00000nam 2200000za 4500 9.838456 CaOODSP 20221107151401 cr ||||||||||| 170619s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-6/2017-8E-PDF Chernis, Tony. A three‐frequency dynamic factor model for nowcasting Canadian provincial GDP growth [electronic resource] / by Tony Chernis, Calista Cheung and Gabriella Velasco. [Ottawa] : Bank of Canada, 2017. 35 p. : col. charts Bank of Canada staff discussion paper, 1914-0568 ; 2017-8 "June 2017." Includes bibliographical references. "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. Includes abstract in French. gccst Economic forecasting gccst Gross domestic product gccst Provinces Cheung, Calista. Velasco, Gabriella. Bank of Canada. Staff discussion paper (Bank of Canada) 2017-8 (CaOODSP)9.806273 PDF 1.18 MB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-6-2017-8-eng.pdf