US data can help nowcast Canadian growth, paper finds
Working paper published by Fed board introduces US data into dynamic factor model
Including US data in a nowcasting model for Canada can "dramatically improve" its accuracy, according to a working paper published by the Federal Reserve board.
In A Nowcasting Model for Canada: Do US Variables Matter?, Daniela Bragoli and Michele Modugno construct a dynamic factor model for nowcasting the growth of quarterly real GDP in Canada.
One challenge, the authors find, is the lack of timely production data in Canada. There are strong links between the Canadian and US economies, and
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