Arbeitspapier
The Canadian business cycle: A comparison of models
This paper examines the ability of linear and nonlinear models to replicate features of real Canadian GDP. We evaluate the models using various business-cycle metrics. From the 9 data generating processes designed, none can completely accommodate every business-cycle metric under consideration. Richness and complexity do not guarantee a close match with Canadian data. Our findings for Canada are consistent with Piger and Morley's (2005) study of the United States data and confirms the contradiction of their results with those reported by Engel, Haugh, and Pagan (2005): nonlinear models do provide an improvement in matching business-cycle features. Lastly, the empirical results suggest that investigating the merits of forecast combination would be worthwhile.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2007-38
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
Business fluctuations and cycles
Econometric and statistical methods
Konjunktur
Ökonometrie
Kanada
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Demers, Frédérick
Macdonald, Ryan
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2007
- DOI
-
doi:10.34989/swp-2007-38
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Demers, Frédérick
- Macdonald, Ryan
- Bank of Canada
Entstanden
- 2007
Ähnliche Objekte (12)
Securitization under Asymmetric Information over the Business Cycle
Consumption, housing collateral, and the Canadian business cycle
A new approach to infer changes in the synchronization of business cycle phases
Comparison of auction formats in Canadian government auctions
Canadian financial stress and macroeconomic conditions
The Carrot and the Stick: The Business Cycle Implications of Incentive Pay in the Labor Search Model
A foreign activity measure for predicting Canadian exports
Assembling a real-financial micro-dataset for Canadian households
An examination of Canadian firms delisting from US exchanges
Amazon effects in Canadian online retail firm-product-level data
How should unemployment insurance vary over the business cycle?
Toward a HANK model for Canada: Estimating a Canadian income process
Securitization under Asymmetric Information over the Business Cycle
Consumption, housing collateral, and the Canadian business cycle
A new approach to infer changes in the synchronization of business cycle phases
Comparison of auction formats in Canadian government auctions
Canadian financial stress and macroeconomic conditions
The Carrot and the Stick: The Business Cycle Implications of Incentive Pay in the Labor Search Model
A foreign activity measure for predicting Canadian exports
Assembling a real-financial micro-dataset for Canadian households
An examination of Canadian firms delisting from US exchanges
Amazon effects in Canadian online retail firm-product-level data
How should unemployment insurance vary over the business cycle?
Toward a HANK model for Canada: Estimating a Canadian income process
Securitization under Asymmetric Information over the Business Cycle
Consumption, housing collateral, and the Canadian business cycle
A new approach to infer changes in the synchronization of business cycle phases
Comparison of auction formats in Canadian government auctions
Canadian financial stress and macroeconomic conditions
The Carrot and the Stick: The Business Cycle Implications of Incentive Pay in the Labor Search Model
A foreign activity measure for predicting Canadian exports
Assembling a real-financial micro-dataset for Canadian households
An examination of Canadian firms delisting from US exchanges
Amazon effects in Canadian online retail firm-product-level data
How should unemployment insurance vary over the business cycle?