Marc-André Gosselin

Using dynamic factor models to forecast Canadian inflation: the role of US variables-super-1

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.