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The Bank of Canada's New Quarterly Porjection Model Part 4 : A Semi- Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter Author info | Abstract | Publisher info | Download info | Related research | Statistics Butler, L
The level of potential output plays a central role in the Bank of Canada's new Quarterly projection Model (QPM). This report, the fourth in a series documenting QPM, descridbes a general method to measure potential output, as well as its implementation in the QPM system.
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Paper provided by Bank of Canada in its series Technical Reports with number
77.
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Length: 85 pages
Date of creation: 1996Date of revision:
Handle: RePEc:bca:bocatr:77Contact details of provider: Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada Phone: 613 782-8899 Fax: 613 782-8874 Web page: http://www.bank-banque-canada.ca/
Order Information: Postal: Publications Distribution, Bank of Canada, 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada Email: Web: http://www.bank-banque-canada.ca/en/publication/pub_res.html
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Keywords: INPUT-OUTPUT ANALYSIS ; CENTRAL BANKS ; CANADA ; Find related papers by JEL classification: D57 - Microeconomics - - General Equilibrium and Disequilibrium - - - Input-Output Tables and Analysis E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
Raymond Torres & John P. Martin, 1989.
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OECD Economics Department Working Papers
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Setterfield, M. A. & Gordon, D. V. & Osberg, L., 1992.
"Searching for a will o' the wisp : An empirical study of the NAIRU in Canada ,"
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Adams, Charles & Coe, David T., 1989.
"A Systems Approach to Estimating the Natural Rate of Unemployment and Potential Output for the United States ,"
MPRA Paper
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Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root? ,"
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"Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research ,"
Journal of Economic Dynamics and Control ,
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Other versions: Alain DeSerres, & Alain Guay & Pierre St-Amant, .
"Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy ,"
Working Papers
95-2, Bank of Canada.
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King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988.
"Production, growth and business cycles : II. New directions ,"
Journal of Monetary Economics ,
Elsevier, vol. 21(2-3), pages 309-341.
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Robert J. Hodrick & Edward Prescott, 1981.
"Post-War U.S. Business Cycles: An Empirical Investigation ,"
Discussion Papers
451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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Other versions: Harvey, A C & Jaeger, A, 1993.
"Detrending, Stylized Facts and the Business Cycle ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
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Campbell, John Y & Mankiw, N Gregory, 1987.
"Are Output Fluctuations Transitory? ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 102(4), pages 857-80, November.
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Other versions: Christopher Ragan, 1995.
"Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates ,"
Macroeconomics
9502003, EconWPA.
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Other versions: Tiff Macklem & David Rose & Robert Tetlow, 1995.
"GOVERNMENT DEBT AND DEFICITS IN CANADA: A Macro Simulation Analysis ,"
Macroeconomics
9506003, EconWPA.
[Downloadable!]
Other versions: Doug Hostland, .
"CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications ,"
Working Papers
95-5, Bank of Canada.
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Other versions: Diewert, W.E. & Wales, T.J., 1993.
"A "New" Approach to the Smoothing Problem ,"
UBC Departmental Archives
93-44, UBC Department of Economics.
Watson, Mark W., 1986.
"Univariate detrending methods with stochastic trends ,"
Journal of Monetary Economics ,
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Stock, James H & Watson, Mark W, 1988.
"Variable Trends in Economic Time Series ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 2(3), pages 147-74, Summer.
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Kydland, Finn E & Prescott, Edward C, 1982.
"Time to Build and Aggregate Fluctuations ,"
Econometrica ,
Econometric Society, vol. 50(6), pages 1345-70, November.
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Other versions: King, R.G. & Rebelo, S.T., 1989.
"Low Frequency Filtering And Real Business Cycles ,"
RCER Working Papers
205, University of Rochester - Center for Economic Research (RCER).
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"Asymmetric Effects of Economic Activity on Inflation - Evidence and Policy Implications ,"
IMF Working Papers
94/139, International Monetary Fund.
Stephen Poloz & David Rose & Robert Tetlow, 1994.
"The Bank of Canada's new Quarterly Projection Model (QPM): An introduction ,"
Bank of Canada Review ,
Bank of Canada, vol. 1994(Autumn), pages 23-38.
[Downloadable!]
Allan W. Gregory & Gregor W. Smith, 1994.
"Measuring Business Cycles with Business-Cycle Models ,"
Working Papers
901, Queen's University, Department of Economics.
Other versions: Timothy Cogley & James M. Nason, 1993.
"Output dynamics in real business cycle models ,"
Working Papers in Applied Economic Theory
93-10, Federal Reserve Bank of San Francisco.
Other versions:
Cogley, T. & Nason, J.M., 1994.
"Output Dynamics in Real Business Cycle Models ,"
UBC Departmental Archives
94-28, UBC Department of Economics.
Cogley, Timothy & Nason, James M, 1995.
"Output Dynamics in Real-Business-Cycle Models ,"
American Economic Review ,
American Economic Association, vol. 85(3), pages 492-511, June.
[Downloadable!] (restricted) Beaudry, Paul & Koop, Gary, 1993.
"Do recessions permanently change output? ,"
Journal of Monetary Economics ,
Elsevier, vol. 31(2), pages 149-163, April.
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Allan W. Gregory & Gregor W. Smith, 1991.
"Calibration in Macroeconomics ,"
Working Papers
826, Queen's University, Department of Economics.
Canova, Fabio, 1993.
"Detrending and Business Cycle Facts ,"
CEPR Discussion Papers
782, C.E.P.R. Discussion Papers.
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Other versions: Kenneth N. Kuttner, 1991.
"Using noisy indicators to measure potential output ,"
Working Paper Series, Macroeconomic Issues
91-14, Federal Reserve Bank of Chicago.
Pierre Duguay & Stephen Poloz, 1994.
"The Role of Economic Projections in Canadian Monetary Policy Formulation ,"
Canadian Public Policy ,
University of Toronto Press, vol. 20(2), pages 189-199, June.
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Nelson, Charles R & Kang, Heejoon, 1984.
"Pitfalls in the Use of Time as an Explanatory Variable in Regression ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 2(1), pages 73-82, January.
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"Asymmetry in the U.S. Output-Inflation Nexus - Issues and Evidence ,"
IMF Working Papers
95/76, International Monetary Fund.
Marianne Baxter & Robert G. King, 1995.
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NBER Working Papers
5022, National Bureau of Economic Research, Inc.
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Other versions: Robert A. Amano & Simon van Norden, 1995.
"Unit Root Tests and the Burden of Proof ,"
Econometrics
9502005, EconWPA.
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King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988.
"Production, growth and business cycles : I. The basic neoclassical model ,"
Journal of Monetary Economics ,
Elsevier, vol. 21(2-3), pages 195-232.
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Cogley, Timothy, 1990.
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Journal of Political Economy ,
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Other versions: Singleton, Kenneth J., 1988.
"Econometric issues in the analysis of equilibrium business cycle models ,"
Journal of Monetary Economics ,
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