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Nowcasting Canadian Economic Activity in an Uncertain Environment

Author

Listed:
  • Tony Chernis
  • Rodrigo Sekkel
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.

Suggested Citation

  • Tony Chernis & Rodrigo Sekkel, 2018. "Nowcasting Canadian Economic Activity in an Uncertain Environment," Discussion Papers 18-9, Bank of Canada.
    • Handle: RePEc:bca:bocadp:18-9
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    References listed on IDEAS

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    Cited by:

    1. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    2. Patrick Rizzetto, 2018. "GDP by Industry in Real Time: Are Revisions Well Behaved?," Staff Analytical Notes 2018-40, Bank of Canada.
    3. Taylor Webley & Carla Valerio & Maureen MacIsaac, 2020. "Characterizing Breadth in Canadian Economic Activity," Staff Analytical Notes 2020-1, Bank of Canada.

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    More about this item

    Keywords

    Econometric and statistical methods;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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