The Canadian business cycle: A comparison of models

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Working Paper ; No. 2007-38

Classification and Topics

• Classification: 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
• Subject: Business fluctuations and cycles ; Econometric and statistical methods ; Konjunktur ; Ökonometrie ; Kanada

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Demers, Frédérick ; Macdonald, Ryan
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2007

Further information

• DOI: doi:10.34989/swp-2007-38
• Handle: http://hdl.handle.net/10419/53887
• Last update: 10.03.2025, 11:44 AM CET