Allan Gregory
Professor
Department of EconomicsQueen's University
Kingston ON K7L 3N6 Telephone: (613) 533-2299
Education
Honours B.A. Economics, University of Toronto, Toronto, ON, May 1977
M.A. Economics, Queen's University, Kingston, ON, July 1978
Ph.D. Economics, Queen's University, Kingston, ON, October, 1981
Recent Papers (in pdf format)
Canadian City Housing Prices and Urban Market Segmentation (with Jason Allen, Bob Amano and David P. Byrne), Bank of Canada Working Paper, No. 2006-49, January 2007 (Statistical Appendix)
Mixed
Signals Among Tests for Cointegration
(with Alfred Haug and Nicoletta Lumuto),
Journal of Applied Econometrics
Estimation and Inference
in ARCH Models in the Presence of
Outliers (with Jonathan Reeves), December 2001.
Information-Theoretic Estimation of Preference
Parameters: Macroeconomic Applications and Simulation Evidence
(with Jean-Francois Lamarche and Gregor Smith), Journal of Econometrics,
107, 2002,213-233.
Testing
for Consensus (with Gregor Smith and James Yetman), Journal
of Business and Economic Statistics 9, 2000, 34-50
Testing
for Cointegration in Models with Regime and Trend Shifts (with Bruce E.
Hansen), Oxford Bulletin of Economics and Statistics, 58,
1996,555-560.
Testing
for Structural Breaks in Cointegrated Relationships (with James M. Nason and
David Watt), Journal of Econometrics, 711, 1996, 321-342.
Book
Review (with I. Morgan) of Time Series Models, in Econometrics, Finance
and other Fields, editors: D.R. Cox, D.V. Hinkley, and O.E.
Barndorff-Neilsen in Short Book Reviews, 16, 1996, 28-29.
Residual-Based
Tests for Cointegration in Models with Regime Shifts (with Bruce Hansen), Journal
of Econometrics, 70, 1996, 99-126.
Statistical
Aspects of Calibration in Macroeconomics (with Gregor W. Smith), Handbook
of Statistics Volume 11 (editors G.S. Maddala, C.R. Rao and H.D.
Vinod), North Holland, 1993, 703-719.
Estimating
Linear Quadratic Models with Integrated Processes (with Adrian Pagan and Gregor
W. Smith), Models, Methods and Applications: Essays in Honour of R.A.
Bergstrom, edited by P.C.B. Phillips, Basil Blackwell Publishers,
1993, 220-239.
The
Effect of Sampling Error on the Time Series Behaviour of Consumption Data: A
Comment (with with Tony Wirjanto), Journal of Econometrics,
55, 1992, 267-273.
Sampling
Variability in Hansen-Jagannathan Bounds (with Gregor W. Smith), Economics
Letters, 38, 1992, 263-267.
Calibration
as Testing: Inference in Simulated Macroeconomic Models (with Gregor W. Smith),
Journal of Business and Economic Statistics, 9, 1991, 297-303.
Testing
Long-Run Properties of Stationary Time Series (with Michael Sampson) Journal
of Business and Economic Statistics, 1991, 9, 287-295.
Calibration
as Estimation (with Gregor W. Smith), Econometric Reviews, 9,
1990, 57-89.
A
Nonparametric Test for Autoregressive Conditional Heteroskedasticity (ARCH): A
Markov Chain Approach, Journal of Business and Economic Statistics,
7, 1989 107-115.
Markov
Chain Tests of the Unbiasedness Hypothesis in the Forward Foreign Exchange
Market (with Michael J. Sampson), Journal of Quantitative Economics,
1989, 143-154.
Formulation
Wald Tests of the Restrictions Implied by the Rational Expectations Hypothesis
(with Michael R. Veall), Journal of Applied Econometrics, 2,
1987, 61-68.
Wald
Tests of Common Factor Restrictions (with Michael R. Veall), Economics
Letters, 22, 1986, 203-208.
Testing
Nested Functional Forms of Money Demand for Canada, Journal of
Quantitative Economics, 1985, 211-230.
Formulating
Wald Tests of Nonlinear Restriction (with Michael R. Veall), Econometrica,
53, 1985, 1465-1468.
A
Lagrange Multiplier Test of the Restrictions for a Simple Rational Expectations
Model (with Michael R. Veall), Canadian Journal of Economics,
18, 1985, 85-94.
An
Invariance Property of Generalized Classical Linear Estimators (with Gordon R.
Fisher), Economics Letters, 7, 1981, 151-157.
Sources
of Variation in International Real Interest Rates (with David Watt), for
special issue "Essays in International Economics in Honour of Douglas D.
Purvis", Canadian Journal of Economics, 28, 1995,
S120-40.
Accounting
for Forward Rates in Markets for Foreign Currency (with David K. Backus and
Chris I. Telmer), Journal of Finance, 48, 1993, 1887-1908.
Theoretical
Relations Between Risk Premiums and Conditional Variances (with David K.
Backus), Journal of Business and Economic Statistics, 11,
1993, 177-185.
Synthesis
of Money-Demand and Indicator Models, (with Gregor W. Smith and Tony Wirjanto),
Monetary Seminar 90, Bank of Canada, edited by D. Longworth,
1992, 465-506.
Realistic
Cross-Country Consumption Correlations in a Two Country General Equilibrium
Business Cycle Model (with Mick Devereux and Gregor W. Smith), Journal
of International Money and Finance, 11, 1992, 3-16.
The
Term Structure of Interest Rates: Departures from Time-Separable Expected
Utility (with Graham M. Voss), Canadian Journal of Economics,
24, 1991, 923-939.
Risk
Premiums in the Term Structure: Evidence from Artificial Economies (with David
K. Backus and Stanley E. Zin), Journal of Monetary Economics,
24, 1989, 371-399.
Risk
Premiums in Asset Prices and Returns (with David K. Backus), comment in Economic
Reviews, 8, 1989, 187-195.
Testing
Interest Rate Parity and Rational Expectations for Canada and the United
States, Canadian Journal of Economics 2, 1987, 289-305.
Testing
the Independence of Forecast Errors in the Forward Foreign Exchange Market
Using Markov Chains: A Cross-Country Comparison (with Michael Sampson), International
Journal of Forecasting, 3, 1987, 97-113.
The
Unbiasedness Hypothesis in the Forward Exchange Market: A Specification
Analysis with Application to France, Italy, Japan, the United Kingdom and West
Germany (with Thomas H. McCurdy), European Economic Review,
30, 1986, 365-381.
Testing
the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A
Specification Analysis (with Thomas H. McCurdy), Journal of
International Money and Finance, 3, 1984, 357-368.
A
Systems Approach to Simultaneity and the Demand for Money in Canada, Southern
Economic Journal, 51, 1984, 401-418.
Testing
Non-Nested Specifications of Money Demand for Canada (with Michael McAleer), Canadian
Journal of Economics, 16, 1983, 593-602.
Simultaneity
and the Demand for Money in Canada: Comments and Extensions (with Michael
McAleer), Canadian Journal of Economics, 14, 1981, 470-478.
Where's
My Cheque? A Note of Postal Strikes and the Demand for Money in Canada (with
James G. MacKinnon), Canadian Journal of Economics, 13, 1980,
683-687.
Common
and Country-Specific Fluctuations in Productivity, Investment and the Current
Account (with Allen Head), Journal of Monetary Economics,
44(3), 1999, 423-451. Measuring
World Business Cycles (with Allen Head and Jacques Raynauld), International
Economic Review, 38, 1997, 677-701. Measuring
Business Cycles with Business-Cycles Models, (with Gregor Smith), Journal
of Economics Dynamics and Control, 20, 1996, 1007-1025. Business-Cycle
Theory and Econometrics (with Gregor W. Smith), Economic Journal,
105, 1995, 1597-1608. Introduction
to Essays in International Economics in Honour of Douglas D. Purvis (with Mick
Devereux, coeditor), Canadian Journal of Economics, 28, 1995,
Sii-xi. Testing
for Cointegration in Linear Quadratic Models, Journal of Business and
Economic Statistics, 12, 1994, 347-360. Summary
of Discussion of Endogenous Growth Theory: Taming the Winds of Change, or
Tweaking Neoclassical Economics? Stabilization, Growth and Distributions:
Linkages in the Knowledge Era, The Bell Papers on Economic and Public
Policy, edited by Thomas Courchene, John Deutsch Institute for the
Study of Economic Policy, 1994, 169-171. An
Econometric Model of Canadian Monetary Policy Over the 1970's (with Jacques
Raynauld), Journal of Money, Credit and Banking, February,
1985, 43-58.
Needs-Based Capitation Funding Models (with
Kelly Bedard, John Dorland, and Joanne Roberts), Canadian Journal of Economics, 33, 2000, 981-1008. Practice
Setting and Labour Supply of Physicians in Canada, (with Chris Ferrall and
William Tholl) Canadian Journal of Economics, 31, 1998, 1-27.
Standardized
Mortality Ratios in Capitation Funding Models: Empirical Issues from Canadian
Data, (with Kelly Bedard, John Dorland and Mark Rosenberg) Canadian
Public Policy, 25 (1), 1999, 47-64. Runner up for the John Vanderkamp
prize for best paper in Canadian Public Policy (1999).
Estimation
and Inference in the Presence of Outliers (with Jonathan Reeves), December
2001.
Testing Evolution to
Consensus, James Yetman, invited for revision Journal of International
Forecasting, October 2002.
Interpreting Value at Risk
Calculations (Todd Mattina and Jonathan Reeves), March 2002 The Stata Journal (2002) Professor, Department of Economics,
Queen's University (July 1993 - present).
Associate
Head,
Department of Economics, Queen's University (July 1991 -
2001).
Associate
Professor,
Department of Economics, Queen's University (July 1988 -
June 1993).
Visiting
Associate Professor, Department of Economics, University of British Columbia (January 1991
- May 1991).
Visiting
Associate Professor, Department of Agricultural Economics, University of California Berkeley
(August 1990 - December 1990).
Assistant
Professor,
Department of Economics, University of Western Ontario (1981 - 1988).
Visiting
Assistant Professor, Department of Economics, Queen's University (July
1985 - June 1987).
Visiting
Fellow,
Department of Economics, Queen's University (July 1982 -
September 1983).
Visiting Fellow, Department of Statistics, The
Australian National University, (January 1983 - March 1983).
Information-Theoretic
Estimation in Economics(SSHRCC:
$61,180)
Social
Capital and Community Health Status
(SSHRCC: $93,950)
Monitoring
Elective Waiting Times in Ontario
(MOHLTC: $37,525) Markov
Chain Tests of Long-Run Relationships (SSHRCC: $31,439) Distribution
Free Tests of Dependent Processes (ARC: $3,575) Numerical
Models of the International Macroeconomy (SSHRCC: $93,300) Coincident
and Leading Economic Indicator Models (SSHRCC: $36,854) Standardized
Mortality Ratios in Canada (ARC: $3,279) Dynamic
Factor Models in Economics (SSHRCC: $48,000) Standardized
Mortality Ratios in Canada (NHRDP: $53, 095) Consensus
Forecasting (SSHRCC: $39,000) Reeves,
Jonathan (University of New South Wales) -2002
Lamarche,
Jean-Francois (Brock University), Asymptotic and Bootstrap Evaluations of
the Size and Power of Test Statistics, 2002.
Chan,
Irene (Canadian Power and Electric), Three Essays on the Transmission Mechanism
of Monetary Policy, 1999.
Yetman, James (University of Hong Kong), Three Essays
on Forecasting, 1999.
Tambanis,
Denise (Charles River), The Timing of Equity Issues, 1999.
Otto,
Glenn (University of New South Wales), Empirical Essays in Time Series Macroeconomics,
1993.
Voss,
Graham (University of Victoria), Monetary Integration and the Role of Money
Finance, 1993.
Telmer, Christopher I. (Carnegie Mellon University), Intertemporal Asset
Pricing Theory and Incomplete Markets, 1992.
Spencer,
Michael (International Monetary Fund), Exchange Rates and Expectations
in the European Monetary System, 1992.
Nathan, Alli (University of Calgary) Cost Efficiency and Competitiveness
of
Canadian Banks and Trust Companies, 1991.
Sadorsky,
Perry (York University) Three Essays
on the Exploration for Non-Renewable Resources, 1990.
Maynes,
Elizabeth (York University), An
Analysis of Restricted Shares in Canada, 1970-1984, 1989. Power, Simon (Carleton University) Single-Equation Errors-in-Variable
Estimation of R.E. Models, 1985.
Francis
Vitek (M.A,) in progress
Courtney
Ward (M.A.) in progress
Lee, Mary Ellen (M.A.), Inflation
Uncertainty and its Effects on Inflation and Output Growth:A Study of the G7 Countries, 2000.
Allen, Jason (M.A.) Generalized Method of Moments and Testing
Overidentification
Lumoto, Nicolette (M.A.) Conflict Among Tests for
Cointegration in Applied Econometrics, 1999.
Arcand,
Alan (M.A.) Obtaining a Meaningful and Stationary Trade Balance, 1999.
Kennedy,
Suzanne (M.A.) Time Series
Implications of Intertemporal Optimizing Models of the Current Account and the
Solow Residual in the G7 Countries, 1997.
Rosenbloom,
Samuel (M.A.) Alternative Methods of Hedging Interest Rate Risk with ME BAX
Futures, 1997.
Heinrichs,
Kari (M.A.) Price Level and Purchasing Power Parity Across Nine Major Urban
Centres in Canada, 1996.
Benning,
Darrin (M.A.) Maximum Likelihood Estimation
of the Cointegrating Vectorand Common
Factors in Exchange Rate Systems, 1996.
Chausse, Pierre (M.A.) Measuring Core-Inflation Using
the Kalman Filter, 1995.
Southam,
Brian (M.A.) The Long Term
Relationships between Nominal Interest Rates, 1995.
Misina,
Miroslav (M.A.) Regime Shifts as an
Explanation of the Forward Premium Anomaly, 1995.
Van
de Sande, Jill (M.A.) The Current Account and World Business Cycles, 1995.
Rogers,
Keith (M.A.) Structural Change Consistent Residual-Based Tests for Cointegration,
1994
Maheu,
John (M.A.), Endogenous Regressors and Error Correction Tests for
Cointegration, 1994.
Chan,
Irene (M.A), The Transmission Mechanism of Monetary Policy: Liquidity Effect vs Anticipated Inflation
Effect, 1993.
Alexander-Cook,
K. (M.A.), Evaluating Hospital Performance Index Based Funding: An
Economic Analysis of a New Health Policy in Alberta., 1993.
Refereed Publications
Econometric
Theory
Finance
and International Finance
Macroeconomics
Health
Papers under Revision and Work in
Progress
Conflicts Among Tests for Cointegration (with
Alfred Haug and Nicoletta Lumuto),
invited for resubmission to the Journal of Applied Econometrics,
October 2002.
Administration and Professional Responsibilities
Associate Head (1992-2001)
Acting Head
Acting Graduate Chairman
Chair of Appointments Committee
Graduate Students Placement Officer
Chair of Department Research Cost Recovery Committee
Director of the Quantitative Workshop
Member of the Graduate Student Council
Director of the Summer Research Institute
Member of the Departmental Computing Committee
Member of the Graduate Student Committee
Assistant Undergraduate Director (University of Western Ontario)
Publications Chair of the Business and Economic Statistics Section of the
American Statistical Association
Editorial Boards
Journal of Business and Economic Statistics (1992-2000
Associate Editor)
Journal of Applied Econometrics
Canadian Journal of Economics 1990-1994
Appointments and University Positions
Research Grants
Supervision
Ph.D. Graduates (Current University)
M.A. Graduates (since 1993)
