C3 - Multiple or Simultaneous Equation Models; Multiple Variables - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:25:46+00:00Tracking Canadian Trend Productivity: A Dynamic Factor Model with Markov Switching
https://www.bankofcanada.ca/2007/11/discussion-paper-2007-12/
The author attempts to track Canadian labour productivity over the past four decades using a multivariate dynamic factor model that, in addition to the labour productivity series, includes aggregate compensation and consumption information. Productivity is assumed to switch between two regimes (the high-growth state and the low-growth state) with different trend growth rates according to […]2007-11-21T11:15:47+00:00enTracking Canadian Trend Productivity: A Dynamic Factor Model with Markov Switching2007-11-21ProductivityDiscussion Paper 2007-12https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp07-12.pdfTracking Canadian Trend Productivity: A Dynamic Factor Model with Markov SwitchingMichael DolegaNovember 2007CC3C32OO4O5O51