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My principal components based model is also flashing 1.6

Hello Steven:
Took a summary of the estimates. Over the period 2009Q1 to 2012Q1, the average WCI estimate is 1.14%, First Statscan is 1.52 and latest data is 1.50. In terms of median over same period, WCI estimate is 1.60%, First Statscan is 1.90% and Latest data is 2.30%.

I did a quick regression of the revisions on the WCI estimate; looks significant at the 10% level (and with only 13 obs!)

I'll leave it to Stephen to calculate the posterior odds.....

A few more regression results (with the Robusterrors option in RATS). Actually, Stephen might be doing better than StatCan does one month later.

1) If you regress StatCan's current estimate on the WCI (Stephen's) estimate and StatCan's preliminary estimate, they each get weights of around 0.5. (Ideally, if StatCan was doing the best possible, their estimate should get a weight of 1.0 and Stephen's should get a weight of zero.)

2) The difference between Stephen's estimate and StatCan's prelimnary number helps predict StatCan's subsequent revision. (Chi-sq(1) stat of 12.5) That should imply that Stephen is adding info beyond what StatCan reports one month later.

Caution: these results are based on 14 observations (and asymptotic theory for the hypothesis tests.)

Correction: the evidence for that 2nd claim is weaker (results above were from the wrong regression) - significant at about the 8% level.

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