La croissance de la productivité est examinée par les macro-économistes car elle joue des rôles clés dans la compréhension de l'épargne dans le secteur privé, les sources des chocs macroéconomiques, l'évolution de la compétitivité internationale et la solvabilité des régimes de...

Data revisions in macroeconomic time series are typically studied in isolation ignoring the joint behaviour of revisions across different series. This ignores (i) the possibility that early releases of some series may help forecast revisions in other series and (ii) the problems statitical...

A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where trend shocks enter the cycle, or cycle shocks enter the trend and that...

Growth forecasts are the foundation of fiscal planning. Risk management in fiscal planning therefore requires an appreciation of the uncertainty associated with the underlying growth forecasts. This paper estimates such uncertainty by examining medium-term government and private-sector forecasts...

Compared to its central role in policy discussions in the United States and most other developed countries, the reliability of the measurement of the output gap has attracted relatively little academic study. Furthermore, both the academic literature and the debate among practitioners have...

A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for countercyclical monetary policy in many models. In this paper, we evaluate the usefulness of alternative univariate and multivariate estimates of the output gap...

This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researcher. Sample program listings are...

This paper explores two very different models which might account for stock market crashes. A key innovative feature of our paper is that we use the models to show how their implications for stock market crashes may be tested using switching-regression econometrics. We are careful to show that...

In order for time series estimates of the output gap to be useful to policy makers, this paper argues that two factors will be critical. First, they must be able to produce an estimate of the current output gap based only on past information. Put another way, to evaluate the performance of such...

Simulation evidence is presented on the finite sample properties of two tests for stationarity recently proposed by Kwiatkowski, Phillips and Schmidt (1991) and Park (1990). Unlike earlier unit-root tests, these test the null of stationarity against the alternative of a unit root, thereby...