Research Catalog

Title

Forecasting Monthly GDP for Canada [electronic resource] / Annabelle Mourougane

Author

Mourougane, Annabelle.

Publication

Paris : OECD Publishing, 2006.

Details

Description

22 p.; 21 x 29.7cm.

Summary

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.

Series Statement

OECD Economics Department Working Papers, 1815-1973 ; no.515

Uniform Title

OECD Economics Department Working Papers, no.515.

Subject

• Economics
• Canada

LCCN

10.1787/421416670553

OCLC

oecd-lib

Author

Mourougane, Annabelle.

Title

Forecasting Monthly GDP for Canada [electronic resource] / Annabelle Mourougane

Imprint

Paris : OECD Publishing, 2006.

Series

OECD Economics Department Working Papers, 1815-1973 ; no.515

OECD Economics Department Working Papers, 1815-1973 ; no.515.

Connect to:

Full text online available onsite at NYPL

Indexed Term

Economics

Canada

Other Standard Identifier

10.1787/421416670553 doi