Title: A dynamic factor model for nowcasting Canadian GDP growth
Authors: Tony Chernis - Bank of Canada (Canada) [presenting]
Rodrigo Sekkel - Bank of Canada (Canada)
Abstract: A Dynamic Factor Model (DFM) is estimated 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 MIDAS and bridge regressions.