A three‐frequency dynamic factor model for nowcasting Canadian provincial GDP growth / by Tony Chernis, Calista Cheung and Gabriella Velasco. : 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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.838456&sl=1
Ministère/Organisme | Bank of Canada. |
---|---|
Titre | A three‐frequency dynamic factor model for nowcasting Canadian provincial GDP growth / by Tony Chernis, Calista Cheung and Gabriella Velasco. |
Titre de la série | Bank of Canada staff discussion paper, 1914-0568 ; 2017-8 |
Type de publication | Série - Voir l'enregistrement principal |
Langue | [Anglais] |
Format | Électronique |
Document électronique | |
Note(s) | "June 2017." Includes bibliographical references. Includes abstract in French. |
Information sur la publication | [Ottawa] : Bank of Canada, 2017. |
Auteur / Contributeur | Chernis, Tony. Cheung, Calista. Velasco, Gabriella. |
Description | 35 p. : col. charts |
Numéro de catalogue |
|
Descripteurs | Economic forecasting Gross domestic product Provinces |
Demander des formats alternatifs
Pour demander une publication dans un format alternatif, remplissez le formulaire électronique des publications du gouvernement du Canada. Utilisez le champ du formulaire «question ou commentaire» pour spécifier la publication demandée.- Date de modification :