This is a bit late.
I ran – but forgot to post – my quarterly attempt to provide an estimate for quarterly GDP growth a month before Statistics Canada releases its first estimates (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 December 2011 GDP. This estimate is then combined with available monthly GDP for October and November to construct an estimate for quarterly GDP for 2011Q4.
The number I get is an annualised growth rate of 1.3%.
In the comments on the LFS vs SEPH employment data post, Angelo Melino wondered how the SEPH numbers would do in this context. The short answer is that the SEPH numbers aren't available in time for the purposes of this exercise: the December SEPH employment numbers are scheduled to be released on February 23, only a week before the economic accounts.
But even if they were, the SEPH numbers wouldn't add much. Here is the correlation matrix for the growth rates of GDP, the two employment series and LFS hours worked.
GDP LFS SEPH Hours GDP 1.0 0.38 0.23 0.47 LFS 1.0 0.25 0.26 SEPH 1.0 0.11
The SEPH series is least correlated with GDP, and the extra explanatory power is small: the correlation between SEPH and the residuals from a regression on LFS and hours is only 0.14. The key series is the LFS hours data. (I've been looking for a SEPH hours series, but I can't find one.)
And here is a history of the forecasts generated by this methodology compared to the preliminary StatsCan estimates and the most recent data available:
Quarter WCI estimate First StatsCan
releaseLatest 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% 3.5% 2011Q2 0.1% -0.4% -0.5% 2011Q3 3.1% 3.5% 3.5% 2011Q4 1.3%
As a point of comparison, the Bank of Canada's estimate for 2011Q4 in the January 2012 Monetary Policy Report was 2.6%.
Worthwhile Canadian Initiative 
Thanks for a very interesting post. I recently asked a former student, who works on Bay St, why we hear so little discussion about the LFS hours worked number. I was told that it’s not taken very seriously because of measurement error. The US releases its version of the LFS and SEPH surveys at the same time, and the establishment survey is viewed as a more reliable measure of both hours worked and employment. But your correlation matrix with GDP makes it look like the LFS numbers in Canada, especially for hours worked, are pretty informative (even if they are measured with error). At least for monthly GDP.
Which reminds me, we never got to do the projections for the year thing.
Angelo said what I was going to say. Must remember to pay more attention to hours worked.
Interesting – everyone was revising up expectations after Friday’s strong trade report. I had 1.5% revised to 1.8% after Friday.
Yeah, I really should expand this project to incorporate other numbers.
Have you considered principal components? First two months of GDP plus a first principal component of select variables?
I’ve never been able to make sense of principal components models. I’d probably go with a (dynamic) factor model.