Abstract
We assess the contribution of national (country-wide) and international data to the task of forecasting the real GDP of Canadian provinces. Using the targeting predictors approach of Bai and Ng (2008) [Bai, J., Ng, S., 2008. Forecasting economic time series using targeted predictors. Journal of Econometrics 146, 304–317], we find that larger datasets containing regional, national and international data help improve forecasting accuracy for horizons below the one-year-ahead mark, but that beyond that horizon, relying on provincial data alone produces the best forecasts. These results suggest that shocks originating at the national and international levels are transmitted to Canadian regions and reflected in regional timeseries fairly rapidly.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.