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An Empirical Analysis of the Canadian Budget Process

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  • Bryan Campbell

    ()

  • Eric Ghysels

    ()

Abstract

This paper provides a statistical analysis of the forecasts of significant number of expenditure and revenue components of the Federal budget provided each year by the Department of Finance. The sample available for such an investigation is limited and we describe an easily-applied nonparametric testing methodology which is more appropriate than the usual regression-based approach in small samples. The reliability and relative power of the various nonparametric tests are illustrated in a series of simulations. Applying these tests to the fiscal forecasts, we find that there is little cause to be concerned with the forecast performance of the Department of Finance over the last seventeen years. Dans cette étude nous examinons les erreurs de prévisions pour les comptes de dépenses et recettes du budget canadien. Nous appliquons des méthodes non-paramétriques à cause des petites tailles d'échantillons. Nous trouvons peu d'erreurs systématiques dans les prévisions budgétaires.

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Bibliographic Info

Paper provided by CIRANO in its series CIRANO Working Papers with number 95s-08.

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Date of creation: 01 Feb 1995
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Handle: RePEc:cir:cirwor:95s-08

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Keywords: Budget forecast; Nonparametric methods; Prévisions budgétaires ; Méthodes non-paramétriques;

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References

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  1. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
  2. Feenberg, D.R. & Gentry, W. & Gilroy, D. & Rosen, H.S., 1988. "Testing The Rationality Of State Revenue Forecasts," Papers 16, Princeton, Woodrow Wilson School - Discussion Paper.
  3. Cassidy, Glenn & Kamlet, Mark S. & Nagin, Daniel S., 1989. "An empirical examination of bias in revenue forecasts by state governments," International Journal of Forecasting, Elsevier, vol. 5(3), pages 321-331.
  4. Gregory Mankiw, N. & Shapiro, Matthew D., 1986. "Do we reject too often? : Small sample properties of tests of rational expectations models," Economics Letters, Elsevier, vol. 20(2), pages 139-145.
  5. Benjamin M. Friedman, 1980. "Survey Evidence on The Rationality of Interest Rate Expectations," NBER Working Papers 0261, National Bureau of Economic Research, Inc.
  6. Mark S. Kamlet & David C. Mowery & Tsai-Tsu Su, 1987. "Whom do you trust? An analysis of executive and congressional economic forecasts," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 6(3), pages 365-384.
  7. Dufour, J.M., 1981. "Rank Tests for Serial Dependence," Cahiers de recherche 8127, Universite de Montreal, Departement de sciences economiques.
  8. Marc Hallin & Jean-Marie Dufour, 1991. "Nonuniform bounds for nonparametric t-tests," ULB Institutional Repository 2013/2027, ULB -- Universite Libre de Bruxelles.
  9. Friedman, Benjamin M., 1980. "Survey evidence on the `rationality' of interest rate expectations," Journal of Monetary Economics, Elsevier, vol. 6(4), pages 453-465, October.
  10. Campbell, B. & Dufour, J.-M., 1991. "Over-Rejections in Rational Expectations Models: A Nonparametric Approach to the Mankiw-Shapiro Problem," Cahiers de recherche 9116, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  11. repec:cup:etheor:v:7:y:1991:i:2:p:253-63 is not listed on IDEAS
  12. Campbell, Bryan & Ghysels, Eric, 1995. "Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 17-31, February.
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Cited by:
  1. Amigues, J-P & Favard, P., Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
  3. Mikhail Golosov & J. R. King, 2002. "Tax Revenue Forecasts in IMF-Supported Programs," IMF Working Papers 02/236, International Monetary Fund.

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