Revisions in official data and forecasting

Cecilia Frale and Valentina Raponi

No 3, Working Papers from Department of the Treasury, Ministry of the Economy and of Finance

Abstract: This paper deals with the topic of revision of data with the aim of investigating whether consecutive releases of macroeconomic series published by statistical agencies contain useful information for economic analysis and forecasting. The rationality of the re-visions process is tested considering the complete history of data and an empirical application to show the usefulness of revisions for improving the precision of forecasting model is proposed. The results for Italian GDP growth show that embedding the revision process in a dynamic factor model helps to reduce the forecast error.

Keywords: Data revisions; real-time dataset; mixed frequency; Dynamic factor Model. (search for similar items in EconPapers)
JEL-codes: C53 E32 E37 (search for similar items in EconPapers)
Pages: 33
Date: 2012-03
New Economics Papers: this item is included in nep-for and nep-mac
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