A dynamic factor model for nowcasting Canadian GDP growth

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Bibliographic Details
Authors and Corporations:	Chernis, Tony (Author), Sekkel, Rodrigo (Author)
Other Authors:	Sekkel, Rodrigo [Author]
Type of Resource:	E-Book
Language:	English
published:	[Ottawa] Bank of Canada February 2017
Series:	Bank of Canada: Staff working paper ; 2017, 2
Subjects:	Arbeitspapier Online-Publikation
Source:	Verbunddaten SWB Lizenzfreie Online-Ressourcen
Notes:	Zusammenfassung in französischer Sprache

Description
Summary:	This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features 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-time setting, we show that the DFM outperforms univariate benchmarks as well as other commonly used nowcasting models, such as mixed-data sampling (MIDAS) and bridge regressions.
Physical Description:	1 Online-Ressource (circa 29 Seiten); Illustrationen
Notes:	Zusammenfassung in französischer Sprache