C52 - Model Evaluation, Validation, and Selection - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:44:28+00:00A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap
https://www.bankofcanada.ca/1997/02/working-paper-1997-5/
In this paper, the authors survey some of the recent techniques proposed in the literature to measure the trend component of output or potential output. Given the reported shortcomings of mechanical filters and univariate approaches to estimate potential output, the paper focusses on three simple multivariate methodologies: the multivariate Beveridge-Nelson methodology (MBN), Cochrane's methodology (CO), and the structural VAR methodology with long-run restrictions applied to output (LRRO).1997-02-02T12:51:55+00:00enA Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap1997-02-02Econometric and statistical methodsWorking Paper 1997-5 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-5.pdfA Comparison of Alternative Methodologies for Estimating Potential Output and the Output GapChantal DupasquierAlain GuayPierre St-AmantFebruary 1997CC1C13C5C52EE5E52