Forecasting Canadian Time Series with the New Keynesian Model

Ali Dib (), Mohamed Gammoudi and Kevin Moran ()

Working Papers from Bank of Canada

Abstract: The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada. They estimate their variant of the model on a series of rolling subsamples, computing out-of-sample forecasts one to eight quarters ahead at each step. They compare these forecasts with those arising from simple vector autoregression (VAR) models, using econometric tests of forecasting accuracy. Their results show that the forecasting accuracy of the New Keynesian model compares favourably with that of the benchmarks, particularly as the forecasting horizon increases. These results suggest that the model could become a useful forecasting tool for Canadian time series. The authors invoke the principle of parsimony to explain their findings.

Keywords: Business fluctuations and cycles; Economic models; Econometric and statistical methods (search for similar items in EconPapers)
JEL-codes: E32 E37 C12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-mac
Date: 2006
View list of references View citations in EconPapers

Downloads: (external link)
http://www.bankofcanada.ca/en/res/wp/2006/wp06-4.pdf

Related works:
Working Paper: Forecasting Canadian Time Series with the New-Keynesian Model (2005)
Working Paper: Forecasting Canadian Time Series With the New-Keynesian Model (2006)
Journal Article: Forecasting Canadian time series with the New Keynesian model (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bca:bocawp:06-4

Ordering information: This working paper can be ordered from
Publications Distribution, Bank of Canada, 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
http://www.bank-banq ... ication/pub_res.html

Access Statistics for this paper

More papers in Working Papers from Bank of Canada
Address: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
Series data maintained by ().