Using dynamic factor models to forecast Canadian inflation: the role of US variables-super-1

Marc-Andr� Gosselin and Greg Tkacz ()

Applied Economics Letters, 2010, vol. 17, issue 1, 15-18

Abstract: This article evaluates the forecasting performance of dynamic factor models for Canadian inflation. We find that factor models are as good as more conventional forecasting models, while a model estimated using only US data, is at least as useful as a model that incorporates Canadian data. This suggests that the United States is a source of data that could be beneficial to its trading partners for forecasting purposes.

Date: 2010
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DOI: 10.1080/13504850701719694

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