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

被引：1

作者：

Gosselin, Marc-Andre ^{[1
]}

Tkacz, Greg ^{[1
]}

机构：

[1] Bank Canada, Res Dept, Ottawa, ON K1A 0G9, Canada

来源：

APPLIED ECONOMICS LETTERS | 2010年 / 17卷 / 01期

关键词：

DIFFUSION INDEXES;

D O I：

10.1080/13504850701719694

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：15 / 18

页数：4

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