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A dynamic factor model for nowcasting Canadian GDP growth

Tony Chernis and Rodrigo Sekkel ()
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Rodrigo Sekkel: Bank of Canada

Empirical Economics, 2017, vol. 53, issue 1, 217-234

Abstract: Abstract 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 MIDAS and bridge regressions.

Keywords: Nowcasting; Dynamic factor model; Canada (search for similar items in EconPapers)
JEL-codes: C38 C32 C53 E37 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s00181-017-1254-1

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