UK Real-Time Macro Data Characteristics

Anthony Garratt () and Shaun Vahey

No 502, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

Abstract: We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real-time forecasting, we use a vector autoregression to generate real-time one-step-ahead probability event forecasts for 1990Q1 to 1999Q2. Ignoring the predictability in initial measurements understates considerably the probability of above trend output growth.

Keywords: real-time data; structural breaks; probability event forecasts (search for similar items in EconPapers)
JEL-codes: C22 C82 E00 (search for similar items in EconPapers)
Date: 2005-01
New Economics Papers: this item is included in nep-ets and nep-mac
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Citations: View citations in EconPapers (12)

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https://eprints.bbk.ac.uk/id/eprint/27050 First version, 2005 (application/pdf)

Related works:
Journal Article: UK Real-Time Macro Data Characteristics (2006)
Working Paper: UK Real-time Macro Data Characteristics (2005)
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