Using dynamic factor models to forecast Canadian inflation: the role of US variables-super-1

This article evaluates the forecasting performance of dynamic factor models for Canadian inflation. We find that factor models are as good as more conventional forecasting models, while a model estimated using only US data, is at least as useful as a model that incorporates Canadian data. This suggests that the United States is a source of data that could be beneficial to its trading partners for forecasting purposes.

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Year of publication:	2010
Authors:	Gosselin, Marc-André ; Tkacz, Greg
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 17.2010, 1, p. 15-18
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008582791