C53 - Forecasting and Prediction Methods; Simulation Methods
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Calculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models
This paper derives a calculation for the effective degrees of freedom of a forecast combination under a set of general conditions for linear models. Computing effective degrees of freedom shows that the complexity cost of a forecast combination is driven by the parameters in the weighting scheme and the weighted average of parameters in the auxiliary models. -
Nowcasting Canadian GDP with Density Combinations
We present a tool for creating density nowcasts for Canadian real GDP growth. We demonstrate that the combined densities are a reliable and accurate tool for assessing the state of the economy and risks to the outlook. -
Macroeconomic Predictions Using Payments Data and Machine Learning
We demonstrate the usefulness of payment systems data and machine learning models for macroeconomic predictions and provide a set of econometric tools to overcome associated challenges. -
Assessing Climate-Related Financial Risk: Guide to Implementation of Methods
A pilot project on climate transition scenarios by the Bank of Canada and the Office of the Superintendent of Financial Institutions assessed climate-related credit and market risks. This report describes the project’s methodologies and provides guidance on implementing them.