Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171956
Authors: 
Chernis, Tony
Sekkel, Rodrigo
Year of Publication: 
2017
Series/Report no.: 
Bank of Canada Staff Working Paper 2017-2
Abstract: 
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features 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-time setting, we show that the DFM outperforms univariate benchmarks as well as other commonly used nowcasting models, such as mixed-data sampling (MIDAS) and bridge regressions.
Subjects: 
Econometric and statistical methods
Business fluctuations and cycles
JEL: 
C38
C32
C53
E37
Document Type: 
Working Paper

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