C5 - Econometric Modeling

• Do Mechanical Filters Provide a Good Approximation of Business Cycles?

  Technical Report No. 78 Alain Guay, Pierre St-Amant

  In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E32

• The Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filter

  Technical Report No. 77 Leo Butler

  The level of potential output plays a central role in the Bank of Canada's new Quarterly Projection Model (QPM). This report, the fourth in a series documenting QPM, describes a general method to measure potential output, as well as its implementation in the QPM system.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C51, E, E2, E23

• Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?

  Staff Working Paper 1996-11 Simon van Norden, Robert Vigfusson

  Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52

• Does Inflation Uncertainty Vary with the Level of Inflation?

  Staff Working Paper 1996-9 Allan Crawford, Marcel Kasumovich

  The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Monetary policy and uncertainty JEL Code(s): C, C5, C52, E, E3, E31

• The Bank of Canada's New Quarterly Projection Model, Part 3. The Dynamic Model: QPM

  Technical Report No. 75 Donald Coletti, Benjamin Hunt, David Rose, Robert Tetlow

  The Bank of Canada's new Quarterly Projection Model, QPM, combines the short-term dynamic properties necessary to support regular economic projections with the consistent behavioural structure necessary for policy analysis.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C53, E, E1, E17