I've done this before, but I've had a very bad day and I need to vent.
I've started work on a forecasting project for the Canadian data, focusing on the short- and medium-term outlook. The first task is to see what sort of data are available, and once again, the frustrating answer is 'not near enough.' Statistics Canada's habit of starting new data definitions and not revising the historical series makes it extremely difficult to get a handle on what's actually happening to the Canadian economy.
Let's start with the Survey of Employment, Payrolls and Hours (SEPH). As I noted in my previous rant, these data used to go back to 1991; the current table (281-0047) now goes back to 2001. The pre-2001 data were dumped into the pit of terminated tables. Instead of having a continuous series with a run of 24 years, they now have two incompatible series with a break in 2011. I can't think of any way to splice them, because the two series don't overlap. I've combed through my old data files, and but of course, they're not consistent with either of the series that Statistics Canada currently provides.
Then there's retail sales, which should be a good concurrent indicator. But the current series (Table 290-0024) only goes back to 2004. The terminated Table 080-0003 goes back to 1986, but it's really just a cruel joke: it contains no fewer than three separate series and no attempt to provide a concordance.
I don't know what sort of current analysis model I can put together with a data set that only spans one recession.
And by the way, it's been three years since the national accounts data were 'revised' and they still haven't pushed them back to 1961; current GDP data only go back to 1981. Nor is there any progress on this front. If you want to know what's happening with inter-government transfers since 2009, Statistics Canada has nothing for you.
It might be satisfying to blame Stephen Harper for all of this, but that would be a mistake. The retail and wholesale trade data were chopped up back in 2004, when Paul Martin was Prime Minister and Statistics Canada's budget was assured. The culture of bringing in new definitions and not revising the historical series was ingrained long ago. I've gotten to the point where I think that if StatsCan's funding were restored, they'd celebrate by redefining all their data and throwing the old numbers in the terminated tables bin. It's what they do.