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Nowcasting Canadian Economic Activity in an Uncertain Environment

Tony Chernis and Rodrigo Sekkel

Discussion Papers from Bank of Canada

Abstract: This paper studies short-term forecasting of Canadian real GDP and its expenditure components using combinations of nowcasts from different models. Starting with a medium-sized data set, we use a suite of common nowcasting tools for quarterly real GDP and its expenditure components. Using a two-step combination procedure, the nowcasts are first combined within model classes and then merged into a single point forecast using simple performance-based weighting methods. We find that no single model clearly dominates over all forecast horizons, subsamples and target variables. This highlights that when operating in an uncertain environment, where the choice of model is not clear, combining forecasts is a prudent strategy.

Keywords: Econometric; and; statistical; methods (search for similar items in EconPapers)
JEL-codes: C53 E52 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-for and nep-mac
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocadp:18-9

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