C - Mathematical and Quantitative Methods
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A Three‐Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth
This paper estimates a three‐frequency dynamic factor model for nowcasting Canadian provincial gross domestic product (GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months). -
Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?
How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions?