A Three‐Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth

Tony Chernis, Calista Cheung & Gabriella Velasco
This paper estimates a three‐frequency dynamic factor model for nowcasting Canadian provincial gross domestic product (GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months). This necessitates a mixed-frequency approach that can process timely monthly data, the quarterly national accounts and the annual target variable. The model is estimated on a wide set of provincial, national and international data. We assess the extent to which...
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