This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data. The model is then used to generate nowcasts, predictions of the recent past and...

This paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. Following the threshold cointegration literature we assume that the process follows the random walk in the corridor regime,...

In this paper we propose a direct testing procedure to detect the presence of linear unit root against geometrically ergodic process defined by self exciting threshold autoregressive (SETAR) model with three regimes. Assuming that the process follows the random walk in the corridor regime, the...

Bayesian predictive synthesis (BPS) is a method of combining predictive distributions based on agent opinion analysis theory, which encompasses many common approaches to combining density forecasts. The key ingredient in BPS is a synthesis function. This is typically specified parametrically as...

The macroeconomy is a complicated dynamic system with significant uncertainties that make modelling difficult. Consequently, decision-makers consider multiple models that provide different predictions and policy recommendations and then synthesize that information into a policy decision. We use...