Forecasting Data Vintages

Tara Sinclair

No 2012-001, Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

Abstract: This article provides a discussion of Clements and Galvão’s “Forecasting with Vector Autoregressive Models of Data Vintages: US output growth and inflation.” Clements and Galvão argue that a multiple-vintage VAR model can be useful for forecasting data that are subject to revisions. Clements and Galvão draw a “distinction between forecasting future observations and revisions to past data,” which brings yet another real time data issue to the attention of forecasters. This comment discusses the importance of taking data revisions into consideration and compares the multiple-vintage VAR approach of Clements and Galvão to a state-space approach.

Keywords: Real time data; Evaluating forecasts; Forecasting practice; Time series; Econometric models (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2012-01
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www2.gwu.edu/~forcpgm/2012-001.pdf First version, 2012 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gwc:wpaper:2012-001

Access Statistics for this paper

More papers in Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by GW Economics Department ().