Alain Guay

Publications

• Identification of Technology Shocks in Structural VAR’s (avec P. Fève), Economic Journal, forthcoming.
• The Response of Hours to a Technology Shock: a Two-Step Structural VAR Approach (avec P. Fève), Journal of Money, Credit and Banking, forthcoming.
• Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model (avec F. Bec et É. Guerre), Journal of Econometrics, 142, (2008), 94-133.
• Indirect Inference and Calibration of Dynamic Stochastic General Equilibrium Model (avec R. Dridi et É. Renault), Journal of Econometrics, 136, (2007), 397-430.
• A Data-Driven Nonparametric Specificaton Test for Dynamic Regression Models (avec É. Guerre), Econometric Theory, 22, (2006), 543-586.
• Do Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles (avec P. St-Amant), Annales d’Économie et de Statistiques, 77, (2005), 133-156.
• Les neufs vies de la courbe de Phillips américaine: réincarnations ou résilience (avec Y. Fauvel et A. Paquet), L’Actualité économique, 81, (2005), décembre.
• Testing for Structural Change in the Presence of Auxiliairy Models(avec E. Ghysels), Econometric Theory, 20, (2004), 1168-1202.
• Optimal Predictive Tests, Econometric Reviews, 22, (2003), 379-410.
• Structural Change Tests for Simulated Method of Moments (avec E. Ghysels),Journal of Econometrics, 115, (2003), 91-123.
• Indirect Inference, Nuisance Parameter and Threshold Moving Average Models (avec O. Scaillet), Journal of Business, Economics and Statistics, 21, (2003), 122-132.
• The New Phillips Curve in Canada (avec R. Luger et Z. Zhu), Price Adjustement and Monetary Policy, (2002), Banque du Canada.
• A Survey of Alternative Methodologies for Estimating Potential Output and the Output Gap (avec C. Dupasquier et P. St-Amant), Journal of Macroeconomics, 21, (1999), 577-595.
• Predictive Tests for Structural Change: Analysis with Unknown Breakpoint(avec E. Ghysels et A. Hall), Journal of Econometrics, 82, (1997), 209-233.
• What Do Interest Rates Reveal about the Functioning of Real Business Cycle Models ? (avec P. Beaudry), Journal of Economic Dynamics and Control, 20, (1996), 1661-1682.

• Data-Driven Adaptive Rate-Optimal Nonparametric Testing for the Absence of Serial Correlation (with E. Guerre and S. Lazarova).
• The Information Content of Implied Probabilities to Detect Structural Change (with J.F. Lamarche).
• Using implied probabilities to improve estimation with unconditional moment restrictions (with F. Pelgrin).
• Identification of Technology Shocks in Structural VAR’s (avec P. Fève).
• Labor Market Frictions and Endogenous Business Cycle Propagation (avec S. Ambler et L. Phaneuf).