Forecasting Monthly GDP for Canada:
The objective of this paper is to develop a short-term indicator-based model to predict quarterly GDP in Canada by efficiently exploiting all available monthly information. To this aim, monthly forecasting equations are estimated using the GDP series published every month by Statistics Canada as wel...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2006
|
| Schriftenreihe: | OECD Economics Department Working Papers
no.515 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The objective of this paper is to develop a short-term indicator-based model to predict quarterly GDP in Canada by efficiently exploiting all available monthly information. To this aim, monthly forecasting equations are estimated using the GDP series published every month by Statistics Canada as well as other monthly indicators. The procedures are automated and the model can be run whenever major monthly data are released, allowing the appropriate choice of the model according to the information set available. The most important gain from this procedure is for the current-quarter forecast when one or two months of GDP data are available, with all monthly models estimated in the paper outperforming a standard quarterly autoregressive model in terms of size of errors. The use of indicators also appears to improve forecasting performance, especially when an average of indicator-based models is used. Real-time forecasting performance of the average model appear to be good, with an apparent stability of the estimates from one update to the next, despite the extensive use of monthly data. The latter result should nonetheless be interpreted with caution and will need to be re-assessed when more data become available. |
| Beschreibung: | 1 Online-Ressource (21 p.) 21 x 29.7cm. |
| DOI: | 10.1787/421416670553 |
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| spelling | Mourougane, Annabelle VerfasserIn aut Forecasting Monthly GDP for Canada Annabelle, Mourougane = Prévoir le PIB mensuel au Canada / Annabelle, Mourougane Prévoir le PIB mensuel au Canada Paris OECD Publishing 2006 1 Online-Ressource (21 p.) 21 x 29.7cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Economics Department Working Papers no.515 The objective of this paper is to develop a short-term indicator-based model to predict quarterly GDP in Canada by efficiently exploiting all available monthly information. To this aim, monthly forecasting equations are estimated using the GDP series published every month by Statistics Canada as well as other monthly indicators. The procedures are automated and the model can be run whenever major monthly data are released, allowing the appropriate choice of the model according to the information set available. The most important gain from this procedure is for the current-quarter forecast when one or two months of GDP data are available, with all monthly models estimated in the paper outperforming a standard quarterly autoregressive model in terms of size of errors. The use of indicators also appears to improve forecasting performance, especially when an average of indicator-based models is used. Real-time forecasting performance of the average model appear to be good, with an apparent stability of the estimates from one update to the next, despite the extensive use of monthly data. The latter result should nonetheless be interpreted with caution and will need to be re-assessed when more data become available. Economics Canada FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/421416670553 Volltext |
| spellingShingle | Mourougane, Annabelle Forecasting Monthly GDP for Canada Economics Canada |
| title | Forecasting Monthly GDP for Canada |
| title_alt | Prévoir le PIB mensuel au Canada |
| title_auth | Forecasting Monthly GDP for Canada |
| title_exact_search | Forecasting Monthly GDP for Canada |
| title_full | Forecasting Monthly GDP for Canada Annabelle, Mourougane = Prévoir le PIB mensuel au Canada / Annabelle, Mourougane |
| title_fullStr | Forecasting Monthly GDP for Canada Annabelle, Mourougane = Prévoir le PIB mensuel au Canada / Annabelle, Mourougane |
| title_full_unstemmed | Forecasting Monthly GDP for Canada Annabelle, Mourougane = Prévoir le PIB mensuel au Canada / Annabelle, Mourougane |
| title_short | Forecasting Monthly GDP for Canada |
| title_sort | forecasting monthly gdp for canada |
| topic | Economics Canada |
| topic_facet | Economics Canada |
| url | https://doi.org/10.1787/421416670553 |
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