgu8

Working Papers

2024

1. Dynamic Identification in VARs
   NBER Working Papers, National Bureau of Economic Research, Inc

2020

2. A simple unit root test consistent against any stationary alternative
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
   Also in Working Papers, HAL (2020) View citations (1)
   Working Papers, Center for Research in Economics and Statistics (2020) View citations (1)

2016

3. Sentiments in SVARs
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (1)
   See also Journal Article Sentiments in SVARs, The Economic Journal, Royal Economic Society (2019) View citations (7) (2019)
4. When is Nonfundamentalness in SVARs A Real Problem?
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (6)
   See also Journal Article When is Nonfundamentalness in SVARs a Real Problem?, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2019) View citations (15) (2019)

2015

5. When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (35)

2012

6. Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse
   See also Journal Article Understanding the effect of technology shocks in SVARs with long-run restrictions, Journal of Economic Dynamics and Control, Elsevier (2014) View citations (15) (2014)

2011

7. Structural change tests based on implied probabilities for GEL criteria
   Working Papers, Brock University, Department of Economics
   See also Journal Article STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA, Econometric Theory, Cambridge University Press (2012) (2012)

2010

8. Structural change tests for GEL criteria
   Working Papers, Brock University, Department of Economics View citations (5)
   See also Journal Article Structural change tests for GEL criteria, Econometric Reviews, Taylor & Francis Journals (2018) (2018)

2009

9. Adaptive Rate-Optimal Detection of Small Autocorrelation Coefficients
   Cahiers de recherche, CIRPEE
   Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2009)

2008

10. An Adaptation of the MIDAS Regression Model for Estimating and Forecasting Quarterly GDP: Application to the Case of Guadeloupe
    EcoMod2008, EcoMod
11. The Information Content of Implied Probabilities to Detect Structural Change
    Cahiers de recherche, CIRPEE
    Also in Working Papers, Brock University, Department of Economics (2008)

2007

12. The Response of Hours to a Technology Shock: a Two-Step Structural VAR Approach
    Cahiers de recherche, CIRPEE
    See also Journal Article The Response of Hours to a Technology Shock: A Two-Step Structural VAR Approach, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (12) (2009)
13. Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions
    Cahiers de recherche, CIRPEE View citations (3)

2004

14. The New Keynesian Phillips Curve: An Empirical Assessment
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (14)
    Also in Staff Working Papers, Bank of Canada (2004) View citations (6)
    Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (14)

2003

15. Labor Market Imperfections and the Dynamics of Postwar Business Cycles
    Cahiers de recherche, CIRPEE View citations (13)

2002

16. Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model
    Working Papers, Center for Research in Economics and Statistics View citations (7)
    See also Journal Article Adaptive consistent unit-root tests based on autoregressive threshold model, Journal of Econometrics, Elsevier (2008) View citations (42) (2008)

2001

17. Optimal Predictive Tests and a Simulation Study
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal
18. Testing for Structural Change in the Presence of Auxiliary Models
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal
    Also in CIRANO Working Papers, CIRANO (2001)
    See also Journal Article TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS, Econometric Theory, Cambridge University Press (2004) View citations (3) (2004)

1999

19. Indirect Inference, Nuisance Parameter and Threshold Moving Average
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations (6)
20. Wage Contracts and Labor Adjustment Costs as Endogenous Propagation Mechanisms
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations (25)

1998

21. Structural Change Tests for Simulated Method of Moments
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations (2)
    Also in CIRANO Working Papers, CIRANO (1998) View citations (2)
    Working Papers, Center for Research in Economics and Statistics (1998) View citations (1)
    See also Journal Article Structural change tests for simulated method of moments, Journal of Econometrics, Elsevier (2003) View citations (8) (2003)

1997

22. A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap
    Staff Working Papers, Bank of Canada View citations (49)
23. Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations (48)
    See also Journal Article Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?, Annals of Economics and Statistics, GENES (2005) View citations (35) (2005)

1996

24. Do Mechanical Filters Provide a Good Approximation of Business Cycles?
    Technical Reports, Bank of Canada View citations (50)
    Also in Working Papers-Department of Finance Canada, Department of Finance Canada (1996) View citations (44)

1995

25. Estimating and Projecting Potential Output Using Structural VAR Methodology
    Macroeconomics, University Library of Munich, Germany View citations (19)
26. Predictive Tests for Structural Change with Unknown Breakpoint
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
    Also in CIRANO Working Papers, CIRANO (1995) View citations (5)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (47)
    See also Journal Article Predictive tests for structural change with unknown breakpoint, Journal of Econometrics, Elsevier (1998) View citations (9) (1998)
27. Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions
    Econometrics, University Library of Munich, Germany View citations (25)

Undated

28. Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy
    Staff Working Papers, Bank of Canada View citations (17)

Journal Articles

2021

1. Identification of structural vector autoregressions through higher unconditional moments
   Journal of Econometrics, 2021, 225, (1), 27-46 View citations (23)

2019

2. Sentiments in SVARs
   The Economic Journal, 2019, 129, (618), 877-896 View citations (7)
   See also Working Paper Sentiments in SVARs, TSE Working Papers (2016) View citations (1) (2016)
3. When is Nonfundamentalness in SVARs a Real Problem?
   Review of Economic Dynamics, 2019, 34, 221-243 View citations (15)
   See also Working Paper When is Nonfundamentalness in SVARs A Real Problem?, TSE Working Papers (2016) View citations (6) (2016)
   Software Item Code and data files for "When is Nonfundamentalness in SVARs a Real Problem?", Computer Codes (2019) (2019)

2018

4. Structural change tests for GEL criteria
   Econometric Reviews, 2018, 37, (9), 1000-1032
   See also Working Paper Structural change tests for GEL criteria, Working Papers (2010) View citations (5) (2010)

2016

5. Anticipations, bruits et sentiments
   L'Actualité Economique, 2016, 92, (4), 621-648
6. Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data
   Econometric Reviews, 2016, 35, (3), 344-372

2015

7. Disaggregation methods based on MIDAS regression
   Economic Modelling, 2015, 50, (C), 123-129 View citations (5)

2014

8. Understanding the effect of technology shocks in SVARs with long-run restrictions
   Journal of Economic Dynamics and Control, 2014, 41, (C), 154-172 View citations (15)
   See also Working Paper Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions, IDEI Working Papers (2012) (2012)

2013

9. Robust adaptive rate-optimal testing for the white noise hypothesis
   Journal of Econometrics, 2013, 176, (2), 134-145 View citations (2)

2012

10. Endogenous business cycle propagation and the persistence problem: The role of labor-market frictions
    Journal of Economic Dynamics and Control, 2012, 36, (1), 47-62 View citations (10)
11. STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA
    Econometric Theory, 2012, 28, (6), 1186-1228
    See also Working Paper Structural change tests based on implied probabilities for GEL criteria, Working Papers (2011) (2011)

2010

12. Identification of Technology Shocks in Structural Vars
    Economic Journal, 2010, 120, (549), 1284-1318 View citations (11)

2009

13. The Response of Hours to a Technology Shock: A Two-Step Structural VAR Approach
    Journal of Money, Credit and Banking, 2009, 41, (5), 987-1013 View citations (12)
    Also in Journal of Money, Credit and Banking, 2009, 41, (5), 987-1013 (2009) View citations (2)
    See also Working Paper The Response of Hours to a Technology Shock: a Two-Step Structural VAR Approach, Cahiers de recherche (2007) (2007)

2008

14. Adaptive consistent unit-root tests based on autoregressive threshold model
    Journal of Econometrics, 2008, 142, (1), 94-133 View citations (42)
    See also Working Paper Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model, Working Papers (2002) View citations (7) (2002)

2007

15. Indirect inference and calibration of dynamic stochastic general equilibrium models
    Journal of Econometrics, 2007, 136, (2), 397-430 View citations (103)

2006

16. A DATA-DRIVEN NONPARAMETRIC SPECIFICATION TEST FOR DYNAMIC REGRESSION MODELS
    Econometric Theory, 2006, 22, (4), 543-586 View citations (11)

2005

17. Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?
    Annals of Economics and Statistics, 2005, (77), 133-155 View citations (35)
    See also Working Paper Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?, Cahiers de recherche CREFE / CREFE Working Papers (1997) View citations (48) (1997)
18. Les neuf vies de la courbe de Phillips américaine: réincarnations ou résilience ?*
    L'Actualité Economique, 2005, 81, (4), 665-691

2004

19. TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
    Econometric Theory, 2004, 20, (6), 1168-1202 View citations (3)
    See also Working Paper Testing for Structural Change in the Presence of Auxiliary Models, Cahiers de recherche CREFE / CREFE Working Papers (2001) (2001)

2003

20. Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 122-32 View citations (10)
21. Optimal Predictive Tests
    Econometric Reviews, 2003, 22, (4), 379-410 View citations (2)
22. Structural change tests for simulated method of moments
    Journal of Econometrics, 2003, 115, (1), 91-123 View citations (8)
    See also Working Paper Structural Change Tests for Simulated Method of Moments, Cahiers de recherche CREFE / CREFE Working Papers (1998) View citations (2) (1998)

1999

23. A Survey of Alternative Methodologies for Estimating Potential Output and the Output Gap
    Journal of Macroeconomics, 1999, 21, (3), 577-595 View citations (39)

1998

24. Predictive tests for structural change with unknown breakpoint
    Journal of Econometrics, 1998, 82, (2), 209-233 View citations (9)
    See also Working Paper Predictive Tests for Structural Change with Unknown Breakpoint, Cahiers de recherche (1995) View citations (4) (1995)

1996

25. What do interest rates reveal about the functioning of real business cycle models?
    Journal of Economic Dynamics and Control, 1996, 20, (9-10), 1661-1682 View citations (43)

Software Items

2019

1. Code and data files for "When is Nonfundamentalness in SVARs a Real Problem?"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article When is Nonfundamentalness in SVARs a Real Problem?, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2019) View citations (15) (2019)