Friday, 18 December 2015
Monday, 7 December 2015
Tuesday, 1 December 2015
Hi
Just a short blog today to give the first results of my forecasting project. I predicted a 2.8% real GDP growth at annual rates and the actual was 2.3%. RBC, Scotia and TD all had 2.5% and were the closest among the Bank forecasts. Trevor Tombe (University of Calgary) tossed out a 1.4% last night and claimed a victory over me under the Price Is Right Rules (cannot go over). Stephen Gordon (Laval) was spot on with 2.3% done yesterday morning. Of course if you just had used the unconditional estimate (the sample mean) of 2.4% you would also have been a star!
In general, I think the forecasts all were reasonably close. The surprising thing in my view today was the monthly release of the September number of -1.98% at annual rates for September 2015. This was not great and certainly dampened the quarterly number.
Just to get the ball rolling for 2015Q4, my initial forecast is -0.5%. Let the next recession talk begin.
Dec 2: Did anyone else notice that the entire history or real GDP growth at 2007 prices has been changed from 1981Q1 onward . Not big changes but if you are in the forecasting business make them!
See http://www.statcan.gc.ca/eng/nea/dates/index#niea
Just a short blog today to give the first results of my forecasting project. I predicted a 2.8% real GDP growth at annual rates and the actual was 2.3%. RBC, Scotia and TD all had 2.5% and were the closest among the Bank forecasts. Trevor Tombe (University of Calgary) tossed out a 1.4% last night and claimed a victory over me under the Price Is Right Rules (cannot go over). Stephen Gordon (Laval) was spot on with 2.3% done yesterday morning. Of course if you just had used the unconditional estimate (the sample mean) of 2.4% you would also have been a star!
In general, I think the forecasts all were reasonably close. The surprising thing in my view today was the monthly release of the September number of -1.98% at annual rates for September 2015. This was not great and certainly dampened the quarterly number.
Just to get the ball rolling for 2015Q4, my initial forecast is -0.5%. Let the next recession talk begin.
Dec 2: Did anyone else notice that the entire history or real GDP growth at 2007 prices has been changed from 1981Q1 onward . Not big changes but if you are in the forecasting business make them!
See http://www.statcan.gc.ca/eng/nea/dates/index#niea
Release date | Reference period |
---|---|
March 3, 2015 | First quarter 2014 to fourth quarter 2014 |
May 29, 2015 | First quarter 2014 to first quarter 2015 |
September 1, 2015 | First quarter 2015 to second quarter 2015 |
December 1, 2015 | First quarter 1981 to third quarter 2015 |
March 1, 2016 | First quarter 2015 to fourth quarter 2015 |
May 31, 2016 | First quarter 2015 to first quarter 2016 |
August 31, 2016 | First quarter 2016 to second quarter 2016 |
November 30, 2016 | First quarter 2016 to third quarter 2016 |
March 2, 2017 | First quarter 2016 to fourth quarter 2016 |
Release date | Refer |
---|
Tuesday, 24 November 2015
Tuesday, 10 November 2015
Friday, 30 October 2015
Monday, 26 October 2015
Friday, 16 October 2015
Forecasting in Canada
Introduction
Welcome to my new blog on economic forecasting. The goal is
to discuss, compare and even evaluate alternative methods and tools for
forecasting economic activity in Canada. I hope others involved in the business
of forecasting will share their work, opinions and so on in this forum.
Hopefully, we can understand the interaction of forecasting theory and
practical forecasting. The two sometimes agree but as in any application there
are tensions and confusion.
A word of apology or explanation, whatever seems to fit? I
have been teaching times series in The Department of Economics at Queen’s
University for more than 25 years. As such, I have become somewhat
institutionalized as an instructor. However, if the tone comes off that way in
this blog, it’s not intentional. This is meant to be a learning exercise for
me, especially me. It’s easier to teach theory I have discovered, but actual
confrontation with data and forecasting has been edifying.
We will commence with forecasting real growth but as time
goes along we will likely branch out into other important variables like
employment change, inflation and so on. Real growth seems the most sensible
place to start since it is the mostly widely forecasted variable in the Canadian
scene. In the U.S. the change in employment produced monthly by the Bureau of
Labor Statistics would have that honour.
We also invite other professional forecasters to participate
in this challenge as well. What we have in mind in this regard, is something
akin to ThreeHundredEight (http://www.threehundredeight.com/)
where we keep track of real growth predictions by various members of the
Canadian forecasting community. These forecasts will just be a record and time
of forecast without any detail of the model(s) or expertise behind them.
However, our pledge is to describe exactly how our forecasts are done so those that
the following at home can replicate them.
This web page is meant for the reader to get in real time
the most recent information regarding the Canadian economy’s growth forecast.
We are not going to be running a report card or accuracy tournaments. Instead
we want a forum by which various forecasters and users of these can interact
and discuss the different predictions and there implications for the Canadian
economy.
There are at least two choices to be made regarding real
growth
1.
Frequency
2.
Horizon
We think that there is widespread agreement among
forecasters that quarterly growth rates (quarter over quarter) are most useful.
I am going to start there with just a one –period ahead forecast. Our real growth rates are taken from Table 380
0064 and are seasonally adjusted at annual rates in chained 2007 dollars. Its
label is Gross Domestic Product at Market Prices (available at Statistics
Canada http://www.statcan.gc.ca/). This table is
updated at regular intervals and is subject to revision.
Just to get this rolling I have taken from the Internet, real
growth forecasts for 2015Q3 of the Canadian Banks along with 2 of mine
(labelled AWG). In blue are the most recent forecasts identified by the Banks
and myself with a time when the forecasts were (or I found them). I update my
forecasts as you will see and I will explain that at a later date. Older
forecasters are found below the blue one.
In this figure I also provide the historical average mean
growth rate and as time goes on the actual first release real growth will be
added along with the subsequent revisions.
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