The May 2011 GDP numbers are out, so it's time for my quarterly attempt to provide an estimate for quarterly GDP growth a month before Statistics Canada releases its first estimates - the most recent exercise is here. This is done by using simple linear regression model of monthly GDP growth on monthly LFS data for employment and hours worked to produce an estimate for (in this case) an estimate for June 2011 GDP. This estimate is then combined with available monthly GDP for April and May to construct an estimate for quarterly GDP for 2011Q2. This isn't quite as ad hoc as it sounds; Statistics Canada recently published a note exploring the informational content in the GDP numbers of different frequencies (and check out footnote 2).
But it turns out that the point estimates themselves aren't that bad, at least, not compared to Statistics Canada's own preliminary estimates:
Quarter WCI estimate First StatsCan
Latest data 2009Q1 -6.9% -5.4% -7.9% 2009Q2 -3.4% -3.4% -3.7% 2009Q3 -0.4% 0.4% 1.7% 2009Q4 4.0% 5.0% 5.0% 2010Q1 5.5% 6.1% 5.6% 2010Q2 2.7% 2.0% 2.3% 2010Q3 1.5% 1.0% 2.5% 2010Q4 1.9% 3.3% 3.1% 2011Q1 3.8% 3.9% 3.9% 2011Q2 0.1%
Even if you include 2011Q1 - where the most recent data *is* the first StatsCan release - it turns out that the WCI estimate is a slightly better predictor of the most recent quarterly GDP growth data - in the RMSE sense - than is the preliminary StatsCan estimate.
So I'm going to keep on doing this. The WCI estimate for annualised GDP growth in 2011Q2 is 0.1%. This is quite a bit lower than the Bank of Canada's estimate of 1.5%.