Testing for a Structural Break in the Volatility of Real GDP Growth in Canada
AbstractThis study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991. Based on disaggregated data, the tests indicate a break in the volatility of the rate of change of investment in residential structures and a break in the volatility of the rate of growth of personal expenditures on goods. Three possible explanations are given for the break in the data: a more service-oriented economy, improved inventory management, and a change in monetary policy.
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 01-9.
Length: 41 pages
Date of creation: 2001
Date of revision:
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Business fluctuations and cycles; Econometric and statistical methods;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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- Claudia M. Buch & Joerg Doepke & Christian Pierdzioch, 2002.
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