A dynamic factor model for nowcasting Canadian GDP growth / by Tony Chernis and Rodrigo Sekkel.: FB3-5/2017-2E-PDF
"This paper estimates a dynamic factor model (DFM) for nowcasting Canadian grossdomestic product. The model is estimated with a mix of soft and hard indicators, and itfeatures a high share of international data. The model is then used to generate nowcasts,predictions of the recent past and current state of the economy. In a pseudo real-timesetting, we show that the DFM outperforms univariate benchmarks as well as othercommonly used nowcasting models, such as mixed-data sampling (MIDAS) and bridge regressions"--Abstract, p. ii.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | A dynamic factor model for nowcasting Canadian GDP growth / by Tony Chernis and Rodrigo Sekkel. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2017-2 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "February 2017." Includes bibliographical references (p. 17-19). Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2017. |
| Author / Contributor | Chernis, Tony. Sekkel, Rodrigo M. |
| Description | ii, 26 p. : col. charts |
| Catalogue number |
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| Subject terms | Gross domestic product Forecasting |