Tuesday, 1 December 2015

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

Gross domestic product by income and by expenditure (national) 380-0063 to 380-0076, 380-0078 to 380-0088, 380-0100 to 380-0107
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
Gross domestic product by income and by expenditure (provincial) 13-016-X
Release date Refer

Friday, 16 October 2015

Forecasting in Canada


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.