Tracking Canadian Trend Productivity: A Dynamic Factor Model with Markov Switching
AbstractThe 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 a first-order Markov process. The author finds that labour productivity in Canada fell from the high-growth to the low-growth state towards the end of the 1970s, and that it has not yet reverted to the high-growth state. In particular, the model primarily attributes the resurgence of labour productivity growth in the late nineties to transitory effects.
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Bibliographic InfoPaper provided by Bank of Canada in its series Discussion Papers with number 07-12.
Length: 32 pages
Date of creation: 2007
Date of revision:
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Find related papers by JEL classification:
- O4 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity
- O51 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-11-17 (All new papers)
- NEP-BEC-2007-11-17 (Business Economics)
- NEP-EFF-2007-11-17 (Efficiency & Productivity)
- NEP-LAB-2007-11-17 (Labour Economics)
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- Richard Dion & Robert Fay, 2008. "Understanding Productivity: A Review of Recent Technical Research," Discussion Papers 08-3, Bank of Canada.
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