C53 - Forecasting and Prediction Methods; Simulation Methods

• Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion

  Staff Working Paper 2006-14 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, Sebastien McMahon

  Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E37

• MUSE: The Bank of Canada's New Projection Model of the U.S. Economy

  Technical Report No. 96 Marc-André Gosselin, René Lalonde

  The analysis and forecasting of developments in the U.S. economy have always played a critical role in the formulation of Canadian economic and financial policy. Thus, the Bank places considerable importance on generating internal forecasts of U.S. economic activity as an input to the Canadian projection.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E2, E27, E3, E37, F, F1, F17

• Forecasting Canadian GDP: Region-Specific versus Countrywide Information

  Staff Working Paper 2005-31 Frédérick Demers, David Dupuis

  The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E1, E17

• Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires

  Staff Working Paper 2004-40 Frédérick Demers

  In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C53

• A Forecasting Model for Inventory Investments in Canada

  Staff Working Paper 2004-39 Marwan Chacra, Maral Kichian

  The authors present an empirical model to forecast short-run inventory investment behaviour for Canada.

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E2, E22, E6, E62

• Structural Change and Forecasting Long-Run Energy Prices

  Staff Working Paper 2004-5 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian

  The authors test the statistical significance of Pindyck's (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52, C53, Q, Q4, Q40

• Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates

  Staff Working Paper 2004-2 Richard Luger

  The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22, C5, C52, C53

• Oil-Price Shocks and Retail Energy Prices in Canada

  Staff Working Paper 2002-38 Marwan Chacra

  The effects of global energy-price shocks on retail energy prices in Canada are examined. More specifically, the author looks at the response of the consumer price indexes for gasoline, heating oil, natural gas, and electricity in Canada to movements in world crude oil prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices, Market structure and pricing JEL Code(s): C, C2, C22, C5, C51, C53, Q, Q4, Q40

• Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods

  Staff Working Paper 2001-12 Fuchun Li, Greg Tkacz

  This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C5, C53, E, E2, E27

• Canadian Policy Analysis Model: CPAM

  Staff Working Paper 1997-16 Richard Black, David Rose

  This paper documents the structure and properties of the Canadian Policy Analysis Model (CPAM). CPAM is designed to provide a reasonably complete representation of the Canadian macro economy.

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