A dynamic factor model for nowcasting Canadian GDP growth / by Tony Chernis and Rodrigo Sekkel.: FB3-5/2017-2E-PDF
"This paper estimates a dynamic factor model (DFM) for nowcasting Canadian grossdomestic product. The model is estimated with a mix of soft and hard indicators, and itfeatures 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-timesetting, we show that the DFM outperforms univariate benchmarks as well as othercommonly used nowcasting models, such as mixed-data sampling (MIDAS) and bridge regressions"--Abstract, p. ii.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.832340&sl=0
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| Title | A dynamic factor model for nowcasting Canadian GDP growth / by Tony Chernis and Rodrigo Sekkel. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | ii, 26 p. : col. charts |
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