A three‐frequency dynamic factor model for nowcasting Canadian provincial GDP growth: FB3-6/2017-8E-PDF

"This paper estimates a three‐frequency dynamic factor model for nowcasting Canadian provincial gross domestic product (GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months). This necessitates a mixed-frequency approach that can process timely monthly data, the quarterly national accounts and the annual target variable. The model is estimated on a wide set of provincial, national and international data. We assess the extent to which these indicators can be used to nowcast annual provincial GDP in a pseudo real‐time setting and construct indicators of unobserved monthly GDP for each province that can be used to assess the state of regional economies. The monthly activity indicators fit the data well in‐sample, are able to track business‐cycle turning points across the provinces, and showcase the significant regional heterogeneity that characterizes a large diverse country like Canada. They also provide more timely indications of business‐cycle turning points and are able to pick up shorter periods of economic contraction that would not be observed in the annual average. In a pseudo real‐time exercise, we find the model outperforms simple benchmarks and is competitive with more sophisticated mixed-frequency approaches such as MIDAS models"--Abstract, p. ii.

Permanent link to this Catalogue Record: What is a permanent link?
http://publications.gc.ca/pub?id=9.838456&sl=0
MARC XML Format   MARC HTML Format

Department/Agency Bank of Canada.
Title A three‐frequency dynamic factor model for nowcasting Canadian provincial GDP growth
Series Title Bank of Canada staff discussion paper,
Publication Type Series - View Master Record
Language [English]
Format Electronic
Electronic Document

Archived Content

Information identified as archived is provided for reference, research or recordkeeping purposes. It is not subject to the Government of Canada Web Standards and has not been altered or updated since it was archived. Please contact the authoring department to request a format other than those available.

We invite you to consult the Frequently Asked Questions page for additional information regarding the Archived Content notice.


Having trouble opening this document?

Note: The URLs contained in this/these document(s) may no longer be functional
Note "June 2017."
Date 2017.
Number of Pages 35 p. :
Catalogue Number
  • FB3-6/2017-8E-PDF
Subject Terms Economic forecasting, Gross domestic product, Provinces