Structural testing of Business Cycles
AbstractIn this article, the predictability performance of certain classical business cycle theories are tested against contemporary statistical methods by using Finnish macroeconomic data. Keynesian multiplier- accelerator model derivatives and neo-classical real business cycle models are compared to statistical stochastic time-series methods. Some philosophical considerations on the scientific principles and macroeconomic analysis are extended for applied econometric practice. VAR and SUTSE models are estimated and compared against classical theory implications. It is found that in this case, SUTSE model has a superior forecasting ability and that pure statistical algorithms are the most efficient alternatives for predicting Finnish business cycle data.
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Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 0308004.
Length: 20 pages
Date of creation: 19 Aug 2003
Date of revision:
Note: Type of Document - pdf; prepared on PC- LaTex; pages: 20 ; figures: included
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Business Cycle; Real Business Cycle Theory; VAR; SUTSE; multiplier-acceleration;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-DGE-2003-08-24 (Dynamic General Equilibrium)
- NEP-FIN-2003-08-24 (Finance)
- NEP-MAC-2003-08-24 (Macroeconomics)
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