Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/200462
Authors: 
Chernis, Tony
Sekkel, Rodrigo
Year of Publication: 
2018
Series/Report no.: 
Bank of Canada Staff Discussion Paper 2018-9
Abstract: 
This paper studies short-term forecasting of Canadian real GDP and its expenditure components using combinations of nowcasts from different models. Starting with a medium-sized data set, we use a suite of common nowcasting tools for quarterly real GDP and its expenditure components. Using a two-step combination procedure, the nowcasts are first combined within model classes and then merged into a single point forecast using simple performance-based weighting methods. We find that no single model clearly dominates over all forecast horizons, subsamples and target variables. This highlights that when operating in an uncertain environment, where the choice of model is not clear, combining forecasts is a prudent strategy.
Subjects: 
Econometric and statistical methods
JEL: 
C53
E52
E37
Document Type: 
Working Paper

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