C52 - Model Evaluation, Validation, and Selection

• What Does Downward Nominal-Wage Rigidity Imply for Monetary Policy?

  Staff Working Paper 1997-13 Seamus Hogan

  A recent paper has suggested there might be a trade-off between inflation and unemployment at low inflation rates and this has led some economists to recommend that Canada increase its inflation rate.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Inflation targets, Monetary policy framework, Transmission of monetary policy JEL Code(s): C, C5, C52, E, E2, E24, E5, E50

• A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap

  Staff Working Paper 1997-5 Chantal Dupasquier, Alain Guay, Pierre St-Amant

  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).

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C13, C5, C52, E, E5, E52

• La courbe de Phillips au Canada : un examen de quelques hypothèses

  Staff Working Paper 1997-3 Jean-François Fillion, André Léonard

  This study, which draws on a variety of research on price dynamics in Canada, examines some hypotheses that might explain the poor quality of recent inflation forecasts based on the conventional Phillips curve.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Inflation and prices, Inflation targets JEL Code(s): C, C5, C52, E, E3, E31

• 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): Technical Reports Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E32

• 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, Uncertainty and monetary policy JEL Code(s): C, C5, C52, E, E3, E31

• Wage and Price Dynamics in Canada

  Technical Report No. 56 Barry Cozier

  This paper examines wage and price dynamics in Canada with a view towards testing the implications of a wage-price dynamics, according to which unit labour costs are determined by a wage Phillips curve while prices are set as a markup over unit labour costs. This model is compared to an alternative model in which excess […]

  Content Type(s): Technical Reports Topic(s): Inflation and prices JEL Code(s): C, C5, C51, C52, E, E2, E24, E3, E31

• Responses of Various Econometric Models to Selected Policy Shocks

  Technical Report No. 38 Brian O'Reilly, Graydon Paulin, Philip Smith

  In July, 1982 a seminar was held in Ottawa to compare the responses of nine major econometric models to a previously specified set of shocks to the Canadian economy. At the seminar, which was sponsored by the Bank of Canada and the Department of Finance, participants presented the results of their simulations and discussed the […]

  Content Type(s): Technical Reports Topic(s): Economic models JEL Code(s): C, C5, C52, E, E1, E17