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Coo! Footnote 2. A genuine StatsCan cite. Well done!

But your latest estimate is depressing.

Have you ever decomposed your forecast error into (i) your error in forecasting the last month's GDP using your model, (ii) the revision of the first two month's estimate of GDP, (iii) the difference between the three monthly estimates of GDP and the quarterly value?

No, but I will from now on. I've been replacing the old data with revised data, so I can't reproduce my old numbers. I'll start archiving my programs as I go along so that I can do that sort of breakdown.

Wish I had thought to archive them before.

The Statscan article highlights the importance of using two months of the first quarter (February and March; ignore January's growth) and as many of the three months of the second quarter as are available in order to calculate what is currently known about the second quarter. By doing this, analysts can take advantage of the statistical relationship that exists between monthly and quarterly growth rates. (Although as noted in an earlier post by Stephen Gordon, monthly and quarterly GDP are based on different concepts.)

By using the -0.1% of February 2011, the 0.3% of March 2011, the 0% of April 2011 and the -0.3% of May 2011, the formula (included in the article) indicates that you are assuming a 0.2% increase (approx) in June 2011 in order to have a 0.1% annualized GDP in the second quarter.

April would normally have the largest weight of all of these months in determining the second quarter's growth rate but there was no change in that month, and March and May, which have similar weights in determining the second quarter's growth rate more or less offset each other. Therefore, the difference between June's growth rate and that of February's -0.1% (these two months again have similar weights) will define the quarter's growth.

(Also, the old data can be found in the tables attached in the Daily archives for monthly and quarterly GDP).

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