Structural testing of Business Cycles
In 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.
|Date of creation:||19 Aug 2003|
|Date of revision:|
|Note:||Type of Document - pdf; prepared on PC- LaTex; pages: 20 ; figures: included|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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.:
- Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
- Pierre Danthine, Jean & Donaldson, John B., 1993.
"Methodological and empirical issues in real business cycle theory,"
European Economic Review,
Elsevier, vol. 37(1), pages 1-35, January.
- Danthine, J.P. & Donaldson, J.B., 1991. "Methodological and Empirical Issues in Real Business Cycle Theory," Papers fb-_91-11, Columbia - Graduate School of Business.
- Jean-Pierre DANTHINE & John B. DONALDSON, 1991. "Methodological and Empirical Issues in Real Business Cycle Theory," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9102, Université de Lausanne, Faculté des HEC, DEEP.
- Kydland, Finn E & Prescott, Edward C, 1982.
"Time to Build and Aggregate Fluctuations,"
Econometric Society, vol. 50(6), pages 1345-70, November.
- Finn E. Kydland & Edward C. Prescott, 1982. "Executable program for "Time to Build and Aggregate Fluctuations"," QM&RBC Codes 4, Quantitative Macroeconomics & Real Business Cycles.
- Finn E. Kydland & Edward C. Prescott, 1982. "Web interface for "Time to Build and Aggregate Fluctuations"," QM&RBC Codes 4a, Quantitative Macroeconomics & Real Business Cycles.
- McCloskey, Donald N, 1983. "The Rhetoric of Economics," Journal of Economic Literature, American Economic Association, vol. 21(2), pages 481-517, June.
- Christopher A. Sims & Harald Uhlig, 1988.
"Understanding unit rooters: a helicopter tour,"
Discussion Paper / Institute for Empirical Macroeconomics
4, Federal Reserve Bank of Minneapolis.
- Nyblom, Jukka & Harvey, Andrew, 1999.
"Tests of Common Stochastic Trends,"
Cambridge Working Papers in Economics
9902, Faculty of Economics, University of Cambridge.
- Christoph Schleicher, 2003. "Structural Time-Series Models with Common Trends and Common Cycles," Computing in Economics and Finance 2003 108, Society for Computational Economics.
- Hommes, Cars H., 1995. "A reconsideration of Hicks' non-linear trade cycle model," Structural Change and Economic Dynamics, Elsevier, vol. 6(4), pages 435-459, December.
- Christopher A. Sims, 1996. "Macroeconomics and Methodology," Journal of Economic Perspectives, American Economic Association, vol. 10(1), pages 105-120, Winter.
- Lucas, Robert E, Jr, 1980. "Methods and Problems in Business Cycle Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(4), pages 696-715, November.
- Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..
- Deirdre N. McCloskey & Stephen T. Ziliak, 1996. "The Standard Error of Regressions," Journal of Economic Literature, American Economic Association, vol. 34(1), pages 97-114, March.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpma:0308004. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.